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Keywords: theory of constraints; capacity decisions; linear programming; sensitivity analysis; radial change
example, transferring work to the bottleneck in smaller lot 4200 t.p.d. If processes 3 and 4 were operated at full
sizes could improve the flow to the bottleneck, thus insuring capacity they would input 4500 t.p.d. to process 5, there-
that the bottleneck does not lose time waiting for work. Also fore exceeding the capacity of process 5. Hence process 5 is
changing set-up procedures could reduce lost time due to a bottleneck. Processes 3 and 4 must therefore be operated
set-ups at the bottleneck. System flow can often be only at the levels of 2800 t.p.d. and 1400 t.p.d., respec-
increased by subordinating other processes to the bottle- tively. Finally, taking account of the mixing ratios at
neck. This may mean changing the scheduling procedures to processes 1 and 2 shows that they must be operated at
ensure that the bottleneck is never idle.6 the levels of 2100 t.p.d. and 700 t.p.d., respectively, in
order to input 2800 t.p.d. to process 3.
Linear programming and TOC To contrast this approach with that of a network flow
model, define xi as output level in t.p.d. of process i. Since
Connections between Linear Programming (LP) and TOC
the flow of the entire network system is the same as that of
have been previously discussed.9'11 Luebbe and Finch9
process 7, it follows immediately that the objective function
compare the steps of LP to those of TOC. Mabin and
is: maximise X7.
Gibson1" stress how LP and TOC were used together
One set of constraints arises due to the process capac-
effectively in a system with a product mix decision. Here
ities. These are
we consider very general networks of related processes.
Our suggested models are expected to provide additional xl < 4000 (iron ore processing)
flow improvement possibilities for such systems when they x2 < 1000 (coke ovens)
are thought to be essentially optimised with respect to TOC X3 < 3000 (blast furnace)
considerations. In the next section we introduce these X4 < 1500 (scrap handling)
models using a simple textbook example. X5 < 4200 (basic oxygen furnace)
x6 < 6000 (continuous casting)
X7 < 5000 (finishing mill).
A simple network example
The next set of constraints are material balance or
Consider the steel mill16 network flow problem shown conservation
in of flow constraints. These insure that total
Figure 1, which we assume has been optimised with respect
inputs and outputs are the same at each process. A modi-
to TOC considerations. Each numbered box represents an fication of these constraints of reflect inefficiencies or yield
individual process. Process capacities are indicated beneath
losses is considered below. These constraints are
each box in units of tons per day (t.p.d.). Arrows indicate
the directions of material flows. When a process has two or X1 + X2 = X3 (blast furnace)
more inputs the numbers on the arrows indicate required X3 + X4 = X5 (basic oxygen furnace)
mixing proportions. For example, in Figure 1 three units of
X5= X6 (continuous casting)
processed iron ore must be mixed with exactly one unit of
the coke oven output. X6= X7 (finishing mill).
For comparison purposes, we solve for the system The final set of constraints are those which account for
maximal output using a backward pass trial-and-error the necessary mixing ratios. For example, the output level
approach. (A forward pass approach is presented else-
of process 1 must be three times that of process 2. These
where. 16) Working from the end at process 7 we see constraints
that are
neither process 6 nor 7 constraints the capacity of process 5
as a starting trial maximal flow for the system; so that, xl = 3x2 (blast furnace)
following process 4, the maximal attainable flow will be X3 = 2X4 (basic oxygen furnace).
