ch05 PDF

Advanced
Mathematical Programming
Chapter 05
Chapter 5
Sensitivity Analysis:
An Applied Approach
to accompany
Operations Research: Applications and Algorithms
4th edition
by Wayne L. Winston
Copyright (c) 2004 Brooks/Cole, a division of Thomson Learning, Inc.

5.1 – A Graphical Approach to Sensitivity Analysis
Sensitivity analysis is concerned with how changes in an LP’s

parameters affect the optimal solution.
Reconsider the max z = 3x1 + 2x2

Giapetto problem
2 x1 + x2 ≤ 100 (finishing constraint)
from Chapter 3
shown to the right: x1 + x2 ≤ 80 (carpentry constraint)
x1 ≤ 40 (demand constraint)
x1,x2 ≥ 0 (sign restriction)
Where:
x1 = number of soldiers produced each week
x2 = number of trains produced each week.
3
X2
The optimal solution for
100
this LP was finishing constraint
Slope = -2
z = 180, x1 = 20, x2 = 60 A Feasible Region
80
(point B in the figure to the demand constraint
right) and it has x1, x2, and Isoprofit line z = 120
60
B
s3 (the slack variable for Slope = -3/2
the demand constraint.

D
40
carpentry constraint
How would changes in the Slope = -1
problem’s objective
20
function coefficients or C
right-hand side values

change this optimal
10 20 40 50 60 80 X1
solution?
4
Graphical analysis of the effect of a change in an

objective function value for the Giapetto LP shows:
By inspection, we can see that making the slope of the

isoprofit line more negative than the finishing constraint
(slope = -2) will cause the optimal point to switch from point
B to point C.
Likewise, making the slope of the isoprofit line less negative
than the carpentry constraint (slope = -1) will cause the
optimal point to switch from point B to point A.
Clearly, the slope of the isoprofit line must be between -2 and
-1 for the current basis to remain optimal.
5
The values of the contribution to profit for soldiers for which the current
optimal basis (x1,x2,s3) will remain optimal can be determined as
follows:
Let c1 be the contribution ($3 per soldier) to the profit. For what values
of c1 does the current basis remain optimal?
At present c1 = 3 and each

3x1 + 2x2 = constant
isoprofit line has the form:
3 1 c 1 1
Rearranging: x2  x 1   constant x 1   constant
2 2 2 2
c 1
Since -2 < slope < -1: 2   1
2
Note: the profit will change
Solving for c1 yields: 2  c1  4 in this range of c1
6
Graphical Analysis of the Effect of a Change in RHS on

the LP’s Optimal Solution (using the Giapetto problem).
A graphical analysis can also be used to determine whether a

change in the rhs of a constraint will make the current basis no
longer optimal. For example, let b1 = number of available
finishing hours.
The current optimal solution (point B) is where the carpentry and

finishing constraints are binding. If the value of b1 is changed,
then as long as where the carpentry and finishing constraints
are binding, the optimal solution will still occur where the
carpentry and finishing constraints intersect.
7
X2
finishing constraint, b1 = 120
In the Giapetto problem to
100
the right, we see that if b1 finishing constraint, b1 = 100
> 120, x1 will be greater

Isoprofit line z = 120
than 40 and will violate the A
80
demand constraint. Also, demand constraint
if b1 < 80, x1 will be less
finishing constraint, b1 = 80
60
than 0 and the B
nonnegativity constraint
for x1 will be violated. 40 D
Therefore: 80 ≤ b1 ≤ 120
Feasible Region
The current basis remains
20
C
optimal for 80 ≤ b1 ≤ 120,
but the decision variable
values and z-value will 20 40 50 60 80 X1
change.
8
Shadow Prices (using the Giapetto problem)

It is often important to determine how a change in a constraint’s rhs
changes the LP’s optimal z-value. We define:
The shadow price for the i th constraint of an LP is the amount by which

the optimal z-value is improved (increased in a max problem or
decreased in a min problem) if the rhs of the i th constraint is increased
by one. This definition applies only if the change in the rhs of constraint
i leaves the current basis optimal.
For the finishing constraint, 100 + D finishing hours are available

