LP formulating problems

Antonio J. Conejo, 2018

What

August 29, 2018 A. J. Conejo 2

General Form

August 29, 2018 A. J. Conejo 3

 Variables in red!
General Form

All type of
constraints

Variables not
restricted in
sign

August 29, 2018 A. J. Conejo 4

General Form

August 29, 2018 A. J. Conejo 5

General Form: Example

Constraints:
=
≥
≤
August 29, 2018 A. J. Conejo 6
General Form

August 29, 2018 A. J. Conejo 7

General Form

August 29, 2018 A. J. Conejo 8

General Form

August 29, 2018 A. J. Conejo 9

General Form

August 29, 2018 A. J. Conejo 10

Transformations

Algorithm

August 29, 2018 A. J. Conejo 11

Transformations

August 29, 2018 A. J. Conejo 12

Transformations

August 29, 2018 A. J. Conejo 13

Transformations

August 29, 2018 A. J. Conejo 14

Transformations

August 29, 2018 A. J. Conejo 15

Transformations

August 29, 2018 A. J. Conejo 16

Transformations

August 29, 2018 A. J. Conejo 17

Transformations

August 29, 2018 A. J. Conejo 18

Transformations

August 29, 2018 A. J. Conejo 19

Transformations

August 29, 2018 A. J. Conejo 20

Transformations

August 29, 2018 A. J. Conejo 21

Transformations

August 29, 2018 A. J. Conejo 22

Transformations

August 29, 2018 A. J. Conejo 23

 Transformations

variable z; variable z;
positive variables x1, x2; positive variables x1, x2;
equations of, eq1, eq2, eq3, eq4; equations of, eq1, eq2, eq3, eq4;
of ..z=e=x1+x2; of ..z=e=-x1-x2;
eq1..(2/3)*x1+x2=l=18; eq1..(2/3)*x1+x2=l=18;
eq2..2*x1+x2=g=8; eq2..2*x1+x2=g=8;
eq3..x1=l=12; eq3..x1=l=12;
eq4..x2=l=16; eq4..x2=l=16;
model ep /all/; model ep /all/;
solve ep using lp maximizing z; solve ep using lp minimizing z;

LOWER LEVEL UPPER LOWER LEVEL UPPER

---- VAR z -INF 22.000 +INF ---- VAR z -INF -22.000 +INF
---- VAR x1 . 12.000 +INF ---- VAR x1 . 12.000 +INF
---- VAR x2 . 10.000 +INF ---- VAR x2 . 10.000 +INF

August 29, 2018 A. J. Conejo 24

Standard Form

August 29, 2018 A. J. Conejo 25

Standard Form

August 29, 2018 A. J. Conejo 26

 Minimization
Standard Form Only equality
constraints

Only non-negative
variables
August 29, 2018 A. J. Conejo 27
Standard Form

August 29, 2018 A. J. Conejo 28

 Standard Form

General Standard

August 29, 2018 A. J. Conejo 29

 Standard Form
variable z; variable z;
positive variables x1, x2; positive variables x1, x2, x3, x4;
equations of, eq1, eq2, eq3; equations of, eq1, eq2, eq3;
of.. 200*x1+220*x2=e=z; of.. 200*x1+220*x2=e=z;
eq1..0.7*x1+0.64*x2=g=0.65; eq1..0.7*x1+0.64*x2-x3=e=0.65;
eq2..0.9*x1+0.80*x2=l=0.85; eq2..0.9*x1+0.80*x2+x4=e=0.85;
eq3..x1+x2=e=1; eq3..x1+x2=e=1;
model mg /all/; model mg /all/;
solve mg using lp minimizing z; solve mg using lp minimizing z;

LOWER LEVEL UPPER LOWER LEVEL UPPER

---- VAR z -INF 210.000 +INF ---- VAR z -INF 210.000 +INF
---- VAR x1 . 0.500 +INF ---- VAR x1 . 0.500 +INF
---- VAR x2 . 0.500 +INF ---- VAR x2 . 0.500 +INF
---- VAR x3 . 0.020 +INF
---- VAR x4 . . +INF

