4.malebo PPT Mathematical Programming

PROGRAMMING
MATHEMATICAL
Malebo Mancha Massa:

1
malebo2004@gmail.com: AMU
4.1. Linear Programming

2
4.1. Linear Programming …
• The LPP is a widely used mathematical modeling
technique to determine the optimum allocation of
scarce resources among competing demands.
• As its name implies, the LPP consists of a linear
objective function of the form z = a1 x1 + a2 x2 +
⋯ + an xn and a system of constraints in the form of
linear inequalities (rather than equalities). It is used to
describe constrained optimization problems in which
• Both the objective function and the constraint
functions must be linear in the decision variable.
3
• Any linear programming model consists of four parts:
• The objective function to be optimized
(maximized or minimized),
• A set of decision variables: These must be non-
negative constraints.
xi ≥ 0 for i = 1, 2, 3, … , n
• A set of constraints that determine the set of
feasible solutions, and
• The parameters.
4
• The objective is to maximize or minimize a linear

function of the form z = a1 x1 + a2 x2 + ⋯ + an xn
subject to linear inequality constraints.
• Furthermore, the decision variables for a LPP must
be non-negative constraints. That is,
xi ≥ 0 for i = 1, 2, 3, … , n
5
• The standard form of a LPP for maximization is
𝐦𝐚𝐱 𝐳 = 𝐚𝟏 𝐱 𝟏 + 𝐚𝟐 𝐱𝟐 + ⋯ + 𝐚𝐧 𝐱 𝐧
𝐱𝐢
𝐚𝟏𝟏 𝐱𝟏 + 𝐚𝟏𝟐 𝐱𝟐 + ⋯ + 𝐚𝟏𝐧 𝐱 𝐧 ≤ 𝐛𝟏
𝐚𝟐𝟏 𝐱𝟏 + 𝐚𝟐𝟐 𝐱𝟐 + ⋯ + 𝐚𝟐𝐧 𝐱 𝐧 ≤ 𝐛𝟐
𝐒𝐮𝐛𝐣𝐞𝐜𝐭 𝐭𝐨 𝐚𝟑𝟏 𝐱𝟏 + 𝐚𝟑𝟐 𝐱 𝟐 + ⋯ + 𝐚𝟑𝐧 𝐱𝐧 ≤ 𝐛𝟑
⋮
𝐚𝐧𝟏 𝐱𝟏 + 𝐚𝐧𝟐 𝐱 𝟐 + ⋯ + 𝐚𝐧𝐧 𝐱𝐧 ≤ 𝐛𝐧
Where 𝐱 𝐢 ≥ 𝟎 and 𝒃𝐢 ≥ 𝟎
6
• Similarly, the standard form of the LPP for
minimization is given by
𝐦𝒊𝒏 𝐂 = 𝐚𝟏 𝐱𝟏 + 𝐚𝟐 𝐱𝟐 + ⋯ + 𝐚𝐧 𝐱 𝐧
𝐱𝐢
𝐚𝟏𝟏 𝐱𝟏 + 𝐚𝟏𝟐 𝐱𝟐 + ⋯ + 𝐚𝟏𝐧 𝐱 𝐧 ≥ 𝐛𝟏
𝐚𝟐𝟏 𝐱𝟏 + 𝐚𝟐𝟐 𝐱𝟐 + ⋯ + 𝐚𝟐𝐧 𝐱 𝐧 ≥ 𝐛𝟐
𝐒𝐮𝐛𝐣𝐞𝐜𝐭 𝐭𝐨 𝐚𝟑𝟏 𝐱𝟏 + 𝐚𝟑𝟐 𝐱 𝟐 + ⋯ + 𝐚𝟑𝐧 𝐱𝐧 ≥ 𝐛𝟑
⋮
𝐚𝐧𝟏 𝐱𝟏 + 𝐚𝐧𝟐 𝐱 𝟐 + ⋯ + 𝐚𝐧𝐧 𝐱𝐧 ≥ 𝐛𝐧
• Explicit nonnegativity constraints on choice variables
will also be imposed
Where 𝐱 𝐢 ≥ 𝟎 and 𝒃𝐢 ≥ 𝟎 7
4.2. Solving Linear Programming Problems
• LPPs can be solved using either graphical or simplex
algorithm method.
➢The graphical solution method is convenient for
solving LPPs involving two choice variables.
➢The simplex method is applicable for LPPs
involving more than two choice variables as well
as a large number of problem constraints.
➢The simplex solution method is adaptable to
computers as well.
8
4.2. Solving Linear Programming Problems …
Numerical Examples
• Suppose a manufacturer of light weigh tents makes a
standard and expedition model. Each standard tent requires
1 labor hour from the cutting department and 3 labor
hours from the assembling department. Each expedition
tent requires 2 labor hours from the cutting department
and 4 labor hours from the assembling department. The
maximum labor hours available per week in the cutting and
assembling department are 32 and 84 respectively. In
addition, the distributor because of demand will not take
more than 12 expedition tents per week. If the company
makes a profit of ETB 50 on each standard and ETB 80 on
9
each expedition tents how many tents of each type should
be manufactured each week to maximize the weekly profit?
• The relevant information is summarized as follows:
➢The objective function: π = 50x + 80y
➢Demand will not take more than 12 expedition tents per week
Labour hours per tent Maximum