(assuming the current basis remains optimal). The LP’s optimal solution is
then x1 = 20 + D and x2 = 60 – D with z = 3x1 + 2x2 = 3(20 + D) + 2(60 - D) =
180 + D. Thus, as long as the current basis remains optimal, a one-unit
increase in the number of finishing hours will increase the optimal z-value
by $1. So, the shadow price for the first (finishing hours) constraint is $1.
9
Importance of Sensitivity Analysis
Sensitivity analysis is important for several reasons:

• Values of LP parameters might change. If a parameter
changes, sensitivity analysis shows it is unnecessary to solve
the problem again. For example in the Giapetto problem, if the
profit contribution of a soldier changes to $3.50, sensitivity
analysis shows the current solution remains optimal.
• Uncertainty about LP parameters. In the Giapetto problem for
example, if the weekly demand for soldiers is at least 20, the
optimal solution remains 20 soldiers and 60 trains. Thus, even if
demand for soldiers is uncertain, the company can be fairly
confident that it is still optimal to produce 20 soldiers and 60
trains.
10
Summary
Allowable Ranges: Current basis BVs remain optimal
Parameters Value of BVs Value of optimal solution

change? change?
objective function coefficients NO YES

rhs of constraints YES YES
11
Summary

change? change?

if the change in the rhs of constraint i leaves the current basis optimal:
The Shadow/Dual price for the i th constraint of an LP is the amount by
which the optimal z-value is improved if the rhs of the ith constraint is
increased by one.
12
Summary

change? change?

if the change in the rhs of constraint i leaves the current basis optimal:
The Shadow/Dual price for the i th constraint of an LP is the amount by
which the optimal z-value is improved if the rhs of the ith constraint is
increased by one.
Reduced cost is the amount the objective function coefficient for variable
i, would have to be increased for there to be an alternative optimal solution
(results in coefficient of zero for variable i in objective function).
13
5.2 – The Computer and Sensitivity Analysis
If an LP has more than two decision variables, the

range of values for a rhs (or objective function
coefficient) for which the basis remains optimal
cannot be determined graphically.
These ranges can be computed by hand but this is

often tedious, so they are usually determined by a
packaged computer program. LINDO will be used
and the interpretation of its sensitivity analysis
discussed.
14
Consider the following maximization problem. Winco sells

four types of products. The resources needed to produce
one unit of each are:
Product 1 Product 2 Product 3 Product 4 Available

Raw material 2 3 4 7 4600
Hours of labor 3 4 5 6 5000
Sales price $4 $6 $7 $8
To meet customer demand, exactly 950 total units must be

produced. Customers demand that at least 400 units of product 4 be
produced. Formulate an LP to maximize profit.
Let xi = number of units of product i produced by Winco.
15
The Winco LP formulation:
max z = 4x1 + 6x2 +7x3 + 8x4

s.t. x1 + x2 + x3 + x4 = 950
x4 ≥ 400
2x1 + 3x2 + 4x3 + 7x4 ≤ 4600
3x1 + 4x2 + 5x3 + 6x4 ≤ 5000
x1,x2,x3,x4 ≥ 0
16
LINDO output and MAX 4 X1 + 6 X2 + 7 X3 + 8 X4

SUBJECT TO
sensitivity 2) X1 + X2 + X3 + X4 = 950
analysis 3) X4 >= 400
4) 2 X1 + 3 X2 + 4 X3 + 7 X4 <= 4600
example(s). 5) 3 X1 + 4 X2 + 5 X3 + 6 X4 <= 5000
END
Reduced cost LP OPTIMUM FOUND AT STEP 4
is the amount the OBJECTIVE FUNCTION VALUE
objective function 1) 6650.000
coefficient for VARIABLE VALUE REDUCED COST
variable i would X1 0.000000 1.000000
X2 400.000000 0.000000
have to be X3 150.000000 0.000000
X4 400.000000 0.000000
increased for
there to be an ROW SLACK OR SURPLUS DUAL PRICES
2) 0.000000 3.000000
alternative 3) 0.000000 -2.000000
4) 0.000000 1.000000
optimal solution. 5) 250.000000 0.000000
NO. ITERATIONS= 4
17
RANGES IN WHICH THE BASIS IS UNCHANGED:
LINDO sensitivity OBJ COEFFICIENT RANGES

analysis example(s).
VARIABLE CURRENT ALLOWABLE ALLOWABLE
COEF INCREASE DECREASE
Allowable range (w/o
X1 4.000000 1.000000 INFINITY
changing basis) for
X2 6.000000 0.666667 0.500000
the x2 coefficient
X3 7.000000 1.000000 0.500000
(c2) is:
X4 8.000000 2.000000 INFINITY
5.50  c2  6.667
RIGHTHAND SIDE RANGES
Allowable range (w/o ROW CURRENT ALLOWABLE ALLOWABLE
changing basis) for RHS INCREASE DECREASE
the rhs (b1) of the first 2 950.000000 50.000000 100.000000
constraint is: 3 400.000000 37.500000 125.000000

