Operations

Research

Text Book: Operations Research

Hamdy A. Taha

20 October 2019
Course Outline

Part1: Deterministic Models

Chapter 2: Introduction to Linear Programming

1. Introduction.
2. Construction of the LP Model.
3. Graphical LP Solution.
1. Solution of a Maximization Model.
2. Solution of a Minimization Model.
3. Slack, Surplus, and Unrestricted Model.

4. Graphical Sensitivity Analysis.

1. Changes in the Objective Function Coefficient.
2. Unit Worth of a Resource.

5. Computer Solution of Linear Programming Problems.

6. Analysis of Selected Linear Programming Model.

20 October 2019 2
Chapter 3: The Simplex Method

1. Introduction.

2. Standard Linear Programming Form and Its Solutions.

1. Standard Linear Programming Form.
2. Determination of Basic Solutions.
3. Unrestricted Variables and Basic Solution.

3. The Simplex Algorithm.

4. Simplex Method Application.

5. Special Cases in Simplex Method Application.

1. Degeneracy.
2. Alternative Optima.
3. Unbounded Solution.
4. Infeasible Solution.

20 October 2019 3
 Introduction

Operations Research (OR)

In general, the organization goal is to optimize the use
of available resources.
It is a scientific approach to determine the optimum
(best) solution to a decision problem under the restriction
of limited resources, using the mathematical techniques
to model, analyze, and solve the problem.

20 October 2019 6
 Introduction

Phases of OR
1. Definition of the problem includes:-
• The description of the decision variables
(alternatives)
• The determination of the objective of the study
• The specification of the limitations under which
the modeled system operates.

20 October 2019 6
 2. Model Construction
Translating the real world problem into
mathematical relationships (the most
suitable
model to represent the system, LP, dynamic
programming, integer programming, ………..)
3.Solution of the model
Using well-defined optimization techniques.
An important aspectof model solution is
sensitivity analysis.

20 October 2019
 4.Model validity
Testing and evaluation of the model. A common
method for testing a validity of a model is to
compare its performance with some past data
available for the actual system.
5.Implementation of the solution
Implementation of the solution of validated model
involves the translation of the model's results into
instructions issued in understandable form to the
individual

20 October 2019
2-8
Basic components of the model

1. Decision Variables
It is the unknown to determine from the solution of a
model (what does the model seek to determine). It
is one of the specific decisions made by a decision
maker (DM).

2. Objective Function
It is the end result (goal) desired to be achieved by
the system. A common objective is to maximize
profit or minimize cost. It is expressed as a
mathematical function of the system decision
variables.
20 October 2019
 3.Constraints
These are the limitations imposed on the
variables to satisfy the restriction of the modeled
system. They must be expressed as
mathematical functions of the system decision
variables (D.V.).

20 October 2019
Mathematical modeling formulation:

The general OR model can be organized in the following

general format:-

Maximize or minimize Objective Function

subject to
Constraints

20 October 2019
 Example 1:
• A company manufactures two products A&B.
with 4 & 3 units of price. A&B take 3&2
minutes respectively to be machined. The total
time available at machining department is 800
hours (100 days or 20 weeks). A market
research showed that at least 10000 units of A
and not more than 6000 units of B are needed.
It is required to determine the number of units
of A&B to be produced to maximize profit.
• Decision variables
X1= number of units produced of A.
X2= number of units produced of B.