2 - Coke 4 - Scrap
ovens handling
Process 1
Process 3Prcs6
Process 4
Yield 098X1
leX1O ? 0.97x
. 08I X2- 4
2 098x4
X X 3-
Table I Comprehensive bottleneck example optimal solution
4o
X40.97x4
-. ,4
detailed report
Losses: 4=0.96x4 xb-0.95x4 4=0.98x
Reduced
Number Variable Value Cost cost Status
Material xi= x? + +5
I xi 79.4370 0.0000 0.0000 Basic
Balance: 4x6=45 36 + 4 x = X0 + X60
2 x 267.5198 0.0000 0.0000 Basic
3 x3 1200.0000 0.0000 0.0000 Basic
Branched outputs: X3 -=5 xo+X 4 x 940.8216 0.0000 0.0000 Basic
5 xi 1449.4610 0.0000 0.0000 Basic
Mixing x - 0.3X2 = 0 X( - 0.085X4? < 06 xi 976.4788 0.0000 0.0000 Basic
Ratios: xo-0.07x50 < 4 O Xo -0.07x? > 0
7 xi 2319.1370 0.0000 0.0000 Basic
x? - 0.05x3O5 > 0 x? - 1.54 = 0. 8 x? 77.8483 0.0000 0.0000 Basic
This model was solved subject to non-negativity 9 X2 259.4942 0.0000 0.0000 Basic
constraints using STORM Personal Version 3.019 with 10 the x3Q 1176.0000 0.0000 0.0000 Basic
solution shown in Table 1. The reader is urged to first try xo 912.5970 0.0000 0.0000 Basic
11
13 x? 1391.4820 0.0000 0.0000 Basic
solving this example by an iterative trial-and-error approach
in order to appreciate the advantages of the LP model. 12 xQ 927.6549 0.0000 0.0000 Basic
The optimal objective function value was 2272.7540. To 14 xQ 2272.7540 1.0000 0.0000 Basic
identify bottleneck processes we need to see which of the 15 x?o 1112.1180 0.0000 0.0000 Basic
input capacity constraints are binding. It can be noted that 16 Xo 63.8818 0.0000 0.0000 Basic
only constraint 3 has zero slack. Therefore, process 3 with Slack variables
an input capacity of 1200 t.p.d. is the bottleneck. 17 CONSTR 1 2520.5630 0.0000 0.0000 Basic
18 CONSTR2 1132.4800 0.0000 0.0000 Basic
19 CONSTR 3 0.0000 0.0000 -1.8940 Lower bound
Problems with sensitivity analysis and radial changes 20 CONSTR 4 59.1784 0.0000 0.0000 Basic
21 CONSTR 5 6050.5390 0.0000 0.0000 Basic
One would hope that standard sensitivity analysis might be
22 CONSTR 6 1023.5210 0.0000 0.0000 Basic
applied to answer certain other system flow improvement 23 CONSTR 7 7680.8630 0.0000 0.0000 Basic
questions. However, it is well known that shadow prices 36 CONSTR 20 0.0000 0.0000 -6.4256 Lower bound
37 CONSTR 21 22.2424 0.0000 0.0000 Basic
and ranges are problematical for models with degenerate
38 CONSTR 22 13.6890 0.0000 0.0000 Basic
constraints.20,2 For instance, in the example above, an
increase of the 4200 t.p.d. to 4500 t.p.d. of the basic Table 2 First changed capacity solution. Constraint 5 has new
RHS of 4500
oxygen furnace (maximal allowable increase) results in a
situation of three bottlenecks as discussed further below. Constraint Shadow RHS Allowable Allowable
Ordinary sensitivity analysis following that solution does number Slack price valtie minimum maximum
not suggest how the capacities of the new multiple bottle-
1 1750.00 0.00 4000.00 2250.00 oo
necks should be increased simultaneously. These limita-
2 250.00 0.00 1000.00 750.00 oo
tions on sensitivity analysis clearly do not reduce the 3 0.00 1.50 3000.00 0.00 3000.00
advantages described above for the network LP approach 4 0.00 0.00 1500.00 1500.00 oo
over the iterative trial-and-error methods. However, it is 5 0.00 0.00 4500.00 4500.00 oo
useful to develop a new sensitivity analysis tool. 6 1500.00 0.00 6000.00 4500.00 oo
7 500.00 0.00 5000.00 4500.00 oo
Consider the general LP model in primal canonical form,
max c'x st. Ax < b, x > 0. Suppose x* is any solution. Now,
consider the effect of doubling the RHS vector to 2b. We call basic oxygen furnace capacity constraint RHS is 4500,
this a radial change of the LP model. It is easy to see that 2x*indicating that its capacity can be increased by 300. This
will be a solution to the radially changed model. Thus the model was solved again after increasing the 4200 capacity
system output could be doubled by simply doubling the to 4500. Salient details of the solution are shown in Table 2.