4 4600.000000 250.000000 150.000000
850  b1  1000 5 5000.000000 INFINITY 250.000000
18
MAX 4 X1 + 6 X2 + 7 X3 + 8 X4
Shadow prices SUBJECT TO
2) X1 + X2 + X3 + X4 = 950
are shown in the 3) X4 >= 400
Dual Prices 4) 2 X1 + 3 X2 + 4 X3 + 7 X4 <= 4600
5) 3 X1 + 4 X2 + 5 X3 + 6 X4 <= 5000
section of END
LINDO output. LP OPTIMUM FOUND AT STEP 4
OBJECTIVE FUNCTION VALUE

Shadow prices 1) 6650.000
are the amount
VARIABLE VALUE REDUCED COST
the optimal z- X1 0.000000 1.000000
X2 400.000000 0.000000
value improves if X3 150.000000 0.000000
the rhs of a X4 400.000000 0.000000
constraint is ROW SLACK OR SURPLUS DUAL PRICES

2) 0.000000 3.000000
increased by one 3) 0.000000 -2.000000
unit (assuming 4) 0.000000 1.000000
5) 250.000000 0.000000
no change in
NO. ITERATIONS= 4
basis).
19
Interpretation of shadow prices:
ROW SLACK OR SURPLUS DUAL PRICES
2) 0.000000 3.000000 (overall demand)
3) 0.000000 -2.000000 (product 4 demand)
4) 0.000000 1.000000 (raw material availability)
5) 250.000000 0.000000 (labor availability)
Assuming the allowable range of the rhs is not violated, shadow prices show:
• $3 for constraint 1 implies that each one-unit increase in total demand will
increase net sales by $3.
• The -$2 for constraint 2 implies that each unit increase in the requirement
for product 4 will decrease revenue by $2.
• The $1 shadow price for constraint 3 implies an additional unit of raw
material (at no cost) increases total revenue by $1.
• Finally, constraint 4 implies any additional labor (at no cost) will not improve
total revenue.
20
Shadow price signs
1. Constraints with  symbols will always have
nonpositive shadow prices.
• Eliminating points from an LP’s feasible region
can only make the optimal z-value worse or
leave it the same.
2. Constraints with  will always have nonnegative
shadow prices.
• Adding points to an LP’s feasible region can
only improve the optimal z-value or leave it the
same.
3. Equality constraints may have a positive, a
21 negative, or a zero shadow price.
Shadow price signs
leave it the same.
shadow prices.
same.
Shadow price signs
leave it the same.
shadow prices.
same.
Shadow price signs
24
Sensitivity Analysis and Slack/Excess Variables

For any inequality constraint, the product of the values of the
constraint’s slack/excess variable and the constraint’s shadow price
must equal zero. This implies that any constraint whose slack or
excess variable > 0 will have a zero shadow price. Similarly, any
constraint with a nonzero shadow price must be Binding/Active
(have slack or excess equaling zero). For constraints with nonzero
slack or excess, relationships are detailed in the table below:
Type of Allowable Increase Allowable Decrease

Constraint for rhs for rhs
≤ ∞ = value of slack
≥ = value of excess ∞
25
Degeneracy and Sensitivity Analysis
When the optimal solution is degenerate (a bfs is degenerate if at least
one basic variable in the optimal solution equals 0), caution must be
used when interpreting the LINDO output.
For an LP with m
constraints, if the MAX 6 X1 + 4 X2 + 3 X3 + 2 X4
optimal LINDO output
indicates less than m SUBJECT TO
variables are positive,
2) 2 X1 + 3 X2 + X3 + 2 X4 <= 400
then the optimal solution
is degenerate bfs. 3) X1 + X2 + 2 X3 + X4 <= 150
Consider the LINDO LP
formulation shown to 4) 2 X1 + X2 + X3 + 0.5 X4 <= 200
the right and the LINDO 5) 3 X1 + X2 + X4 <= 250
output on the next slide.
26
Since the LP LP OPTIMUM FOUND AT STEP 3