labour hour
Standard, x Expedition, y available per
week
Cutting 1 2 32
department
Assembling 3 4 84
department
Profit per week 50 80 10
Solution: Graphical Method
• Basic steps involved to find graphical solution:
• Step 1: form mathematical model of the problem
➢Identify the objective function
➢Identify the decision (or choice) variables
➢Identify the problem constraints
➢Identify the non-negativity restrictions on the
choice variables
11
• Managers must decide how many standard and
expedition tents should be manufactured each week.
• Let x be the number of standard tents to be
manufactured and let y be the number of expedition
tents to be manufactured
• There are four constraints
• Labor-hours available for each department
• Time consumed by each product type
• Demand limit on the expedition tent
• Non-negativity restrictions on the number of
products to be manufactured 12
• Mathematical model of the problem
𝐦𝐚𝐱 π = 50x + 80y (the objective function)

𝐱,𝐲
𝐱 + 𝟐𝐲 ≤ 𝟑𝟐 (𝒄𝒖𝒕𝒕𝒊𝒏𝒈 𝒕𝒊𝒎𝒆 𝒄𝒐𝒏𝒔𝒕𝒓𝒂𝒊𝒏𝒕)
𝟑𝐱 + 𝟒𝐲 ≤ 𝟖𝟒 (𝒂𝒔𝒔𝒆𝒎𝒃𝒍𝒊𝒏𝒈 𝒕𝒊𝒎𝒆 𝒄𝒐𝒏𝒔𝒕𝒓𝒂𝒊𝒏𝒕)
𝐒. 𝐭
𝐲 ≤ 𝟏𝟐 (𝒅𝒆𝒎𝒂𝒏𝒅 𝒄𝒐𝒏𝒔𝒕𝒓𝒂𝒊𝒏𝒕)
𝐱, 𝐲 ≥ 𝟎 (𝒏𝒐𝒏 − 𝒏𝒆𝒈𝒂𝒕𝒊𝒗𝒊𝒕𝒚 𝒓𝒆𝒔𝒕𝒓𝒊𝒄𝒕𝒊𝒐𝒏𝒔)
13
• Step 2: Graph the feasible region F, which is a
region that is common to each of the inequalities.
• Given a LPP with feasible region F, and objective
function z = a1 x1 + a2 x2
➢If F is bounded (i.e., enclosed), then z has both
maximum and minimum values on F
➢If F is unbounded (i.e., not enclosed) and a1 , a2 ≥
0, then z has only minimum value on F but not
have maximum value on F.
➢If F = ∅, then z has no optimum value
14
Step 3: Find all corner points.
• A corner point is a point in the feasible region that is

the intersection of any two lines determined from
the inequalities.
15
• The feasible region F and all corner points.
• Since F region is bounded

𝛑 = 𝟓𝟎𝐱 + 𝟖𝟎𝒚 has both
maximum and minimum.
• Corner points of the
problem: O, A, G, J and E.
(8,12)
16
Step 4: find optimum values
• If an optimal value exists, then evaluate the objective

function at each of the corner points to obtain the
optimal value. Use the fundamental theorem of LPP
• According to the fundamental theorem of LPP,
optimal solution occurs at one (or more) of the
corner points of the feasible region.
17
• Since the objective function is π = 50x + 80y
➢At point O: (x, y) = (0, 0) ⟹π = ETB 0
➢At point A: (x, y) = (0, 12) ⟹π = ETB 960
➢At point G: (x, y) = (8, 12) ⟹ π = ETB 1360
➢At point J: (x, y) = (20, 6) ⟹ π = ETB 1480
➢At point E: (x, y) = (28, 0) ⟹ π = ETB 1400
• The maximum profit is ETB 1480. So, the
manufacturer maximizes profit by making 20 units of
standard model tents and 6 units of expedition tents.
18
Solution: Simplex Method
• Recall the linear programming problem,
𝐦𝐚𝐱 π = 50x + 80y

