1

LINEAR PROGRAMMING

Definition:
According to Danzig, “Linear programming (LP) is defined as a programming of inter-
depended activities in a linear structure.”

According to Galton, “Linear programming(LP) is a mathematical technique for determining

the optimal solution of resources and obtaining a particular objective where there are
alternative uses of resources, e.g. man, material, machinery and money etc.”

Explanation of Definition:
The term linear means that the relationship involved among two or more variables in a
particular problem are linear that the variables change proportionately i.e. of the form given
below:-

The mathematical description of linear programming problem (LPP) is

Max/min 𝒁 = 𝒄𝟏𝒙𝟏 + 𝒄𝟐𝒙𝟐 + ⋯ . . +𝒄𝒏𝒙𝒏 (Objective function)

s.t. 𝑎11𝑥1 + 𝑎12𝑥2 + ⋯ + 𝑎1𝑛𝑥𝑛(≤ 𝒐𝒓 = 𝒐𝒓 ≥)𝒃𝟏 (𝒄𝒐𝒏𝒔𝒕𝒓𝒂𝒊𝒏𝒕𝒔)
𝑎21𝑥1 + 𝑎22𝑥2 + ⋯ + 𝑎2𝑛𝑥𝑛(≤ 𝒐𝒓 = 𝒐𝒓 ≥)𝒃𝟐
.
.
.
𝑎𝑚1𝑥1 + 𝑎𝑚2𝑥2 + ⋯ + 𝑎𝑚𝑛𝑥𝑛(≤ 𝒐𝒓 = 𝒐𝒓 ≥)𝒃𝒎
𝒂𝒏𝒅 𝑥1,𝑥2,……..𝑥𝑛 ≥ 0 (𝑛𝑜𝑛 − 𝑛𝑒𝑔𝑎𝑡𝑖𝑣𝑖𝑡𝑦 𝑟𝑒𝑠𝑡𝑟𝑖𝑐𝑡𝑖𝑜𝑛𝑠

Where z, 𝒙𝟏, 𝒙𝟐, … … . 𝒙𝒏 are the variables of power one (degree one) and the other symbols
like 𝑐1, 𝑐2, … 𝑐𝑛, 𝑎11, 𝑎12 … , 𝑎1𝑛, 𝑎21, 𝑎22 … 𝑎2𝑛, … 𝑎𝑚1, 𝑎𝑚2, … . 𝑎𝑚𝑛 are constants.
The term ‘programming’ means planning and it refers to a particular plan of action from
amongst several alternatives for maximizing profit or minimizing cost etc. i.e. the problems
deal with determining optimal allocation of limited resources to meet the given objective,
such as resources to meet the given objectives, such as least cost, maximum profit, highest
margin or least time, when resources have alteranative uses.
Thus we can define linear programming as a mathematical model designed to optimize a
linear function of several variables which is subjected to certain constraints which are linear
equalities or inequalities and the variables used are non-negative as they represent output.
OBJECTIVE FUNCTION  If 𝑐1, 𝑐2,… . 𝑐𝑛 are constants and 𝑥1,𝑥2, 𝑥𝑛 are variables, then
the linear function Z=𝑐1𝑥1 + 𝑐2𝑥2 + ⋯ + 𝑐𝑛𝑥𝑛 , which is to be maximized or minimized
(optimized) is called the objective function.