has four OBJECTIVE FUNCTION VALUE
constraints 1) 700.0000
and in the VARIABLE VALUE REDUCED COST
optimal X1 50.000000 0.000000
solution only X2 100.000000 0.000000
X3 0.000000 0.000000
two variables
X4 0.000000 1.500000
are positive,
the optimal 2) 0.000000 0.500000
solution is a 3) 0.000000 1.250000
degenerate 4) 0.000000 0.000000
5) 0.000000 1.250000
bfs.
27
RANGES IN WHICH THE BASIS IS UNCHANGED:
OBJ COEFFICIENT RANGES

COEF INCREASE DECREASE
X1 6.000000 3.000000 3.000000
X2 4.000000 5.000000 1.000000
X3 3.000000 3.000000 2.142857
X4 2.000000 1.500000 INFINITY

ROW CURRENT ALLOWABLE ALLOWABLE
RHS INCREASE DECREASE
2 400.000000 0.000000 200.000000
3 150.000000 0.000000 0.000000
4 200.000000 INFINITY 0.000000
5 250.000000 0.000000 120.000000
28
LINDO TABLEAU command indicates the optimal basis is BV = {x1,x2,x3,s4}.
THE TABLEAU
ROW (BASIS) X1 X2 X3 X4 SLK 2
1 ART 0.000 0.000 0.000 1.500 0.500
2 X2 0.000 1.000 0.000 0.500 0.500
3 X3 0.000 0.000 1.000 0.167 -0.167
4 SLK 4 0.000 0.000 0.000 -0.500 0.000
5 X1 1.000 0.000 0.000 0.167 -0.167
ROW SLK 3 SLK 4 SLK 5

1 1.250 0.000 1.250 700.000
2 -0.250 0.000 -0.250 100.000
3 0.583 0.000 -0.083 0.000
4 -0.500 1.000 -0.500 0.000
5 0.083 0.000 0.417 50.000
29
Oddities that may occur when the optimal solution found

by LINDO is degenerate are:
1. In the RANGE IN WHICH THE BASIS IS UNCHANGED at least
one constraint will have a 0 AI or AD. This means that for at least
one constraint the DUAL PRICE can tell us about the new z-value
for either an increase or decrease in the rhs, but not both.
2. For a nonbasic variable to become positive, a nonbasic variable’s
objective function coefficient may have to be improved by more
than its RECDUCED COST.
3. Increasing a variable’s objective function coefficient by more than
its AI or decreasing it by more than its AD may leave the optimal
solution the same.
30
5.3 – Managerial Use of Shadow Prices
The managerial MAX 4 X1 + 6 X2 + 7 X3 + 8 X4
SUBJECT TO
significance of shadow 2) X1 + X2 + X3 + X4 = 950 raw
prices is that they can 3) X4 >= 400
material
4) 2 X1 + 3 X2 + 4 X3 + 7 X4 <= 4600
often be used to 5) 3 X1 + 4 X2 + 5 X3 + 6 X4 <= 5000
determine the END
labor
maximum amount a LP OPTIMUM FOUND AT STEP 4
manger should be OBJECTIVE FUNCTION VALUE
willing to pay for an 1) 6650.000
additional unit of a VARIABLE VALUE REDUCED COST
resource. Reconsider X1 0.000000 1.000000
X2 400.000000 0.000000
the Winco to the right. X3 150.000000 0.000000
X4 400.000000 0.000000
What is the most ROW SLACK OR SURPLUS DUAL PRICES
Winco should be 2) 0.000000 3.000000
3) 0.000000 -2.000000
willing to pay for 4) 0.000000 1.000000
additional units of raw 5) 250.000000 0.000000
material or labor? NO. ITERATIONS= 4
31
5.3 – Managerial Use of Shadow Prices
MAX 4 X1 + 6 X2 + 7 X3 + 8 X4
The shadow price for raw SUBJECT TO
material constraint (row 4) 2) X1 + X2 + X3 + X4 = 950
3) X4 >= 400
shows an extra unit of raw 4) 2 X1 + 3 X2 + 4 X3 + 7 X4 <= 4600
5) 3 X1 + 4 X2 + 5 X3 + 6 X4 <= 5000
material would increase END
revenue $1. Winco could
LP OPTIMUM FOUND AT STEP 4
pay up to $1 for an extra
OBJECTIVE FUNCTION VALUE
unit of raw material and be 1) 6650.000
as well off as it is now.
VARIABLE VALUE REDUCED COST
X1 0.000000 1.000000
Labor constraint’s (row 5) X2 400.000000 0.000000
shadow price is 0 meaning X3 150.000000 0.000000
X4 400.000000 0.000000
that an extra hour of labor
will not increase revenue. 2) 0.000000 3.000000
So, Winco should not be 3) 0.000000 -2.000000
4) 0.000000 1.000000
willing to pay anything for 5) 250.000000 0.000000
an extra hour of labor. NO. ITERATIONS= 4
32
5.4 – What happens to the Optimal z-Value if
the Current Basis Is No Longer Optimal?
In Section 5.2 shadow prices were used to determine the new optimal z-
value if the rhs of a constraint was changed but remained within the
range where the current basis remains optimal. Changing the rhs of a
constraint to values where the current basis is no longer optimal can be
addressed by the LINDO PARAMETRICS feature. This feature can be
used to determine how the shadow price of a constraint and optimal z-
value change.
The use of the LINDO PARAMETICS feature is illustrated by varying the