𝐱,𝐲
𝐱 + 𝟐𝐲 ≤ 𝟑𝟐
𝟑𝐱 + 𝟒𝐲 ≤ 𝟖𝟒
𝐒𝐮𝐛𝐣𝐞𝐜𝐭 𝐭𝐨
𝐲 ≤ 𝟏𝟐
𝐱, 𝐲 ≥ 𝟎
19
• To solve a linear programming problem in standard
form (or simplex method), use the following steps.
• Step one: convert each inequality in the set of

constraints to an equation by adding slack variables.
The slack variables si are non-negative variables that
take up the “slack” in each inequality. They are
introduced into the problem constraints so that
inequalities are converted to equality constraints. 20
• After adding slack variables, the corresponding system
of problem constraints equations is
𝐱 + 𝟐𝐲 + s1 = 𝟑𝟐
𝟑𝐱 + 𝟒𝐲 + s2 = 𝟖𝟒
𝐲 + s3 = 𝟏𝟐
21
• Step two: create the initial simplex tableau.
• The simplex method is carried out by performing

elementary row operations on a matrix that we call
the simplex tableau, which consists of the
augmented matrix corresponding to the constraint
equations together with the coefficients of the
objective function written in the form
−50x − 80y + π = 0 22
Initial simplex tableau
x y 𝐬𝟏 𝐬𝟐 𝐬𝟑 𝛑 b
1 2 1 0 0 0 32
3 4 0 1 0 0 84
0 1 0 0 1 0 12
-50 -80 0 0 0 1 0
23
• Step three: identify pivot column, pivot row, and
pivot element.
➢Locate the most negative entry in the bottom row
and identify the entering (pivot) column.
➢Form the ratios of the entries in the “b-column” with
their corresponding positive entries in the pivot
column. The pivot (departing) row corresponds to
the smallest nonnegative ratio 𝑏𝑖 /𝑎𝑖𝑗 . If all entries in
the pivot column are 0 or negative, then there is no
maximum solution. The entry in the departing row
and the entering column is called the pivot element.
24
x y 𝐬𝟏 𝐬𝟐 𝐬𝟑 𝛑 b 𝑏𝑖 /𝑎𝑖𝑗
1 2 1 0 0 0 32 16
3 4 0 1 0 0 84 21
0 1 0 0 1 0 12 12 ⟻
-50 -80 0 0 0 1 0
⤉
25
Step 4: perform iterated row operations called pivoting.
• We use row operation to transform the non-basic

variables associated with the pivot column to a basic
variable. For the above initial simplex tableau, the
basic variables are 𝐬𝟏 , 𝐬𝟐 and 𝐬𝟑 and the non-basic
variables (which have a value of zero) are x and y.
• If all entries in the bottom row are zero or positive, this

is the final tableau. If not, iterate row operations 26
x Y 𝐬𝟏 𝐬𝟐 𝐬𝟑 𝛑
R1 − 2R 3 1 0 1 0 -2 0 8 ⟻
R 2 − 4R 3 3 0 0 1 -4 0 36
R3 0 1 0 0 1 0 12
𝐑𝟒 -50 0 0 0 80 1 960
+ 𝟖𝟎𝐑 𝟑
⤉
27
x Y 𝐬𝟏 𝐬𝟐 𝐬𝟑 𝛑
R1 1 0 1 0 -2 0 8
R2 0 0 -3 1 2 0 12 ⟻
− 3R1
R3 0 1 0 0 1 0 12
𝐑𝟒 0 0 50 0 -20 1 1360
+ 𝟓𝟎𝐑 𝟏
⤉
28
x y 𝐬𝟏 𝐬𝟐 𝐬𝟑 𝛑
R1 +R 2 1 0 -2 1 0 0 20
1 0 0 -3/2 1/2 1 0 6
R2
2
1 0 1 3/2 -1/2 0 0 6
R3 − R2
2
𝐑𝟒 0 0 20 10 0 1 1480
+ 𝟏𝟎𝐑 𝟐
• Since the indicators (entries in the last row) are

now non-negative, the pivot operation ends. 29
Step 5: determine the optimum values.
• If you obtain a final simplex tableau, then the LPP has
a maximum solution, which is given by the entry in the
lower-right corner of the tableau.
• The solutions are x = 20, y = 6, s3 = 6 and the
maximum profit per week π = 1480.
• Therefore, the maximum profit per week is ETB 1480
when the economy produces 20 units of standard tents
and 6 units of expedition tents per week.
• The value 𝐬𝟑 = 6 suggests additional capacity for 30
expedition tents denoted by y.