CONSTRAINTS  The in-equations or equations of LPP which describe the conditions

under which the optimization (maximization or minimization) is to be accomplished are
called constraints of ≤ or = 𝒐𝒓 ≥ type.
The constraints are
𝑎11𝑥1 + 𝑎12𝑥2 + ⋯ + 𝑎1𝑛𝑥𝑛(≤ 𝒐𝒓 = 𝒐𝒓 ≥)𝒃𝟏
𝑎21𝑥1 + 𝑎22𝑥2 + ⋯ + 𝑎2𝑛𝑥𝑛(≤ 𝒐𝒓 = 𝒐𝒓 ≥)𝒃𝟐
.
©Sudhanshu Sekhar Sahoo, Assistant Professor, DAV School of Business Management, Bhubaneswar
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.
.
𝑎𝑚1𝑥1 + 𝑎𝑚2𝑥2 + ⋯ + 𝑎𝑚𝑛𝑥𝑛(≤ 𝒐𝒓 = 𝒐𝒓 ≥)𝒃𝒎

Inequations in the form of greater than (or less than) equal to indicate that the total use of the
resources must be more than (or less than) or equal to (i.e. at least or at most) the specified
amount whereas equations in the constraints indicate that the resources described are to be
fully used.

NON NEGATIVITY RESTRICTIONS

These are the constraints which describe that the variables involved in a LPP are non-
negative.

As the number of unit sold, purchased, produced, invested or controlled can not be negative,
non-negative (≥ 𝑂"𝑡𝑦𝑝𝑒)restrictions are modeled.
Types of Linear Programming Problem (LPP)

LPP are classified into two types:

They are,
(i) General or Primal Linear Programming Problem,
(ii) Duality Linear Programming problem.

The procedures of determining the desired results under the above two types are described
below:-
(i) Steps to get solution in case of General or Primal LPP
(a) Formulation of the given problem

(b) Solution of the formulated problem

Each of the above steps will again require the following sub-steps.

1. FORMULATION OF LPP

Under this step, the given data relating to a problem will be arranged first under the following
three types of equation functions:
(1.1) objective function
(1.2) Constraints function

(1.3) Non-negative restrictions function.

2. SOLUTION OF THE FORMULATED PROBLEMS:-

After a LPP has been properly formulated, the next is to attempt on its solution to determine
the values of the different decision variables, 𝑥1, 𝑥2, … . . 𝑥𝑛 etc.
Solution of the LPP may be of three types, e.g.
(2.1) Feasible Solution  A solution which satisfies the constraints and non negativity
conditions of a general LPP is called a feasible solution.
©Sudhanshu Sekhar Sahoo, Assistant Professor, DAV School of Business Management, Bhubaneswar
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(2.2) Non-feasible (infeasible) solution  A solution of a LPP is an infeasible solution, if
the system of constraints has no point which satisfies all the constraints and non-negativity
restrictions.

(2.3) Optimal solution A feasible solution which optimizes (minimizes or maximizes) the
objective function of a LPP is called an optimum solution.

METHODS OF SOLUTION OF L.P.P

There are two methods of solving a LPP,
1. Graphic method
2. Simplex method

Graphical methods of Solving LPP:-

Graphical method can only be applied to LPP having two variables. The following methods
are used to solve the linear programming problems graphically,
(i) Corner-point method
(ii) Iso-profit or Iso cost method

2. SIMPLEX METHOD
The simplex method is an iterative procedure by which we can obtain an optimum feasible
solution, once any basic feasible solution has been determined in a finite number of steps.
USE OF ARTIFICIAL VARIABLES
We have seen that in the computational procedure of the simplex method, it is most convenient to
have the slack variables as the starting (initial) basic variables.
Thus, If the original constraints is an equation (“=”) or is of greater than equal to type (" ≥ ") , we
may no longer have a ready starting basic feasible solution.

In order to obtain an initial basic feasible solution 𝐼𝑚 = 𝐵, 𝑚 ≤ 𝑛), we first put the given L.P.P into
its standard form and then a non-negative variable is added to the left side of each of equation that
lacks the much needed starting basic variables.

The so added variable is called on “artificial variable” and plays the same role as a slack variable in
providing the initial basic feasible solution. Since such artificial variables have no physical meaning
from the stand point of original problem, the method will be valid only if we are able to force. Thus,
variables to be out or at zero level when the optimum solution is attained.

