Linear programming

Chapter VI: Sensitivity Analysis

M. NACEUR AZAIEZ, Professor

Asma Ben Yaghlane Riahi, Doctor
Tunis Business School
https://sites.google.com/site/naceurazaiez/

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 Content
• Introduction
• Changes in the objective function coefficients
• Changes in the RHS
• Introducing a new constraint
• Deleting a constraint
• Introducing a new variable
• Deleting a variable

2
 Introduction
In real situations:
these parameters can effect of changes in
Problem parameters:
only be good the problem
known and accurate
estimates of the real parameters
problem inputs

effect of varying the

OF and RHS adding/deleting a
the range of
coefficients on variable or a
optimality/feasibility
optimality/feasibility constraint
of the obtained OS*

3
Introduction-continued
Sensitivity Sensitive
analysis parameters
process of those for which
determining the a small change
range of may affect
parameter(s) for optimality
which optimality
or the optimal
basis remains
unchanged should be
estimated with a
lot of care

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Change in the objective
function coefficients

5
 one or more of the
OF coefficients
change

The obtained OS*

remains optimal The obtained optimal
(even though the solution is no longer
objective value optimal
would change)

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• For each coefficient, it is possible to determine the range
for which optimality is preserved: optimality interval

optimality
preserved

Z-value changes
when the changing the Z-value remains
coefficient unchanged for NBV
corresponds to a BV

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Example
Max Z = 10X1 + 20X2

X1 + X2  15

4X1 + 2X2  40

-X1 + X2  10

X1  20

X1, X2  0
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 Example-continued
We are interested in
The OS* is given by: determining by how much
we may change the
X1*= 2.5; X2* = 12.5;
coefficient c1 of X1 in the
Z* = 275 OF without affecting
optimality.

In order to answer, we
need to carry out a
sensitivity analysis to c1.

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 Optimal Simplex tableau

CJ 10 20 0 0 0 0
Basis X1 X2 S1 S2 S3 S4 RHS
10 X1 1 0 1/2 0 -1/2 0 2.5
0 S2 0 0 -3 1 1 0 5
20 X2 0 1 1/2 0 1/2 0 12.5
0 S4 0 0 -1/2 0 1/2 1 17.5
ZJ 10 20 15 0 5 0 275
J 0 0 -15 0 -5 0

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 By varying c1, the optimal tableau is modified as:

Cj 10+ c1 20 0 0 0 0
VB X1 X2 S1 S2 S3 S4 RHS
10+c1 X1 1 0 1/2 0 -1/2 0 2.5
0 S2 0 0 -3 1 1 0 5
20 X2 0 1 1/2 0 1/2 0 12.5
0 S4 0 0 -1/2 0 1/2 1 17.5
Zj 10 +c1 20 15 +1/2c1 0 5 -1/2c1 0 275 +2.5c1
j 0 0 -15 -1/2c1 0 -5+1/2c1 0

For the tableau to remain optimal non-positivity of row j

must be preserved.
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 -15 – ½ c1  0 Or -30  c1  10

-5 + ½ c1  0

Equivalently, -20  c1  20

Question: Determine the effect on Z if c1 is equal to 25.

c1 = 10 c1’ = 25 and hence c1 = 15

Note that c1’[-20,20]. Thus Z changes

The optimal simplex tableau becomes:

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 Cj 10 +15 20 0 0 0 0
BV X1 X2 S1 S2 S3 S4 RHS

10 +15 X1 1 0 1/2 0 -1/2 0 2.5

0 S2 0 0 -3 1 1 0 5
20 X2 0 1 1/2 0 1/2 0 12.5
0 S4 0 0 -1/2 0 1/2 1 17.5

Zj 10 + 15 20 15 + 7.5 0 5 - 7.5 0 275+37.5

j 0 0 -15 - 7.5 0 -5+ 7.5 0

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By performing the next iteration, we obtain the
following optimal tableau:

Cj 25 20 0 0 0 0
VB X1 X2 S1 S2 S3 S4 bi
25 X1 1 0 -1 1/2 0 0 5
0 S3 0 0 -3 1 1 0 5
20 X2 0 1 2 -1/2 0 0 10
0 S4 0 0 1 -1/2 0 1 15
Zj 25 20 15 2,5 0 0 325
j 0 0 -15 -2,5 0 0

The new solution becomes: X1*= 5, X2* = 10 and Z* = 325.

