Professional Documents
Culture Documents
Chapter 5 - Sensitivity Analysis and Dual
Chapter 5 - Sensitivity Analysis and Dual
of LP Problems
¨Sensitivity Analysis in LP
¨Types of Sensitivity Analysis
¨Duality of LP Problems
1. Sensitivity Analysis in LP
¨ How do changes in an LP’s parameters (objective function
coefficients, right-hand sides, and technological coefficients)
change the optimal solution?
¨ Procedure for Sensitivity Analysis
¨ Revision of model
¨ Revision of final tableau
¨ Conversion to proper form from Gaussian elimination
¨ Feasibility test
¨ Optimality test
¨ Reoptimization
NOTATIONS
Coefficient of:
Basic
Z Slack RHS
Variable Original Variable
Variable
3 X1 + X2 60
X1, X2 0
• Optimal solution at point A
• Profit = 2400
A 20
• Basic variables: X2=20 , S2 = 40 50 X1 + 120 X2 =2400
50 120 0 0
Cj Basi X1 X2 S1 S2
Eq. Z RHS
c
Z (0) 1 10 0 30 0 2400
120 X2 (1) 0 0.5 1 0.25 0 20
0 S2 (2) 0 2.5 0 -0.25 1 40
Change Coefficients of Nonbasic Variables: x1
z c z c1 (c1 c ) y a j c1 c1
*
1 1
' *
1 1
' *
2
[30,0] 50 c1 10 c1 0
3
c1 10 10 c1 c1 c1 60
' '
Zj*-C’j=Zj*-cj+cj-Cj’=(Z*j-cj)-(Cj’-cj)=0
Note: cj=cj’-cj
II. Changing in Coefficient of the Basic Variable: X 2
Consider the optimal simplex tableau
50 C(X2) 0 0
Basic Eq. Z X1 X2 S1 S2 RHS
Z (0) 1 10 0 30 0 2400
C(X2) X2 (1) 0 0.5 1 0.25 0 20
0 S2 (2) 0 2.5 0 -0.25 1 40
Row 0 : 10 0 30 0
Change c2 120 to c2 120 c2
New row 0 : 10 0-c2 30 0
Note: c2=c2’-0
For x 2 to stay a basic z 2 *-c2 must be equal to 0.
Gaussian elimination:
Row 0: 10 0-c2 30 0
c2 Row 1: 0.5c2 c2 0.25c2 0 =
10 0.5c2 0 0.25c2 30 0
10 0.5c2 0 c2 20
The optimal does not change if 0.25c 30 0 c 120 c2 20 c2 100
2 2
2.2. Changing the Right-Hand-Side, bi
¨ RHS ranging: the process which determining number of resources
needed to add or to reduce so that we still have the same shadow
price.
¨ Take Quantity divide to corresponding columns in the final
tableau, get:
¨ For S : The smallest positive ratio is 80. This is how many
1
hours of resource 1 can be reduced without changing the
current solution. Hence, we can decrease RHS as much as
80, make minimum RHS will be (80-80) = 0.
S1 RHS Ratio
1/4 20 80
- 1/4 40 - 160
¨ The smallest negative ratio is -160. This is how many hours of
resource 1 can be added without changing the current
solution. Maximum value of RHS will be 80-(-160) =240
So, range of RHS of resource 1: (0, 240)
Changing the Right-Hand-Side (Cont.)
¨ Shadow Price: The shadow price is the change in objective
function value from increasing of one unit of a scare resource.
Where we can find shadow price? Look at the positive values at
Z-row of slack variables, these values are called shadow prices
or duals. If we look at the nonbasic real variable (X1), we have
(10), 10 is so called reduced cost. The reduced costs are the
values those we can reduce in coefficients of objective function
so that the associated variable become basic variables. Look at
the final tableau:
50 120 0 0
Basi X1 X2 S1 S2
Eq. Z RHS
c
Z (0) 1 10 0 30 0 2400
120 X2 (1) 0 0.5 1 0.25 0 20
0 S2 (2) 0 2.5 0 -0.25 1 40
2 2
if b1 change to b1 b1 b1
b1 * 20 0.25 0 b1 20 0.25b1
b * 40 0.25 1 40 0.25b
2 0 1
Changing the Right-Hand-Side (Cont.)
b1 * 20 0.25 0 b1 20 0.25b1
b * 40 0.25 1 40 0.25b
2 0 1
subject to : subject to :
n m
a x
j 1
ij j b, for i 1, 2,..., m a ij yi c, for j 1, 2,..., n
i 1
3 X1 + X2 60 4 U1 + 1 U2 ≥ 120
- Absolute values of number in the (Cj-Zj) row under slack variables are the
solutions of the dual (Ui’s). These are shadow prices.
- Optimal value of objective functions of both problems are equal. Always we have
Obj. value of max. problem ≤ Obj. value of min.problem.