amount of raw material in the Winco example. Suppose we want to
determine how the optimal z-value and shadow price change as the
amount of raw material varies between 0 and 10,000 units. With 0 raw
material, we then obtain from the RANGE and SENSITIVTY ANALYSIS
results that show Row 4 has an ALLOWABLE INCREASE of -3900.
This indicates at least 3900 units of raw material are required to make
the problem feasible.
33
Suppose we want to determine how the optimal z-value and shadow price
change as the amount of raw material varies between 0 and 10,000 units
Raw Material Constraint

RHS INCREASE DECREASE
2 950.000000 50.000000 100.000000
3 400.000000 37.500000 125.000000
4 4600.000000 250.000000 150.000000
5 5000.000000 INFINITY 250.000000
34
MAX 4 X1 + 6 X2 + 7 X3 + 8 X4
SUBJECT TO
2) X1 + X2 + X3 + X4 = 950
3) X4 >= 400
4) 2 X1 + 3 X2 + 4 X3 + 7 X4 <= 0
5) 3 X1 + 4 X2 + 5 X3 + 6 X4 <= 5000
END
35
Solve the problem and then use TABLEAU report:
THE TABLEAU
ROW (BASIS) X1 X2 X3 X4 SLK 3 SLK 4

1 ART 0.000 -2.000 -3.000 0.000 -4.000 0.000
2 X4 0.000 0.000 0.000 1.000 -1.000 0.000
3 SLK 5 0.000 1.000 2.000 0.000 3.000 0.000
4 SLK 4 0.000 1.000 2.000 0.000 5.000 1.000
5 X1 1.000 1.000 1.000 0.000 1.000 0.000
ART ART 0.000 1.000 2.000 0.000 5.000 0.000
ROW SLK 5
1 0.000 5400.000
2 0.000 400.000 So minimum of raw material
3 1.000 950.000
4 0.000 -3900.000
to have a feasible
5 0.000 550.000 Problem is 3900!
ART 0.000 -3900.000
36
MAX 4 X1 + 6 X2 + 7 X3 + 8 X4
SUBJECT TO
2) X1 + X2 + X3 + X4 = 950
3) X4 >= 400
4) 2 X1 + 3 X2 + 4 X3 + 7 X4 <= 3900
5) 3 X1 + 4 X2 + 5 X3 + 6 X4 <= 5000
END
Solve the problem and then use PARAMETRICS report:
37
5.4 – What happens to the Optimal z-Value if the Current Basis
Is No Longer Optimal?
Raw Material rhs = 3900 optimal solution RANGES IN WHICH THE BASIS IS UNCHANGED:
OBJECTIVE FUNCTION VALUE OBJ COEFFICIENT RANGES

1) 5400.000 COEF INCREASE DECREASE
X1 4.000000 1.000000 INFINITY
VARIABLE VALUE REDUCED COST X2 6.000000 INFINITY 0.500000
X1 550.000000 0.000000 X3 7.000000 1.000000 INFINITY
X2 0.000000 0.000000 X4 8.000000 6.000000 INFINITY
X3 0.000000 1.000000
X4 400.000000 0.000000 RIGHTHAND SIDE RANGES
ROW SLACK OR SURPLUS DUAL PRICES RHS INCREASE DECREASE
2) 0.000000 0.000000 2 950.000000 0.000000 183.333328
3) 0.000000 -6.000000 3 400.000000 0.000000 137.500000
4) 0.000000 2.000000 4 3900.000000 550.000000 0.000000
5) 950.000000 0.000000 5 5000.000000 INFINITY 950.000000
THE TABLEAU
ROW (BASIS) X1 X2 X3 X4 SLK 3 SLK 4 SLK 5