Solving minimization problem using simplex method
• Theorem: a minimization problem has a solution if
and only if its dual problem has a solution.
• If the solution exists, then the optimal value of the
minimization problem is the same as the optimal
value of the dual problem.
• Example 2: consider the primal problem
𝐦𝐢𝐧 C = 3x + y
𝐱,𝐲
𝟏𝟎𝐱 + 𝟐𝐲 ≥ 𝟖𝟒
𝐒𝐮𝐛𝐣𝐞𝐜𝐭 𝐭𝐨 𝟖𝐱 + 𝟒𝐲 ≥ 𝟏𝟐𝟎
𝐱, 𝐲 ≥ 𝟎
31
Solution
• Step one: to perform the dual problem, form the
augmented matrix A for this system of inequalities.
• To this augmented matrix we add a last row that
represents the coefficients of the objective function, as
10 2 84
A = 8 4 120
3 1 1
32
• Step two: form the transpose of this matrix by
interchanging its rows and columns. Let B = AT
10 8 3
B= 2 4 1
84 120 1
• Step three: converting the minimization problem
(primal) to a dual maximization problem, as follows
𝐦𝐚𝐱 z = 84x + 120y
𝐱,𝐲
𝟏𝟎𝐱 + 𝟖𝐲 ≤ 𝟑
𝐒𝐮𝐛𝐣𝐞𝐜𝐭 𝐭𝐨 𝟐𝐱 + 𝟒𝐲 ≤ 𝟏
𝒙, 𝒚 ≥ 𝟎
• Then the procedures applied for the maximization problems
are applied for this dual problem, and the solution derived 33
is the solution for the original minimization problem.
The dual problem is solved as follows:
• Step one: introduce slack variables to the problem
constraints of the dual.
10𝑥 + 8𝑦 + 𝑠1 = 3
2𝑥 + 4𝑦 + 𝑠2 = 1
−84𝑥 − 120𝑦 + 𝑧 = 0
• Step two: the initial simplex tableau of the dual
x y 𝒔𝟏 𝒔𝟐 𝒛
10 8 1 0 0 3
2 4 0 1 0 1
-84 -120 0 0 1 0
34
• Step three: identify pivot element.
x y 𝒔𝟏 𝒔𝟐 𝒛
10 8 1 0 0 3
2 4 0 1 0 1 ⟻
-84 -120 0 0 1 0
⤉
• Step 4: iterated row (or pivot) operations.
x y 𝑠1 𝑠2 𝑧
𝑅1 − 2𝑅2 6 0 1 -2 0 1 ⟻
1/2𝑅2 1/2 1 0 1/4 0 1/4
𝑹𝟑 + 𝟑𝟎𝑹𝟐 -24 0 0 30 1 30
⤉
35
x y 𝐬𝟏 𝐬𝟐 𝐳
1/6𝐑 𝟏 1 0 1/6 -1/3 0 1/6
𝟏 0 1 -1/12 10/24 0 1/6
𝐑 𝟐 − ( )𝐑 𝟏
𝟏𝟐
𝐑 𝟑 + 𝟒𝐑 𝟏 0 0 4 22 1 34
• Now the indicators in the last row are non-
negative, so that the pivot operation ends.
Be careful while reading the solutions!
• The x-values corresponding to this optimal solution are
obtained from the entries in the bottom row
36
corresponding to slack variable columns. The solutions
are x = 4, y = 22, and the minimum cost 𝐶 = 34.
4.2. Nonlinear Programming

37
4.2. Nonlinear Programming …
• A Nonlinear programming (NLP) problem is an
optimization problem where the objective function
or some of the constraints are nonlinear.
• NLPs usually involve inequality constraints.
• Inequality constraints are those requiring certain
variables to be nonnegative and these often have to be
imposed for the solution to make economic sense. In
addition, bounds on resource availability are often 38
expressed as inequalities rather than equalities.