In other words to get back to the original problem, artificial variable must be driven to zero in the
final solution, otherwise the resulting solution, may be infeasible.

Methods : Two method are generally employed for the solution of linear programming problems
having artificial variables:-

1. Big M method or method of penalties

2. Two phase method

©Sudhanshu Sekhar Sahoo, Assistant Professor, DAV School of Business Management, Bhubaneswar
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Some Definitions

Slack Variables :
Slack variable represents an unused quaintly of resources; it is added to less than or equal
( ≤ ) to type constraints in order to get an equality constraint.

Let the constraints of a general L.P.P be

𝑎𝑖1𝑥1 + 𝑎𝑖2𝑥2 + ⋯ + 𝑎𝑖𝑛𝑥𝑛 ≤ 𝑏1, i=1,2……k

Then, the non negative variables 𝑠𝑛+𝑖 which satisfy,

𝑎𝑖1𝑥1 + 𝑎𝑖2𝑥2 + ⋯ + 𝑎𝑖𝑛𝑥𝑛 + 𝑠𝑛+𝑖 = 𝑏1, i=1,2……k

are called slack variables.

Surplus Variables :
Surplus variable represents an unused quaintly of resources; it is subtracted from more than
or equal ( ≥ ) to type constraints in order to get an equality constraint.

Let the constraints of a general L.P.P be

𝑎𝑖1𝑥1 + 𝑎𝑖2𝑥2 + ⋯ + 𝑎𝑖𝑛𝑥𝑛 ≥ 𝑏1, i=1,2……k

Then, the non negative variables 𝑠𝑛+𝑖 which satisfy,

𝑎𝑖1𝑥1 + 𝑎𝑖2𝑥2 + ⋯ + 𝑎𝑖𝑛𝑥𝑛 − 𝑠𝑛+𝑖 = 𝑏1, i=1,2……k

are called surplus variables.

Artificial Variables –
In simplex method if the original constraint is an equation (" = ") or is of type (" ≥ ") we
may no longer have a ready starting basic feasible solution. In order to obtain an initial basic
feasible solution, we first put the LPP into standard form and then a non negative of equation
that lacks the much needed starting basic feasible solution. The so added variables is called
artificial variable. The cost of the artificial in Big-M method is given as (-M) and in two
phase method is given as (-1)

Let the constraints of a general L.P.P be

𝑎𝑖1𝑥1 + 𝑎𝑖2𝑥2 + ⋯ + 𝑎𝑖𝑛𝑥𝑛 ≥ 𝑏1, i=1,2……k

Then, the non negative variables 𝑠𝑛+𝑖 , 𝐴𝑖 which satisfy,

𝑎𝑖1𝑥1 + 𝑎𝑖2𝑥2 + ⋯ + 𝑎𝑖𝑛𝑥𝑛 − 𝑠𝑛+𝑖 + 𝐴𝑖 = 𝑏1, i=1,2……k

are called surplus variables and artificial variable respectively.
Degenerate Solution : A basic solution to the system is called degenerate. If one or
more ofthe basic variable vanish. 𝐸𝑥: 𝑥1 = 1, 𝑥2=0, 𝑥3=0 is a degenerate solution of
©Sudhanshu Sekhar Sahoo, Assistant Professor, DAV School of Business Management, Bhubaneswar
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𝐴𝐵𝑋 = 𝑏.

ADVANTAGES OF LINEAR PROGRAMMING

The method of linear programming offers the following advantages:
1) Scientific Approach: Being a mathematical technique, the linear programming
method provides a scientific approach to the problem faced by an organization. It gives
a clear picture of the real problem of resource allocation.

2) Help to choose the Best Solution: Management problems are varied and complex.
Therefore, it creates difficulty in planning and getting a feasible solution. Linear
programming helps the manager to select, the best from among various alternatives.

3) Reflects Restriction: Constraints are portrayed in the form of linear equation or

inequalities in linear programming. Thus, it shows the restrictions under which a firm
operates and how to extract the best.