August 29, 2018 A. J. Conejo 30

Standard Form

August 29, 2018 A. J. Conejo 31

 Standard Form
variable z; variable z;
positive variables x1, x2; positive variables x1, x2, x3, x4, x5, x6;
equations of, eq1, eq2, eq3, eq4; equations of, eq1, eq2, eq3, eq4;
of ..z=e=x1+x2; of ..z=e=-x1-x2;
eq1..(2/3)*x1+x2=l=18; eq1..(2/3)*x1+x2+x3=e=18;
eq2..2*x1+x2=g=8; eq2..2*x1+x2-x4=e=8;
eq3..x1=l=12; eq3..x1+x5=e=12;
eq4..x2=l=16; eq4..x2+x6=e=16;
model ep /all/; model ep /all/;
solve ep using lp maximizing z; solve ep using lp minimizing z;

LOWER LEVEL UPPER

LOWER LEVEL UPPER ---- VAR z -INF -22.000 +INF
---- VAR x1 . 12.000 +INF
---- VAR z -INF 22.000 +INF ---- VAR x2 . 10.000 +INF
---- VAR x1 . 12.000 +INF ---- VAR x3 . . +INF
---- VAR x2 . 10.000 +INF ---- VAR x4 . 26.000 +INF
---- VAR x5 . . +INF
---- VAR x6 . 6.000 +INF

August 29, 2018 A. J. Conejo 32

Standard Form

August 29, 2018 A. J. Conejo 33

 Standard Form
variable z, theta1, theta2; variable z;
positive variables x1, x2; positive variables x1, x2, alpha1, alpha2, beta1, beta2, x3, x4;
equations of, ba1, ba2, ba3, bo1, bo2; equations of, ba1, ba2, ba3, bo1, bo2;
of.. z=e=x1+2*x2; of.. z=e=x1+2*x2;
ba1..x1=e=(theta1-theta2)+(theta1-0); ba1..x1=e=((alpha1-beta1)-(alpha2-beta2))+((alpha1-beta1)-0);
ba2..x2=e=(theta2-theta1)+(theta2-0); ba2..x2=e=((alpha2-beta2)-(alpha1-beta1))+((alpha2-beta2)-0);
ba3..10=e=(theta1-0) +(theta2-0); ba3..10=e=((alpha1-beta1)-0) +((alpha2-beta2)-0);
bo1..x1=l=6; bo1..x1+x3=e=6;
bo2..x2=l=8; bo2..x2+x4=e=8;
model ed /all/; model ed /all/;
solve ed using lp minimizing z; solve ed using lp minimizing z;

LOWER LEVEL UPPER

MARGINAL
LOWER LEVEL UPPER
---- VAR z -INF 14.000 +INF .
---- VAR z -INF 14.000 +INF
---- VAR x1 . 6.000 +INF .
---- VAR theta1 -INF 5.333 +INF
---- VAR x2 . 4.000 +INF .
---- VAR theta2 -INF 4.667 +INF
---- VAR alpha1 . 5.333 +INF .
---- VAR x1 . 6.000 +INF
---- VAR alpha2 . 4.667 +INF .
---- VAR x2 . 4.000 +INF
---- VAR beta1 . . +INF EPS
---- VAR beta2 . . +INF EPS
---- VAR x3 . . +INF 1.000
---- VAR x4 . 4.000 +INF .