• Consider the following problem

𝐌𝐢𝐧𝐢𝐦𝐢𝐳𝐞 𝐘 = 𝟏𝟎𝟎(𝒙𝟐 − 𝒙𝟏 𝟐 )𝟐 +(𝟏 − 𝒙𝟏 )𝟐
Subject to:
𝒙𝟏 ≥ 𝟎
𝒙𝟐 ≥ 𝟎
39
Types of NLP problems
• Unconstrained optimization problems:
➢Unconstrained non-linear optimization problems are
defined as either minimize or maximize y = f(𝑥1 , 𝑥2 ,
…, 𝑥𝑛 ), with no functional constraints.
• Constrained non-linear optimization problems:
➢Constrained non-linear optimization problems are
defined as either minimize or maximize y = f(𝑥1 , 𝑥2 ,
…, 𝑥𝑛 ), with functional constraints.
40
• Consider the following problem
𝟐 𝟐
𝐌𝐢𝐧𝐢𝐦𝐢𝐳𝐞 𝐟 𝐱 = 𝟒𝒙𝟏 + 𝟓𝒙𝟐
𝐬𝐮𝐛𝐣𝐞𝐜𝐭 𝐭𝐨 𝟐𝒙𝟏 + 𝟑𝒙𝟐 = 𝟔
Solution by substitution method
𝟔 − 𝟑𝒙𝟐
𝟐𝒙𝟏 + 𝟑𝒙𝟐 = 𝟔 ⟹ 𝒙𝟏 =
𝟐
• Substituting into the objective function
𝐟 𝒙𝟐 = (𝟔 − 𝟑𝒙𝟐 )𝟐 +𝟓𝒙𝟐 𝟐 41
• At stationary point
𝐟 ′ 𝒙𝟐 = 𝟎 ⟹ −𝟑𝟔 + 𝟏𝟖𝒙𝟐 + 𝟏𝟎𝒙𝟐 = 𝟎
⟹𝟐𝟖𝒙𝟐 = 𝟑𝟔 ⟹ 𝒙𝟐 ∗= 𝟏. 𝟐𝟖𝟔
𝟔−𝟑𝒙𝟐
• Then using 𝒙𝟏 =
, we have
𝟐
𝟔 − 𝟑𝒙𝟐 ∗
𝒙𝟏 ∗= = 𝟏. 𝟎𝟕𝟏
𝟐
• Hence, the stationary point is (1.071, 1.286)
42
Lagrangian method
• The Lagrangian is
𝟐 𝟐
𝑳 = 𝟒𝒙𝟏 + 𝟓𝒙𝟐 + λ(𝟐𝒙𝟏 + 𝟑𝒙𝟐 − 𝟔)
𝝏𝑳
= 𝟎 ⟹ 𝟖𝒙𝟏 + 𝟐λ = 𝟎 ⟹ λ = −𝟐𝒙𝟏
𝝏𝒙𝟏
𝝏𝑳 𝟏𝟎
= 𝟎 ⟹ 𝟏𝟎𝒙𝟐 + 𝟑λ = 𝟎 ⟹ λ = − 𝒙𝟐
𝝏𝒙𝟐 𝟑
𝟏𝟎 𝟑
λ=λ⟹− 𝒙𝟐 − 𝟐𝒙𝟏 ⟹ 𝒙𝟐 = − 𝒙𝟏
𝟑 𝟓
𝟑
Substituting 𝒙𝟐 = − 𝒙𝟏 in to the constraint gives
𝟓
𝒙𝟏 ∗= 𝟏. 𝟎𝟕𝟏 𝒂𝒏𝒅 𝒙𝟐 ∗= 𝟏. 𝟐𝟖𝟔 43
• Real life applications of non-linear programming
problem include:
➢Product-mix problems with price elasticity
➢Transportation problem with volume discounts
➢Worst-case risk analysis: minimizing risk with risky
securities
➢Portfolio optimization
44
➢Optimal advertising

4.malebo PPT Mathematical Programming

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PROGRAMMING

Malebo Mancha Massa:

Malebo Mancha Massa:

• The objective is to maximize or minimize a linear

• Furthermore, the decision variables for a LPP must

Labour hours per tent Maximum

𝐦𝐚𝐱 π = 50x + 80y (the objective function)

• A corner point is a point in the feasible region that is

• Since F region is bounded

• If an optimal value exists, then evaluate the objective

• Recall the linear programming problem,

𝐦𝐚𝐱 π = 50x + 80y

• Step one: convert each inequality in the set of

• The simplex method is carried out by performing

• We use row operation to transform the non-basic

• If all entries in the bottom row are zero or positive, this

• Since the indicators (entries in the last row) are

expedition tents denoted by y.

Malebo Mancha Massa:

• NLPs usually involve inequality constraints.

expressed as inequalities rather than equalities.

• Consider the following problem

Solution by substitution method

➢Product-mix problems with price elasticity

➢Transportation problem with volume discounts

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