Linear PROGRAMMING

Week 2
What makes an LP…. LINEAR?
What do you call the shaded area where all
constraints are satisfied?
In this example, your constraints are:
x ≥ 0, y ≥ 0, x+2y ≤ 4, x+y ≤ 3

What is the Objective?

Lets say we want to maximize Z = x+y… What
would the solution be?

In a linear program(LP) the solution is always on

one of the corners (unique solution) or along a
boundary (multiple solutions)!
What if your objective was non-linear?
What if your constraints were non-linear??

Feasible Region
What makes an IP…. INTEGER?
In an LP, you check the ‘corners’ or boundaries for
optimal solutions… In an integer programming
problem, where do you check?

Is the problem easier or more difficult?

How many potential solutions are there?

Feasible Region
What makes an ILP…. INTEGER?
In an LP, you check the ‘corners’ or boundaries for
optimal solutions… In an integer programming
problem, where do you check?

Is the problem easier or more difficult?

How many potential solutions are there?

Feasible Region
Linearity
1. Additivity – the contribution from one decision gets added to or
subtracted from the contribution of other decisions
2. Proportionality – the contribution from any given decision grows in
proportion to the value of the corresponding decision variable
3. Divisible – a fractional decision variable is meaningful

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Types of LP’s
• Allocation – maximizing an objective (usually profit) subject to
resource constraints on capacity
• Covering – minimizing an objective (usually cost) subject to benefit
constraints on required coverage
• Blending – may be a minimizing/maximizing problem, with the added
twist of some sort of proportion requirements added to the
constraints
• Network – product, people or funds flow through a network of NODES
connected by ARCS.
Problem 3 – Post Office Scheduling
A post office requires different numbers of full-time employees on different days
of the week. The number of full-time employees required each day is given
below. Union rules state that each full-time employee must work 5 consecutive
days and then receive two days off. For example, if an employee worked Wed –
Sun, they would receive Monday and Tuesday off. The post office wants to meet
its daily requirement using only full time employees. How do they schedule
employees to minimize the number of full time employees that must be hired?
Minimum Employees
Day Hired
Monday 17
Tuesday 13
Wednesday 15
Thursday 19
Friday 14
Saturday 16
Sunday 11
 Tellers Required
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Problem 4 – Bank Scheduling

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2
9 to 10 10 to 11- noon-1 1 to 2 2 to 3 3 to 4 4 to 5
11 noon

• Gotham City National Bank is open Monday through Friday from 9 am to 5 pm.
From past experience the bank knows that it needs the number of tellers shown
They hire 2 types of tellers. Full-time tellers work 9 am – 5 pm five days a week
with one hour off each day for lunch. The bank determines when a full-time
employee takes his or her lunch hour, but each teller must go between noon and
1pm or 1 pm and 2 pm. Full-time employees are paid (including benefits)
$21.50/hour, which includes payment for lunch hour. They can also hire part-time
tellers. Each part-time teller must work exactly 3 consecutive hours each day and
is paid $15/hour (no benefits). To maintain adequate quality of service, the bank
has decided that at most 5 part-time tellers can be hired. Determine how to meet
the bank’s teller requirements at minimum cost.
PROBLEM 5 – Encora Blending Problem
• Encora Oil has 5,000 barrels of crude oil 1 and 10,000 barrels of crude
oil 2 available. Encora sells gasoline and heating oil. These products
are produced by blending together the two crude oils. Each barrel of
crude oil 1 has a quality level of 10 and each barrel of crude oil 2 has a
quality level of at least 5. Gasoline must have an average quality level
of at least 8, while heating oil must have an average quality level of at
least 6. Gasoline sells for $25/barrel and heating oil for $20/barrel.
The advertising cost to sell one barrel of gasoline is $0.20 and the
advertising cost to sell a barrel of heating oil is $0.10.
• We assume that demand is unlimited, so how does Encora maximize its
profit?
Problem 6 – Portfolio Selection
• A bank is attempting to determine where its assets should be invested during the current
year. At present, $500,000 is available for investment in bonds, home loans, auto loans and
personal loans. The annual rate of return on each type of investment is know to be the
following:
Bonds Home Loans Auto Loans Personal Loans
10% 16% 13% 20%

• To ensure that the bank’s portfolio is not too risky, the bank’s investment manager has
placed the following three restrictions on the bank’s portfolio:
The amount invested in personal loans cannot exceed the amount invested in bonds.
The amount invested in home loans cannot exceed the amount invested in auto
loans.
No more than 25% of the total amount invested may be in personal loans.

• Help the bank maximize the annual return on its investment portfolio.