• Objective Function
Maximize Z= 4 X1 + 3 X2
• Constraints
3X +2
1 ≤ 800x60
X2 X1 ≥ 10000
X2 ≤ 6000
X1 , X2 ≥ 0
 Example 2: Feed mix problem
• A farmer is interested in feeding his cattle at
minimum cost. Two feeds are used A&B. Each cow
must get at least 400 grams/day of protein, at least
800 grams/day of carbohydrates, and not more than
100 grams/day of fat. Given that A contains 10%
protein, 80% carbohydrates and 10% fat while B
contains 40% protein, 60% carbohydrates and no fat.
A costs Rs 20/kg, and B costs Rs 50 /kg. Formulate
the problem to determine the optimum amount of
each feed to minimize cost.
• Decision variables
X1= weight of feed A kg/day/animal
X2= weight of feed B kg/day/animal

• Objective Function
Minimize Z= 20X1 + Cost function
50X2
• Constraints
Protein 0.1 X1 + 0.4 ≥ 0.4
Carbohydrates X2 ≥ 0.8
Fats 0.8 X1 + 0.6 ≤ 0.1
X2
X1 , X2 ≥ 0
0.1 X1
 Example 3: Blending Problem

• An iron ore from 4 mines will be blended.

The analysis has shown that, in order to
obtain suitable tensile properties, minimum
requirements must be met for 3 basic
elements A, B, and C. Each of the 4 mines
contains different amounts of the 3 elements
(see the table). Formulate to find the least
cost (Minimize) blend for one ton of iron
ore.
20 October 2019
 Problem Formulation
• Decision variables
X1= Fraction of ton to be selected from mine number 1
X2= Fraction of ton to be selected from mine number 2
X3= Fraction of ton to be selected from mine number 3
X4= Fraction of ton to be selected from mine number 4
• Objective Function
Minimize Z= 800 X1 + 400 X2 + 600 X3 + 500 X4
• Constraints
10 X1 + 3X2 + 8X3 + 2X4 ≥ 5
90 X1 2+ 150
3 X + 75 X + 4 ≥ 10
175
45 XX1 + 25 X2 + 20 X3+ 37 30
X4 ≥
= 1
X1 + X2 + X X
,X + X
3 , X , 4 0
1 2 3
 General form of a LP problem with m
constraints and n
decision variables is:
Maximize Z = C1X1+ C2X2+ …………………. + CnXn

Constraints

A X + A12X2+……………………+ A1nXn <= B1

11 1
+ A22X2+……………………+ A2nXn <= B2
A X
21 1
.
.
.
.A X + Am2X2+……………………+ AmnXn <= Bm
Xm1
1
, X1
2
, ……………………………………, Xn >= 0

20 October 2019
 OR

Maximize Z= Σnj=1 CjXj

Constraints
Σn <= bi Xi >=0 i = 1, …., m j = 1, …., n
j=1

Where aijXi
n = Number of activities.
Xj = Level of activity j
Cj =Contribution of the objective function/unit of activity j
m = Number of resources
Bi = Amount of resource i available.
Aij=Amount of resource i consumed by one unit of activity j

Other forms
1. Minimize Z= Σnj=1 CjXj
2. Σn A X >= B for some values of i
j=1 ij i i
3. for some values of i
A X =B
4. XΣi nj=1unrestricted in sign for some values of i
ij i i

20 October 2019
Terminology of solutions for a LP model:

A Solution
Any specifications of values of X1, X2, ………, Xn is
called a solution.

A Feasible Solution
Is a solution for which all the constraints are satisfied.

An Optimal Solution
Is a feasible solution that has the most favorable value
of the objective function (largest for maximize or
smallest for minimize).

20 October 2019
 Note

•If there is exactly one optimal solution it must be a corner

point feasible solution.

•If there are multiple optimal solutions, then at least two of

them must be adjacent corner- point feasible solutions.

Two corner-point feasible solutions are said to be

adjacent if the line segment connecting them lies on the
boundary of the feasible region (one of the constraints).

20 October 2019
 Graphical Solution

Construction of the LP model

Example 1:
The Reddy Mikks Company

Reddy Mikks produces both interior and exterior paints

from two raw materials, M1&M2. The following table
provides the basic data of the problem.

20 October 2019
 A market survey indicates that the daily demand for interior
paint cannot exceed that of exterior paint by more than 1 ton.
Also, the maximum daily demand of interior paint is 2 ton.

