Linear programming

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 Introduction
• Many management decisions involve trying to make the most
effective use of an organization’s resources.
• Resources typically include machinery, labor, money, time,
warehouse space, or raw materials.
• Resources may be used to produce products (such as
machinery, furniture, food, or clothing) or services (such as
schedules for shipping and production, advertising policies,
or investment decisions).
• Linear programming (LP) is a widely used mathematical
technique designed to help managers in planning and
decision making relative to resource allocation.
• Despite the name, linear programming, and the more general
category of techniques called “mathematical programming”,
have very little to do with computer programming.
• In the world of Operations Research, programming refers to
modeling and solving a problem mathematically.
• Computer programming has, however, played an important
role in the advancement and use of LP to solve real-life LP
problems
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 Linear Programming Model
Most of the deterministic OR models can be formulated as
mathematical programs.

"Program," in this context, has to do with a “plan,” not a

computer program.

General form of Linear programming model

Maximize / Minimize z = f(x1, x2 ,…, xn)

Subject to gi(x1, x2 , …, xn)

{}



bi i =1,…,m

xj ≥ 0, j = 1,…,n

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 Model Components

• xj are called decision variables. These are things

that you control and you want to determine its

{}
values

• gi(x1, x2 ,…, xn)  bi are called structural

(or functional or technological) constraints

xj ≥ 0 are nonnegativity constraints

• f(x1, x2 ,…, xn) is the objective function

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 Example: Giapetto woodcarving Inc.,
• Giapetto Woodcarving, Inc., manufactures two types of
wooden toys: soldiers and trains. A soldier sells for
$27 and uses $10 worth of raw materials. Each
soldier that is manufactured increases Giapetto’s
variable labor and overhead cost by $14. A train sells
for $21 and uses $9 worth of raw materials. Each
train built increases Giapetto’s variable labor and
overhead cost by $10. The manufacture of wooden
soldiers and trains requires two types of skilled labor:
carpentry and finishing. A soldier requires 2 hours of
finishing labor and 1 hour of carpentry labor. A train
requires 1 hour of finishing and 1 hour of carpentry
labor. Each week, Giapetto can obtain all the needed
raw material but only 100 finishing hours and 80
carpentry hours. Demand for trains is unlimited, but
at most 40 soldiers are bought each week. Giapetto
wants to maximize weekly profit. Formulate a linear
programming model of Giapetto’s situation that can be
used to maximize Giapetto’s weekly profit 5
 Solution: Giapetto woodcarving Inc.,
• Step 1: Model formulation
1. Decision variables: we begin by finding the
decision variables. In any LP, the decision
variables should completely describe the
decisions to be made. Clearly, Giapetto must
decide how many soldiers and trains should
be manufactured each week. With this in
mind, we define:
X1 = number of soldiers produced each
week
X2 = number of trains produced each
week
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Solution: Giapetto woodcarving Inc.,
2. Objective function: in any LP, the decision
maker wants to maximize (usually revenue or
profit) or minimize (usually costs) some
function of the decision variables. The
function to be maximized or minimized is
called the objective function. For the Giapetto
problem, we will maximize the net profit
(weekly revenues – raw materials cost – labor
and overhead costs).
Weekly revenues and costs can be expressed in
terms of the decision variables, X1 and X2 as
following:
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Solution: Giapetto woodcarving Inc.,
• Weekly revenues = weekly revenues from soldiers
+ weekly revenues from trains
= 27 X1 + 21 X2
Also,
Weekly raw materials costs = 10 X1 + 9 X2
Other weekly variable costs = 14 X1 + 10 X2
Therefore, the Giapetto wants to maximize:
(27 X1 + 21 X2) – (10 X1 + 9 X2) – (14 X1 + 10 X2) = 3
X1 + 2 X2
Hence, the objective function is:
Maximize Z = 3 X1 + 2 X2 8
Solution: Giapetto woodcarving Inc.,
3. Constraints: as X1 and X2 increase,
Giapetto’s objective function grows larger.
This means that if Giapetto were free to
choose any values of X1 and X2, the company
could make an arbitrarily large profit by
choosing X1 and X2 to be very large.
Unfortunately, the values of X1 and X2 are
limited by the following three restrictions
(often called constraints):
Constraint 1: each week, no more than 100
hours of finishing time may be used.
Constraint 2: each week, no more than 80
hours of carpentry time may be used.
Constraint 3: because of limited demand, at
most 40 soldiers should be produced. 9
 Solution: Giapetto woodcarving Inc.,
• The three constraints can be expressed in
terms of the decision variables X1 and X2 as
follows:
Constraint 1: 2 X1 + X2  100
Constraint 2: X1 + X2  80
Constraint 3: X1  40
Note:
The coefficients of the decision variables in the
constraints are called technological
coefficients. This is because its often reflect
the technology used to produce different
products. The number on the right-hand side
of each constraint is called Right-Hand Side
(RHS). The RHS often represents the quantity 10

of a resource that is available.