August 29, 2018 A. J. Conejo 34

Canonical Form

August 29, 2018 A. J. Conejo 35

 Canonical Form

Only greater-than-or-equal-to
inequalities

August 29, 2018 A. J. Conejo 36

Canonical Form

August 29, 2018 A. J. Conejo 37

Canonical Form

August 29, 2018 A. J. Conejo 38

Canonical Form

August 29, 2018 A. J. Conejo 39

Canonical Form

August 29, 2018 A. J. Conejo 40

Canonical Form

August 29, 2018 A. J. Conejo 41

 Canonical Form

General Canonical

August 29, 2018 A. J. Conejo 42

 Canonical Form
variable z; variable z;
positive variables x1, x2; positive variables x1, x2;
equations of, eq1, eq2, eq3, eq4; equations of, eq1, eq2, eq3, eq4;
of ..z=e=x1+x2; of ..z=e=-x1-x2;
eq1..(2/3)*x1+x2=l=18; eq1..-(2/3)*x1-x2=g=-18;
eq2..2*x1+x2=g=8; eq2..2*x1+x2=g=8;
eq3..x1=l=12; eq3..-x1=g=-12;
eq4..x2=l=16; eq4..-x2=g=-16;
model ep /all/; model ep /all/;
solve ep using lp maximizing z; solve ep using lp minimizing z;

LOWER LEVEL UPPER LOWER LEVEL UPPER

---- VAR z -INF 22.000 +INF ---- VAR z -INF -22.000 +INF
---- VAR x1 . 12.000 +INF ---- VAR x1 . 12.000 +INF
---- VAR x2 . 10.000 +INF ---- VAR x2 . 10.000 +INF

August 29, 2018 A. J. Conejo 43

 Canonical Form
General

Canonical
August 29, 2018 A. J. Conejo 44
 Canonical Form
variable z; variable z;
positive variables x11, x12, x21, x22; positive variables x11, x12, x21, x22;
equations of, s1, s2, d1, d2; equations of, s1, s2, d1, d2, n1, n2;
of..z=e=5*x11+4*x12+3*x21+6*x22; of..z=e=5*x11+4*x12+3*x21+6*x22;
s1..x11+x12=l=7; s1..-x11-x12=g=-7;
s2..x21+x22=l=12; s2..-x21-x22=g=-12;
d1..x11+x21=e=10; d1..-x11-x21=g=-10;
d2..x12+x22=e=8; n1..x11+x21=g=10;
model ng /all/; d2..-x12-x22=g=-8;
solve ng usign lp minimizing z; n2..x12+x22=g=8;
model ng /all/;
solve ng usign lp minimizing z;

LOWER LEVEL UPPER LOWER LEVEL UPPER

---- VAR z -INF 64.000 +INF ---- VAR z -INF 64.000 +INF
---- VAR x11 . . +INF ---- VAR x11 . . +INF
---- VAR x12 . 7.000 +INF ---- VAR x12 . 7.000 +INF
---- VAR x21 . 10.000 +INF ---- VAR x21 . 10.000 +INF
---- VAR x22 . 1.000 +INF ---- VAR x22 . 1.000 +INF

August 29, 2018 A. J. Conejo 45

 Canonical Form
General Canonical

August 29, 2018 A. J. Conejo 46

 Canonical Form
variable z; variable z;
positive variables x1, x2; positive variables x1, x2;
equations of, eq1, eq2, eq3; equations of, eq1, eq2, eq3, ne1;
of.. 200*x1+220*x2=e=z; of.. 200*x1+220*x2=e=z;
eq1..0.7*x1+0.64*x2=g=0.65; eq1..0.7*x1+0.64*x2=g=0.65;
eq2..0.9*x1+0.80*x2=l=0.85; eq2..-0.9*x1-0.80*x2=g=-0.85;
eq3..x1+x2=e=1; eq3..-x1-x2=g=-1;
model mg /all/; ne1..x1+x2=g=1;
solve mg using lp minimizing z; model mg /all/;
solve mg using lp minimizing z;

LOWER LEVEL UPPER LOWER LEVEL UPPER

---- VAR z -INF 210.000 +INF ---- VAR z -INF 210.000 +INF
---- VAR x1 . 0.500 +INF ---- VAR x1 . 0.500 +INF
---- VAR x2 . 0.500 +INF ---- VAR x2 . 0.500 +INF

August 29, 2018 A. J. Conejo 47

Standard and Canonical Forms

Standard Form

August 29, 2018 A. J. Conejo 48

This is it!

August 29, 2018 A. J. Conejo 49