capacities of all the processes in the network. More generally, Those constraints with zero right-hand side values clearly
if the radial change is to ob for o > 0 then it may be checked do not change with the radial change operation and have
that oxx* is a solution of the radially changed model and that been omitted in Table 2.
the shadow prices are the same as for the original model. Now consider the question of how to increase system
Thus radial changes are a very simple kind of sensitivity flow even further. We see first that, with slacks of zero,
result for simultaneous changes in the RHS vector. processes 3, 4 and 5 have all become bottlenecks. Degen-
The significance of radial change is as follows. Standard eracy, specifically dual degeneracy, is indicated by the zero
sensitivity analysis may show that one or more process shadow prices for the primal binding constraints 4 and 5. In
capacities are at their upper range of feasibility limits and such cases the usual interpretations of shadow prices and
cannot be increased further. But that conclusion is only in ranges may not be accurate. To see this, note that the only
respect to the corresponding LP model. In reality, all such positive shadow price is associated with constraint
bottleneck processes could be increased proportionately, at number 3. However, from its range of feasibility we see
least in principle, by managerial action. that it is at its maximal allowed value. Also the zero
shadow prices for constraints 4 and 5 suggest that system
flow cannot be increased by increasing their capacities.
Illustration Thus, the usual sensitivity analysis erroneously suggests
that the system flow cannot be increased further.
Radial change considerations can aid in postoptimality However, the current solution can be radially changed.
analysis. An example is now shown for the steel mill For example, suppose we increase the current solution so
problem. Let us first number the constraints as follows:
that the 3000 capacity for the blast furnace, process 3,
Constraint no becomes 3333.33 and the optimal system flow becomes
5000.00. This would require a management decision to
1 (iron ore processing) xl < 4000 change the capacities of processes 3, 4 and 5 by replace-
2 (coke ovens) x2 < 1000
ment or other capacity increase options. Table 3 shows the
3 (blast furnace) X3 < 3000
revised figures; it is a radial change of Table 2 in that all
4 (scrap handling) X4 < 1500
5 (basic oxygen furnace) x5 4200 values, except shadow prices, which remain constant under
6 (continuous casting) x6 ? 6000 radial change, have been increased by the factor of 50001
7 (finishing mill) X7 5000
8 (blast furnace) x + x2 -X3 = 0
9 (basic oxygen furnace) X3 + x4-x5 = 0 Table 3 A radially changed solution
10 (continuous casting) x5-x6 = 0
11 (finishing mill) X6-X7 = 0 Constraint Shadow RHS Allowable Allowable
12 (blast furnace) x- 3x2 = 0 number Slack price value minimum maximum
13 (basic oxygen furnace) X3- 2x4 = 0
1 1944.44 0.00 4444.44 2500.00 cc
2 277.78 0.00 1111.11 833.33 oo
Recall that the optimal objective function value is 3 4200,
0.00 1.50 3333.33 0.00 3333.33
which is the maximal flow. Furthermore, the constraint 4 0.00 0.00 1666.67 1666.67 cc
associated with the basic oxygen furnace capacity is the 5 0.00 0.00 5000.00 5000.00 cc
only constraint with zero slack, indicating that process 5 is 6 1666.67 0.00 6666.67 5000.00 cA
7 555.56 0.00 5555.56 5000.00 cc
the bottleneck. For this example, the upper range for the
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References