Reddy Mikks wants to determine the optimum (best)

product mix of interior and exterior paints that maximizes the
total daily profit.

20 October 2019
 Problem Formulation
Decision variables
X1= Tons produced daily of exterior paint.
X2= Tons produced daily of interior paint.
Objective Function
Maximize Z= 5 X1 + 4 X2
Constraints
6 X1 + 4 X2 <= 24
- X1 + X1 + <= 1 <= 6
2 X2
X2 <= 2
X2 >=0
Any solution that satisfies
X1,all
X2the constraints of
the model is
a feasible solution. For example, X1=3 tons and X2=1 ton is a
feasible solution. We have an infinite number of feasible
solutions, but we are interested in the optimum feasible
solution that yields the maximum total profit.
20 October 2019
 Graphical Solution

The graphical solution is valid only for two-variable problem

which is rarely occurred.

The graphical solution includes two basic steps:

1. The determination of the solution space that defines

the feasible solutions that satisfy all the constraints.

2. The determination of the optimum solution

from among all the points in the feasible solution
space.

20 October 2019
.

ABCDEF consists of an infinite number of points; we need a

systematic procedure that identifies the optimum solutions. The
optimum solution is associated with a corner point of the
solution space.
20 October 2019
 To determine the direction in which the profit function increases
we assign arbitrary increasing values of 10 and 15
5 X1 + 4 X2=10
And 5 X1 + 4
X2=15

The optimum solution is mixture of 3 tons of exterior and 1.5 tons

of 20
interior
Octoberpaints
2019 will yield a daily profit of 21000$. 31
Dr.Farouk Sha'ban
 Example 2: The Diet Problem

Farm uses at least 800lb of special feed daily. The special feed is a
mixture of corn and soybean with the following composition.

The food mixture must contain at least 30% protein and at most
5% fiber. They want to determine the daily minimum cost feed
mix.

20 October 2019
 Problem Formulation

Decision variables

X1= lb of corn in the daily mix.

X2= lb of soybean in the daily mix.

Objective Function

Minimize Z= 0.3 X1 + 0.9 X2

Constraints

X1 + X2 >= 800
0.09X1+0.6 X2 >= 0.3(X1+X2) = -0.21X1+0.3 X2 >= 0
0.02X1+0.06 X2 <= 0.05(X1+X2) = 0.03X1-0.01 X2 >= 0
X1, X2 >= 0

20 October 2019
20 October 2019
 Slack, Surplus, and Unrestricted variables
Slack Variable:

For constraints of the type (<=) the R.H.S normally

represents the limit on the availability of a resources and the
L.H.S represents the usage of this limited resource by the
different activities (variables) of the model.

A slack represents the amount by which the

available amount of the resource exceeds its usage by the
activities.

For example (6 X1+4 X2<= 24) is equivalent to

(6 X1+4 X2 + S1= 24) provided that S1>=0.
The slack variable S1=24-6 X1-4 X2 represents the unused
amount of raw material M1.

20 October 2019
 Surplus
Variable:
It is used in the constraints of type (>=) normally set minimum
specification requirements.

Surplus represents the excess of the L.H.S over the minimum

requirement.

For example (X1+X2 >= 800) is equivalent to (X1+X2 - S1= 800)

provided that S1>=0, this signifies that a surplus amount of feed
over the minimum requirement will be produced.

Unrestricted Variable:
The variable which can be positive or negative.

20 October 2019
 The Simplex Method

Introduction
It is a general algebraic method to solve a set
of linear
equations.

We use simplex method to get extreme (or corner) point

solution.

We must first convert the model into the standard LP form by

using slack or surplus variables to convert the inequality
constraints into equations.

Our interest in the standard LP form lies in the basic

solutions of the simultaneous linear equations.

20 October 2019
 Standard LP Form and its Basic Solution
Example 1:

Express the following LP model in standard form.