1 ART 0.000 0.000 1.000 0.000 6.000 2.000 0.000 5400.000
2 X1 1.000 0.000 -1.000 0.000 -4.000 -1.000 0.000 550.000
3 X4 0.000 0.000 0.000 1.000 -1.000 0.000 0.000 400.000
4 X2 0.000 1.000 2.000 0.000 5.000 1.000 0.000 0.000
5 SLK 5 0.000 0.000 0.000 0.000 -2.000 -1.000 1.000 950.000
ART ART 0.000 0.000 1.000 0.000 6.000 2.000 0.000 0.000
38
5.4 – What happens to the Optimal z-Value if the Current
Basis Is No Longer Optimal?
Changing Row 4’s rhs to 3900, resolving the LP, and selecting the REPORTS
PARAMTERICS feature. In this feature we choose Row 4, setting the Value to
10000, and select text output. We then obtain the output below:
RIGHTHANDSIDE PARAMETRICS REPORT FOR ROW: 4
VAR VAR PIVOT RHS DUAL PRICE OBJ

OUT IN ROW VAL BEFORE PIVOT VAL
3900.00 2.00000 5400.00
X1 X3 2 4450.00 2.00000 6500.00
SLK 5 SLK 3 5 4850.00 1.00000 6900.00
X3 SLK 4 2 5250.00 -0.333067E-15 6900.00
10000.0 -0.555112E-16 6900.00
Let rm be the amount of available raw material. If rm < 3900, we know the LP
is infeasible. From the figure above, from 3899 < rm < 4450, the shadow price
(DUAL) is $2, switches to $1 from 4449 < rm < 4849, and finally to $0 at 4850.
39
LINDO Parametric Feature

Graphical Output (z-value vs.
Raw Material rhs from 3900 to
10000)
40
• For any LP, the graph of the optimal objective

function value as a function a rhs will be a piecewise
linear function.
• The slope of each straight line segment is just the
constraint’s shadow price.
41
• For <= constraints in a maximization LP, the slope

of each segment must be non-negative (due to the
positive shadow price) and the slopes of successive
line segments will be non-increasing.
42
• For a >= constraint, in a maximization problem, the

graph of the optimal function will again be piecewise
linear function. The slope of each line segment will
be non-positive (due to the negative shadow price)
and the slopes of successive segments will be non-
increasing
43
• For = constraints in a maximization LP, the slope of

each segment must be negative or positive (due to
the negative or positive shadow price) and the
slopes of successive line segments will be non-
increasing.
44
Effect of change in Objective Function Coefficient on Optimal z-value
A graph of the optimal max z = 3x1 + 2x2

objective function value
as a function of a 2 x1 + x2 ≤ 100 (finishing constraint)
variable’s objective x1 + x2 ≤ 80 (carpentry constraint)
function coefficient can
be created. Consider x1 ≤ 40 (demand constraint)
again the Giapetto LP x1,x2 ≥ 0 (sign restriction)
shown to the right.
Let c1 = objective coefficient of x1. Currently, c1 = 3 and we want to

determine how the optimal z-value depend upon c1..
45
X2
The optimal solution for
100
this LP was finishing constraint
Slope = -2
z = 180, x1 = 20, x2 = 60 A Feasible Region
80
(point B in the figure to the demand constraint
right) and it has x1, x2, and Isoprofit line z = 120
60
B
s3 (the slack variable for Slope = -3/2
the demand constraint.