 Solution: Giapetto woodcarving Inc.,
• Sign restrictions: to complete the formulation
of the LP problem, the following question must
be answered for each decision variable: can
the decision variable only assume nonnegative
values, or it is allowed to assume both
negative and positive values?
If a decision variable Xi can only assume a
nonnegative values, we add the sign
restriction (called nonnegativity constraints)
Xi  0.
If a variable Xi can assume both positive and
negative values (or zero), we say that Xi is
unrestricted in sign (urs).
In our example the two variables are restricted
in sign, i.e., X1  0 and X2  0
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Solution: Giapetto woodcarving Inc.,
• Combining the nonnegativity
constraints with the objective function
and the structural constraints yield the
following optimization model (usually
called LP model):
Max Z = 3 X1 + 2 X2 (objective function)
subject to (st)
2 X1 + X2  100 (finishing constraint)
X1 + X2  80 (carpentry constraint)
X1  40 (soldier demand constraint)
X1  0 and X2  0 (nonnegativity constraint)
The optimal solution to this problem is :
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X1 = 20, and X2 = 60, Z = 180
 What is Linear programming
problem (LP)?
• LP is an optimization problem for which we do the
following:
1. We attempt to maximize (or minimize) a linear
function of the decision variables. The function that is
to be maximized or minimized is called objective
function.
2. The values of decision variables must satisfy a set of
constraints. Each constraint must be a linear
equation or linear inequality.
3. A sign restriction is associated with each variable. for
any variable Xi, the sign restriction specifies either
that Xi must be nonnegative (Xi > 0) or that Xi may be
unrestricted in sign. 13
Linear Programming Assumptions

(i) proportionality
linearity
(ii) additivity

(iii) divisibility

(iv) certainty

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 Explanation of LP Assumptions
(i) activity j’s contribution to objective function is cjxj

and usage in constraint i is aijxj

both are proportional to the level of activity j

(volume discounts, set-up charges, and nonlinear

efficiencies are potential sources of violation)

(ii) “cross terms” such as x x may not

1 5
appear in the objective or constraints.

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 Explanation of LP Assumptions
(iii) Fractional values for decision variables are permitted

Data elements aij , cj , bi , uj are known with certainty

• Nonlinear or integer programming models should be

used when some subset of assumptions (i), (ii) and
(iii) are not satisfied.

• Stochastic models should be used when a problem

has significant uncertainties in the data that must be
explicitly taken into account [a relaxation of
assumption (iv)].

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 Applications Of LP
1. Product mix problem
2. Diet problem
3. Blending problem
4. Media selection problem
5. Assignment problem
6. Transportation problem
7. Portfolio selection problem
8. Work-scheduling problem
9. Production scheduling problem
10. Inventory Problem
11. Multi period financial problem
12. Capital budgeting problem 17
 1. Product Mix Problem
Example
Formulate a linear programming model for this
problem, to determine how many containers of
each product to produce tomorrow in order to
maximize the profits. The company makes four
types of juice using orange, grapefruit, and
pineapple. The following table shows the price and
cost per quart of juice (one container of juice) as
well as the number of kilograms of fruits required
to produce one quart of juice.

Product Price/quart Cost/quart Fruit needed

Orange juice 3 1 1 Kg.
Grapefruit juice 2 0.5 2 Kg.
Pineapple juice 2.5 1.5 1.25 Kg.
All –in - one 4 2 0.25 Kg each
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 Product Mix Problem
Example (cont.)
On hand there are 400 Kg of orange, 300 Kg.
of grapefruit, and 200 Kg. of pineapples.
The manager wants grapefruit juice to be used
for no more than 30 percent of the number of
containers produced. He wants the ratio of the
number of containers of orange juice to the
number of containers of pineapples juice to be
at least 7 to 5. pineapples juice should not
exceed one-third of the total product.
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 Product Mix Problem
Solution
Decision variables
X1 = # of containers of orange juice
X2 = # of containers of grapefruit juice
X3 = # of containers of pineapple juice
X4 = # of containers of All-in-one juice
Objective function
Max Z = 2 X1 + 1.5 X2 + 1 X3 + 2 X3
Constraints
X 1  0.25 X 4  400 Orange constraints
2 X 2  0.25 X 4  300 Grapefruit constraint
1.25 X 3  0.25 X 4  200 Pineapple constraints
X 2  0.3( X 1  X 2  X 3  X 4) Max. of grapefruit
X1 7