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Question: By how much we can modify the coefficient c2 of

X2 in Z without affecting the optimal solution?

To answer, we need to perform a sensitivity analysis to the

variation of c2 in the objective function.

c2 = 20 c2’ = 20 + c2

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 Cj 10 20 +c2 0 0 0 0
VB X1 X2 S1 S2 S3 S4 bi
10 X1 1 0 1/2 0 -1/2 0 2.5
0 S2 0 0 -3 1 1 0 5
20+c2 X2 0 1 1/2 0 1/2 0 12.5
0 S4 0 0 -1/2 0 1/2 1 17.5
Zj 10 20 +c2 15 +1/2c2 0 5 +1/2c2 0 275+12.5c2
j 0 0 -15 -1/2c2 0 -5 -1/2c2 0

For the tableau to remain optimal, row j must remain

non-positive.

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 -15 – ½ c2  0 Or just -30  c2

-5 – ½ c2  0 -10  c2

It follows that c2 ≥ 10 and hence optimality is preserved.

Question: What is the effect on optimality if the coefficient c2

takes the value 25?

c2 = 20 c2’ = 25 ≥ 10

Therefore, optimality is preserved: X1*=2.5; X2*=12.5; Z*=337.5.

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18
Change in the RHS of a
constraint

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Question: In what range it is possible to vary the RHS of the

1st constraint while preserving the optimality of the basis?

Let b1 be the variation in RHS of the 1st constraint.

Then, the 1st constraint becomes X1 + X2  15 + b1

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The change in the RHS of the constraints would only affect the

corresponding column in the simplex tableau.

o Note that the parameter b1 & the variable S1 have the

same coefficients in the standard form and will preserve

identical coefficients for all simplex tableaus, particularly for

the optimal one.

o It suffices to take the coefficients of S1 in the last tableau as

those of b1 in column bi.

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CJ 10 20 0 0 0 0
Basis X1 X2 S1 S2 S3 S4 RHS
10 X1 1 0 1/2 0 -1/2 0 2.5 +1/2 b1
0 S2 0 0 -3 1 1 0 5 – 3 b1
20 X2 0 1 1/2 0 1/2 0 12.5 +1/2 b1
0 S4 0 0 -1/2 0 1/2 1 17.5 –1/2 b1
ZJ 10 20 15 0 5 0 275 +15 b1
J 0 0 -15 0 -5 0

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For the basis to remain optimal, the corresponding solution must be
feasible.

b1  -5
2.5+1/2 b1  0
b1  5/3
5 – 3 b1  0
b1  -25
12.5 + 1/2 b1  0
b1  35
17.5 – 1/2 b1  0

-5  b1  5/3

Or equivalently, 10  b1 50/3

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Question: Determine the effect on Z if b1 takes the value 12.

b1’ = 15 + b1 = 12. Hence, b1 = -3.

The basis remains optimal as 10  b1’ 50/3

Feasibility interval

the range at which the RHS of a constraint may vary while

preserving the optimal basis of the last simplex tableau

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In the previous example, we have

ZX’ = 275 + 15 b1

ZX’ = 275 + 15(-3) = 230

As a result, Z decreases by 45 units.

We may equivalently obtain the new optimal objective value. In

fact, while keeping a variation within the feasibility interval of the

RHS, row j remains unchanged and hence optimality is preserved.

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Let: X1’* & X2’* form the new optimal solution

Y1*, Y2*, Y3* & Y4* constitute the dual optimal solution.