D
40
How would changes in the Slope = -1
problem’s objective
20
function coefficients or C
right-hand side values

change this optimal
10 20 40 50 60 80 X1
solution?
46
Recall from the Giapetto problem, if the isoprofit line is flatter than the
carpentry constraint, Point A(0,80) is optimal. Point B(20,60) is
optimal if the isoprofit line is steeper than the carpentry constraint
but flatter than the finishing constraint. Finally, Point C(40,20) is
optimal if the slope of the isoprofit line is steeper than the slope of
the finishing constraint. Since a typical isoprofit line is c1x1 + 2x2 =
k, we know the slope of the isoprofit line is just -c1/2. This implies:
1. Point A is optimal if -c1/2 ≥ -1 or 0 ≤ c1 ≤ 2 ( -1 is the carpentry

constraint slope).
2. Point B is optimal if -2 ≤ -c1/2 ≤ -1 or 2 ≤ c1 ≤ 4 (between the
slopes of the carpentry and finishing constraint slopes).
3. Point C is optimal if -c1/2 ≤ -2 or c1 ≥ 4 ( -2 is the finishing
constraint slope).
This piecewise function is shown on the next page.
47
X2
100
finishing constraint
Slope = -2
A Feasible Region
80
demand constraint
Isoprofit line z = 120

60
B Slope = -3/2
D
40
Slope = -1
20
10 20 40 50 60 80 X1
48
Optimal z-Value vs c1
440 500
In a maximization LP, the slope

of the graph of the optimal z-
400
value as a function of an
objective function coefficient will
be non-decreasing.
Optimal z-Value
300
 
z c1
In a minimization LP, the slope
of the graph of the optimal z- 200
value as a function of an
objective function coefficient will 100
be non-increasing.
Proofs are left to be done as 0
0 2 4 6 8 10
homework! 0 c1 10
C1
z-value
49
Any Question?
50

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Copyright (c) 2004 Brooks/Cole, a division of Thomson Learning, Inc.

Sensitivity analysis is concerned with how changes in an LP’s

Reconsider the max z = 3x1 + 2x2

z = 180, x1 = 20, x2 = 60 A Feasible Region

right) and it has x1, x2, and Isoprofit line z = 120

the demand constraint.

right-hand side values

Graphical analysis of the effect of a change in an

By inspection, we can see that making the slope of the

At present c1 = 3 and each

Graphical Analysis of the Effect of a Change in RHS on

A graphical analysis can also be used to determine whether a

The current optimal solution (point B) is where the carpentry and

> 120, x1 will be greater

Shadow Prices (using the Giapetto problem)

The shadow price for the i th constraint of an LP is the amount by which

For the finishing constraint, 100 + D finishing hours are available

Importance of Sensitivity Analysis

Sensitivity analysis is important for several reasons:

Parameters Value of BVs Value of optimal solution

objective function coefficients NO YES

Parameters Value of BVs Value of optimal solution

objective function coefficients NO YES

Parameters Value of BVs Value of optimal solution

objective function coefficients NO YES

If an LP has more than two decision variables, the

These ranges can be computed by hand but this is

Consider the following maximization problem. Winco sells

Product 1 Product 2 Product 3 Product 4 Available

To meet customer demand, exactly 950 total units must be

The Winco LP formulation:

max z = 4x1 + 6x2 +7x3 + 8x4

LINDO output and MAX 4 X1 + 6 X2 + 7 X3 + 8 X4

LINDO sensitivity OBJ COEFFICIENT RANGES

the rhs (b1) of the first 2 950.000000 50.000000 100.000000

constraint is: 3 400.000000 37.500000 125.000000

OBJECTIVE FUNCTION VALUE

constraint is ROW SLACK OR SURPLUS DUAL PRICES

Shadow price signs

Sensitivity Analysis and Slack/Excess Variables

Type of Allowable Increase Allowable Decrease

Since the LP LP OPTIMUM FOUND AT STEP 3

RANGES IN WHICH THE BASIS IS UNCHANGED:

OBJ COEFFICIENT RANGES

RIGHTHAND SIDE RANGES

ROW SLK 3 SLK 4 SLK 5

Oddities that may occur when the optimal solution found

material or labor? NO. ITERATIONS= 4

an extra hour of labor. NO. ITERATIONS= 4

The use of the LINDO PARAMETICS feature is illustrated by varying the

Raw Material Constraint

RIGHTHAND SIDE RANGES

ROW (BASIS) X1 X2 X3 X4 SLK 3 SLK 4

Solve the problem and then use PARAMETRICS report:

OBJECTIVE FUNCTION VALUE OBJ COEFFICIENT RANGES

ROW (BASIS) X1 X2 X3 X4 SLK 3 SLK 4 SLK 5

RIGHTHANDSIDE PARAMETRICS REPORT FOR ROW: 4