X3 5 Ratio of orange to pineapple
1
X 2  ( X 1  X 2  X 3  X 4) Max. of pineapple
3
X 1, X 2, X 3, X 4  0 20

Non-negativity constraints
 2. Diet problem
Example
My diet requires that all the food I eat come from one of
the four “basic food groups” (chocolate cake, ice
cream, soda, and cheesecake). At present, the
following four foods are available for consumption:
brownies, chocolate ice cream, cola, and pineapple
cheesecake. Each brownie costs 50 cents, each scoop
of chocolate ice cream costs 20 cents, each bottle of
cola costs 30 cents, and each piece of pineapple
cheesecake costs 80 cents. Each day, I must ingest at
least 500 calories, 6 oz of chocolate, 10 oz of sugar,
and 8 oz of fat. The nutritional content per unit of
each food is shown in the following table. Formulate a
linear programming model that can be used to satisfy
my daily nutritional requirements at minimum costs.
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 Diet problem
Calories Chocolate Sugar Fat

Brownie 400 3 ounce 2 ounce 2 ounce

Chocolate ice cream 200 2 2 4

(1 scoop)
Cola (1 bottle) 150 0 4 1

Pineapple cheesecake 500 0 4 5

(1piece)

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 Diet problem
Solution
• Decision variables: as always, we begin by
determining the decisions that must be made
by the decision maker: how much of each food
type should be eaten daily. Thus, we define the
decision variables:
X1 = number of brownies eaten daily
X2 = number of scoops of chocolate ice cream
eaten daily
X3 = number of bottles of cola drunk daily
X4 = number of pieces of pineapple cheesecake
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eaten daily
 Diet problem
• Objective function: my objective
function is to minimize the cost of my
diet. The total cost of my diet may be
the determined from the following
relation:
Total cost of diet = (cost of brownies) +
(cost of ice cream) + (cost of cola) + (cost
of cheesecake)
Thus, the objective function is:
Min Z = 50 X1 + 20 X2 + 30 X3 + 80 X4
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 Diet problem
• Constraints: the decision variables must satisfy the
following four constraints:
Constraint 1: daily calorie intake must be at least 500
calories.
Constraint 2: daily chocolate intake must be at least 6
oz.
Constraint 3: daily sugar intake must be at least 10 oz.
Constraint 4: daily fat intake must be at least 8 oz.
To express constraint 1 in terms of the decision
variables, note that (daily calorie intake) = (calorie in
brownies) + (calories in chocolate ice cream) + (calories
in cola) + (calories in pineapple cheesecake)
Therefore,
the daily calorie intake = 400 X1 + 200 X2 + 150 X3 + 500
X4 must be greater than 500 ounces
By the same way the other three constraints can be 25
formulated.
 Diet problem
The four constraints are:
400 X1 + 200 X2 + 150 X3 + 500 X4  500
3 X1 + 2 X2  6
2 X1 + 2 X2 + 4 X3 + 4 X4  10
2 X1 + 4 X2 + X3 + 5 X4  8
Nonnegativity constraints: it is clear that
all decision variables are restricted in
sign, i.e., Xi  0, for all i = 1, 2, 3, and 4