Then ZX’* = 10X1’* + 20X2’*

ZY’* = (15+b1)Y1* + 40Y2* + 10Y3* + 20Y4*

Given that ZX’* = ZY’*

It follows that ZX’* = (15+b1)Y1* + 40Y2* + 10Y3* + 20Y4*

ZX’* = ZX* + b1Y1*

That is, ZX’* = 275 + 15 b1

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Introducing a new constraint

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 redundant and
Satisfied by the
optimality is
OS*
Introducing a preserved
new constraint
Not satisfied by optimality is
the OS* not preserved

New solution
will be worse

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In the previous example, consider the
additional constraint:
2X1 + X2  15

This constraint is not satisfied by the

optimal solution:
X1 = 2.5; X2 = 12.5; and Z = 275

We can show that the new solution is:

X1* = 5/3, X2* = 35/3 & Z*= 250

Z decreases by 25 units

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Deleting a constraint

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 Deleted
constraint

Inactive Binding

No change OS* will

in the OS* change
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• Reconsider the last example after introducing the 5th
constraint.

• In order to find the optimal tableau after deleting a constraint,

we proceed as follows:

 In order to delete the 2nd constraint (inactive), it suffices to

delete row S2 & column S2.

 In order to delete the 5th constraint (binding), we first

introduce variable S5 in the tableau, then we delete both
the row and the column of S5. Finally, we continue all
required iterations till optimality is reached.

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CJ 10 20 0 0 0 0 0
Basis X1 X2 S1 S2 S3 S4 S5 RHS
10 X1 1 0 0 0 -1/3 0 1/3 5/3
0 S2 0 0 0 1 0 0 -2 10
20 X2 0 1 0 0 2/3 0 1/3 35/3
0 S4 0 0 0 0 1/3 1 -1/3 55/3
0 S1 0 0 1 0 -1/3 0 -2/3 5/3
J 0 0 0 0 -10 0 -10 250

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CJ 10 20 0 0 0 0 0
Basis X1 X2 S1 S2 S3 S4 S5 RHS
0 S5 3 0 0 0 -1 0 1 5
0 S2 6 0 0 1 -2 0 0 20
20 X2 -1 1 0 0 1 0 0 10
0 S4 1 0 0 0 0 1 0 20
0 S1 2 0 1 0 -1 0 0 5
J 30 0 0 0 -20 0 0 200

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After deleting the row and the column of S5 and
performing one iteration, we obtain the following optimal
tableau:

CJ 10 20 0 0 0 0
Basis X1 X2 S1 S2 S3 S4 RHS
0 S2 0 0 -3 1 1 0 5
20 X2 0 1 1/2 0 1/2 0 12.5
0 S4 0 0 -1/2 0 1/2 1 17.5
10 X1 1 0 1/2 0 -1/2 0 2.5
J 0 0 -15 0 -10 0 275
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Introducing a new variable

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Reconsider the last example and suppose that a 3rd

variable is introduced with a coefficient of 10 in Z and

coefficients of 1, 2, 0 & 0 in 1st, 2nd, 3rd & 4th constraints,

respectively.

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The new LP is then:

Max Z = 10X1 + 20X2 + 10X3

X1+X2+X3  15

4X1+2X2+2X3  40

-X1+X2  10

X1  20

X1, X2, X3  0
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 optimality will be
degraded with
respect to the dual
and hence
improved with
Constraint not respect to the
satisfied by the OS* primal
Introducing a
variable in the It is worthwhile
primal = adding a introducing this
new constraint in variable in this case
the dual

Constraint satisfied optimality is

by the OS* unchanged

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In the previous example, variable X3 corresponds in the dual

to adding the following constraint

Y1 + 2Y2 ≥ 10

This constraint is satisfied by the obtained optimal solution:

Y1 + 2Y2 = 1x15 + 2x0 = 15 ≥ 10.

The optimal solution remains unchanged

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Introducing a new variable is We are usually interested in

particularly interesting when assessing whether it is

a new activity is under beneficial to go for such an

consideration such as a new activity by examining if the

product profit would increase

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Deleting a variable

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 Deleting a variable X
=
introducing a new
constraint: X = 0

The deleted The deleted

variable was non- variable was
basic at the OS* basic at the OS*

optimality is optimality will

preserved change

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