4) Incorporating Changes: Once a basic programming has been done, it can be

revalidated with respect to changing situation or condition. Similarly, future planning
can be done by changing various conditions.

5) Highlights Bottleneck: Sometimes, in the production process bottlenecks are found,

e.g. one machine fails to meet the market demand while other machines may remain
idle. So immediate steps can be taken once these are detected by linear programming.

6) Optimal use of the Input: Linear programming makes optimal use of the factors of
production such as labour, capital etc. by indicating the best use of existing facilities.
The inputs are used in a way so as to maximize output.

7) Solving Agricultural Problem: In agriculture, problem lies with the allocation of

inputs such as land area, water, labour, fertilizer etc. Linear programming technique
helps best allocation of these resources to maximize output.

8) Production Management: Linear programming can be used to determine the optimal

product mix taking into account various limitations which a firm has. Besides, it is also
used for product smoothing and assembly line balancing.

9) Financial Management: In financial management, linear programming helps in

selecting a specific investment from a number of alternatives. It also helps in
maximisation and selecting the appropriate portfolio mix.

DISADVANTAGES OF LPP
Despite the above advantages, LP suffers from the following limitations:
1) The linear programming model can be used in the situations where the objective
function and the constraints can be expressed in linear form. But actually such
relationship may not exist in some business and industrial problems.

2) The parameter appearing in the objective and constraint are assumed to be constant
©Sudhanshu Sekhar Sahoo, Assistant Professor, DAV School of Business Management, Bhubaneswar
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and known. But in real life situation neither they are known with certainty nor they
remain constant.

3) The answers provided by linear programming are not always integers. Sometimes it
gives fractional valued answer. If these fractions are rounded up to the nearest integer
it may not yield optimal solution.

4) Linear programming deals with single objective. So it fails to give a solution if

management has conflicting multiple goals.

5) This method does not take into account the effect of time and uncertainty.

6) In real life situation the number of variables are so large and complex that the
problem can’t be solved even by a super computer.

APPLICATIONS OF L.PP
Linear programming technique has been widely used in the field of management, industry
and other area which are briefed as under:
(A) Managerial Application
1) Optimization: The manager now-a-days are confronted with resource limitation. So
they try either to maximise profit / output or to maintain cost / loss within the
available resources such as manpower, capacity, cash etc. LP is widely used technique
to deal with the optimization problem.

2) Portfolios Mix: Managers always try to maximise shareholders wealth by minimising

risks. They have to choose the correct investment portfolio from among various
alternatives such as bond, equity share, preference share, public deposits etc. They
have to decide how much should be invested in each category to maximise return.
While taking such decision they are confronted with the problem of limited
investment, company law, and policy of the company itself. The correct portfolio mix
can be decided by using the method of L.P.P

3) Selection of Media Mix: Usually the advertisement budget is limited and a firm has
to take up advertisement in various medias such as newspaper, magazine, TV, radio,
etc. In this connection LPP helps in allocating total advertisement expenditure in
different Medias and the number of insertion in each media in order to maximize the
total exposure of the principal buyers.

4) Staffing: Many big organizations operate on shift basis. So they have to allocate
appropriate manpower (which is limited) to each shift so that cost can be minimized
and work will flow smoothly. In this respect LPP helps us to calculate the optimal
manpower to be required.

5) Transportation: After a product is produced at a given place it is to be sent to

different destinations to meet the market demand. If supply position, market demand
at different destinations, routes and cost of transportation are known, LP can help to
minimize total transportation cost.

INDUSTRIAL APPLICATION
©Sudhanshu Sekhar Sahoo, Assistant Professor, DAV School of Business Management, Bhubaneswar
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1) Product Mix: In order to cater to the market demand a firm produces different
products with different unit cost and unit profit. Since capacity of machines and
availability of raw material and labour hours are limited, the firm has to decide how
much to produce from each category to meet the market demand. LPP provides an
answer to this problem.