Maximize Z= 2X1 + 3 X2 + 5X3

S.T X1 + X2 - X3 >=
-5
-6X1 + + X 72X+4X
2
- 39X3 <= 4
X1X, 1X2 = >=
10 0
X3 unrestricted = X+3 -
X-3 ,X X-3
where
+3

Standard LP form

Maximize Z= 2X1 + 3 X2 + 5 X+3 - 5 X-3

S.T -X1 - X2 + 3 X+3 - 3 X-3 + X4 =5
-6X1 + 7X2 - 9 X+3 + 9 + X5
X-3X1 + X2 + 4X+3 - =4
X1, X42X
, -3X+3, X-3, X4, X5=>=0
10
20 October 2019 38
Dr.Farouk Sha'ban
Determination of basic solutions
The standard LP form includes m simultaneous linear equations in n
unknowns or variables (m<n).
We divide the n variables into 2 sets:
1. (n-m) variables to which we assign zero values which are called
non-basic variables.

1. Remaining m variables whose values are determined by solving

the resulting m equations which is called
basic variables.

The resulting solution is Basic Solution(BS). If all values are satisfying

non- negativity then resulting BS is Feasible Basic Solution(BFS),
otherwise, it is infeasible.

The maximum number of possible basic solution for m equations in n

unknowns is
n! m!(n
− m)!
20 October 2019
 Example 2:

Maximize Z= 5X1 + 6 X2
S.T 2X1 + 3X2 >= 18
2X1 +X2 <= 12
3X1 + 3X2 = 24
X 1, X2 >=0

Standard LP form

Maximize Z=5X1 + 6X2

S.T 2X1 +3X2 + X3 = 18
2X1 + X2 + X4 = 12
3X1 + 3X2 X1, X2, + X5 = 24
X 3, X 4, X 5 >=0

20 October 2019
 The Simplex Algorithm
We solve the Reddy Mikks model,
where
X1= Tons produced daily of exterior paint.
X2= Tons produced daily of interior paint.
Exterior and interior paints are produced from two types of
materials M1 and M2 raw

Maximize Z- 5 X1 - 4 X2 + 0 X3 + 0 X4 + 0 X5 +0 X6 = 0
S.T. 6 X1 +4 X2 + X3 <= 24
X1 +2 X2 + X4 <= 6
- X1 + X2 + X5 <= 1
X2 + X6 <=2
X1, X2, X3, X4, X5, X6 >=0

The variables X3, X4, X5, X6 are the slacks associated with the four
(<=) constraints.

20 October 2019
The Starting Basic Feasible Solution is

Is the starting solution optimal? No, since the coefficients of X1

and X2 are still negative so they can increase the profit of Z.
We choose X1 with more negative (-5) i.e.;X1 is the
entering variable.

20 October 2019
 Since none of the Z-row coefficients associated with the non-basic
variables X3, X4 is negative the last table is optimal.

20 October 2019 43
Dr.Farouk Sha'ban
The rules for selecting the entering and leaving variables are referred to
as the optimality and feasibility conditions

(a) Optimality conditions:

The entering variable in maximization (minimization) problem is the

non-basic variable having the most negative (positive) coefficient in the Z-
row. Ties are broken arbitrarily.
The optimum is reached at the iteration where all the Z-row
coefficients of the non-basic variables are non-negative (non-positive)

(b) Feasibility Condition:

for both the maximum and minimum problems the leaving variables is
the basic variables associated with the smallest non-negative ratio. Ties
are broken arbitrarily.
The steps of the simplex method are:
1. Determine a starting basic feasible solution
2. Select an entering variable using the optimality condition. Stop if
there is no entering variable.
3. Select a leaving variable using the feasibility condition.
4. Determine the new basic solution by using the appropriate Gauss-
Jordan computation.
20 October
5. Go 2019
to step Dr.Farouk Sha'ban 44