2) Blending Problem: Many a times, a product is produced by mixing different types of

raw material in a definite proportion. In the light of availability of different raw
materials and storage capacity, LPP helps to find out proper proportion of different
materials. This problem is seen in the production of gasoline, whisky, chemicals etc.

3) Production Scheduling: An optimum product scheduling is necessary to meet the

fluctuations in demand. The problem is to decide a programme which will allocate
operators to machines, product to machines and connection between production centre
and wholesaler at the same time ensuring cost minimization and smooth flow of
product to markets.

4) Trim Loss Problem: In industries like paper, glass, tin etc. a big size sheet is to be
cut into different sizes as per the requirement of the customers. When a big size sheet
is cut into different pieces some cut pieces (wastage) may result. LPP, here help to
reduce such loss i.e. to keep the trim loss to the minimum.

5) Assembly Line: Sometimes different component parts are assembled together to

make a finished product. LPP helps us to determine the proportion in which different
parts are to be produced which will not minimize cost but also will not create the
problem of storage.

OTHER AREAS OF APPLICATION:

1) Urban Development: LP is useful in analysing public expenditure planning, drug
control, public distribution system, housing, sewerage management etc.
2) Agriculture: In the field of agriculture, the technique of LP is used for land allocation
to different crops, water, and fertilizer management to various crops in order to
maximize output.
3) Air Line and Railway: In the field of aviation the timing of flight and determination
of the most economical pattern etc. are done with the help of LPP. Similarly, the
optimal programming of railway freight, handling of train movement and allocation of
trainmen are done by LPP with the objective to minimize total crew and engine
expenses.
4) Facilities Location: LPP helps location analysis to find out the best location of parks,
hospitals, telephone exchange, school, college, community centres etc.
5) Environmental Problem: LPP is used to analyse various alternatives of waste
disposal, paper re-cycling, air cleaner design, energy policy to satisfy anti-pollution
requirement.

©Sudhanshu Sekhar Sahoo, Assistant Professor, DAV School of Business Management, Bhubaneswar
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CPM AND PERT

A project is a combination of interrelated activities all of which must be executed in
acertain order to achieve a predetermined goal.
The two widely used techniques for the three phases of complex project development
, Planning, Scheduling and Controlling are CPM and PERT.
CPM- Critical Path Method
PERT- Programme Evaluation and Review Technique
Activity- an activity is a task of work to be done in a project.
A
1 2

Predecessor Activity: An activity which must be completed before the start of one more activity

Event: The starting and finishing points of an activity or a group of activities

Tail Event: The staring of an activity is called a tail event ( Ei )(Starting Event)

Head Event: The ending of an activity is called a head event ( Ej )(Completion Event)
CRITICAL PATH ANALYSIS (CPM)

The objective of critical path analysis is to estimate the total project duration and to assign starting
and finishing times to all the activities involved in the project.

For this special computations are carried out to produce the following information.

(a) Total duration needed for the completion of the project

(b) Categorization of the activities of the project as being critical or non -critical

Critical activity: An activity in a network diagram is said to be critical , if the delay in its start will
further delay the project completion time.

Non-critical activity: It allows some scheduling slack, so that the start time of the activity may be
advanced or delayed with in limits without affecting the completion date of the entire project.

Ei = Earliest occurrence time of event i

Lj = Latest occurrence time of event j

tij = Duration of activity (i , j)

The critical path calculations are done in the following two ways:

a) Forward Pass Calculations

b) Backward Pass Calculations

Forward Pass Calculations- We start from the initial node 1(event 1) with starting time of the
project as zero. Proceed through the network visiting nodes in an increasing order of node number and
end at the final node of the network. At each node we calculate earliest start and finish times for each
activity by considering Ei as the earliest occurrence of node i.
Backward Pass Calculations- We start from the final node n(event n) with ending time of the project

©Sudhanshu Sekhar Sahoo, Assistant Professor, DAV School of Business Management, Bhubaneswar
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as Ln = En. Proceed through the network visiting nodes in an decreasing order of node number and
end at the initial node 1 of the network . At each node we calculate latest occurrence finish and start
times for each activity by considering Lj as the latest occurrence of node j.
Condition of Critical activity:

An activity (i , j) will be critical if it satisfies the following conditions :

(i) Ei = Li and Ej = Lj
(ii) Ej – Ei = Lj – Li = tij

An activity that does not satisfy the above condition is termed as non-critical activity.

Critical Path: The critical activities of a network that constitute an uninterrupted path which spans
the entire network from start to finish is known as critical path.

Float(or Slack) of an Activity : The float of an activity is the amount of time by which it is possible
to delay its completion time without affecting the total project completion time.
Algorithm of Critical Path Method(CPM):

It is an important technique of project scheduling . Under CPM , the activity time is deterministic, i.e.,
there is only one time estimate of each activity.This method involves the following steps in
determining the critical path.

Step- 1: Construct/ Draw the project network of the given problem.

Step-2: Number all the events by numericals and all the activities by alphabets in order.

Step-3: Indicate the activity time on the arrows.

Step-4: Calculate the ES, EF, LS,LF , Total Float

Step-5: Identify the Critical Activities( Total Float=0)

Step-6: Calculate the total project duration( Sum of the durations of critical activities)
Programme Evaluation and Review Technique(PERT)
It is another important and widely used technique of project scheduling . PERT is probabilistic
method where the activity time is assumed to be uncertain and unknown. Therefore the probability of
activity completion is estimated.
𝑡𝑜 +4𝑡𝑚+𝑡𝑝
Expected Time (Te) =
6

𝑡𝑝−𝑡𝑜 2
Variance(𝜎2) =[ ]
6

Where,

𝑡𝑜 = Optimistic time estimate: It is the smallest time taken to complete

the activity if everything goes well.

𝑡𝑚= Most likely time estimate: It refers to the estimate of the normal
©Sudhanshu Sekhar Sahoo, Assistant Professor, DAV School of Business Management, Bhubaneswar
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time the activity would take.

𝑡𝑝= Pessimistic time estimate: It is the longest time that an activity

would take if everything goes wrong\
̅
Standard normal variate Z= 𝑋−𝑋
𝜎
𝑋̅= Expected Project duration = Sum of the Expected times(Te) asoociated with the critical
path

X= Scheduled time

𝜎 = Standard Deviation= Square root of the sum of variances associated with critical path

=√∑ 𝑉𝑎𝑟𝑖𝑎𝑛𝑐𝑒 𝑜𝑓 𝑐𝑟𝑖𝑡𝑖𝑐𝑎𝑙 𝑎𝑐𝑡𝑖𝑣𝑖𝑡𝑖𝑒𝑠

Algorithm of PERT

Sep-1: Draw the Project Network

Step-2: Compute the expected time and variance of each activity

Step-3: Compute the earliest occurrence and latest occurrence time of each activity

Step-4: Identify the critical activities and determine the critical path

Step-5: Find Expected project duration, 𝑋̅by adding the expected time of the critical path
activities

Step-6: Find Standard Dviation , 𝜎 𝑎𝑠 𝑡ℎ𝑒 Square root of the sum of variances associated
with critical path
̅
Step-7: Calculate the standard Normal variate Z= 𝑋−𝑋, where X is the scheduled time
𝜎
Step-8: Using the Area Table of Normal Distribution curve ,we can estimate the probability
of completing wih in scheduled time X.(i.e., on or before a specified time)

©Sudhanshu Sekhar Sahoo, Assistant Professor, DAV School of Business Management, Bhubaneswar
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©Sudhanshu Sekhar Sahoo, Assistant Professor, DAV School of Business Management, Bhubaneswar