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 Diet problem
• Combining the objective function, constraints,
and nonnegativity constraints, the LP model is
as follows:
Min Z = 50 X1 + 20 X2 + 30 X3 + 80 X4
st.
400 X1 + 200 X2 + 150 X3 + 500 X4  500
3 X1 + 2 X2  6
2 X1 + 2 X2 + 4 X3 + 4 X4  10
2 X1 + 4 X2 + X3 + 5 X4  8
Xi  0, for all i = 1, 2, 3, and 4
The optimal solution to this LP is X1 = X4 = 0,
X2 = 1, and Z = 90 cents
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 Assignment problem
Example
A law firm maintains a large staff of young attorneys
who hold the title of junior partner. The firm
concerned with the effective utilization of this
personnel resources, seeks some objective means of
making lawyer-to-client assignments. On march 1,
four new clients seeking legal assistance came to the
firm. While the current staff is overloads and
identifies four junior partners who, although busy,
could possibly be assigned to the cases. Each young
lawyer can handle at most one new client.
Furthermore each lawyer differs in skills and
specialty interests.
Seeking to maximize the overall effectiveness of the new
client assignment, the firm draws up the following
table, in which he rates the estimated effectiveness
(of a scale of 1 to 9) of each lawyer on each new case.
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 Assignment problem
Client case

Lawyer Divorce Corporate embezzlement exhibitionism

merger

Adam 6 2 8 5

Brook 9 3 5 8

Carter 4 8 3 4

Darwin 6 7 6 4

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 Assignment problem
Solution
Decision variables:
1 if attorney i is assigned to case j
Let Xij =
0 otherwise
Where : i = 1, 2, 3, 4 stands for Adam, Brook,
Carter, and Darwin respectively
j = 1, 2, 3, 4 stands for divorce,
merger, embezzlement, and exhibitionism
respectively.
The LP formulation will be as follows:
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 Assignment problem
Max Z = 6 X11 + 2 X12 + 8 X13 + 5 X14 + 9 X21 + 3 X22 +
5 X23 + 8 X24 + 4 X31 + 8 X32 + 3 X33 + 4 X34 +
6 X41 +7 X42 + 6 X43 + 4 X44
St.
X11 + X21 + X31 + X41 = 1 (divorce case)
X12 + X22 + X32 + X42 = 1 (merger)
X13 + X23 + X33 + X43 = 1 (embezzlement)
X14 + X24 + X34 + X44 = 1 (exhibitionism)

X11 + X12 + X13 + X14 = 1 (Adam)

X21 + X22 + X23 + X24 = 1 (Brook)
X31 + X32 + X33 + X34 = 1 (Carter)
X41+ X42 + X43 + X44 = 1 (Darwin)
The optimal solution is: X13 = X24 = X32 = X41 = 1. All other variables are equal to zero.

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 Transportation problem
Example
The Top Speed Bicycle Co. manufactures and markets a
line of 10-speed bicycles nationwide. The firm has
final assembly plants in two cities in which labor
costs are low, New Orleans and Omaha. Its three
major warehouses are located near the larger market
areas of New York, Chicago, and Los Angeles.
The sales requirements for next year at the New York
warehouse are 10000 bicycles, at the Chicago
warehouse 8000 bicycles, and at the Los Angeles
warehouse 15000 bicycles. The factory capacity at
each location is limited. New Orleans can assemble
and ship 20000 bicycles; the Omaha plant can
produce 15000 bicycles per year. The cost of shipping
one bicycle from each factory to each warehouse
differs, and these unit shipping costs are: 32
 Transportation problem

New Chicago Los

York Angeles
New Orleans $2 3 5

Omaha 3 1 4

The company wishes to develop a shipping

schedule that will minimize its total annual
transportation cost
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 Transportation problem
Solution
To formulate this problem using LP, we again employ the
concept of double subscribed variables. We let the first
subscript represent the origin (factory) and the second
subscript the destination (warehouse). Thus, in
general, Xij refers to the number of bicycles shipped
from origin i to destination j. Therefore, we have six
decision variables as follows:

X11 = # of bicycles shipped from New Orleans to New York

X12 = # of bicycles shipped from New Orleans to Chicago
X13 = # of bicycles shipped from New Orleans to Los Angeles
X21 = # of bicycles shipped from Omaha to New York
X22 = # of bicycles shipped from Omaha to Chicago
X23 = # of bicycles shipped from Omaha to Los Angeles 34
 Transportation problem
Min Z = 2 X11 + 3 X12 + 5 X13 + 3 X21 + X22 + 4 X23

St
X11 + X21 = 10000 (New York demand)

X12 + X22 = 8000 (Chicago demand)

X13 + X23 = 15000 (Los Angeles demand)

X11 + X12 + X13  20000 (New Orleans Supply

X21 + X22 + X23  15000 (Omaha Supply)

Xij  0 for i = 1, 2 and j = 1, 2, 3

The optimal solution is: X11 = 10000, X12 = 0, X13 = 8000, X21 = 0,
X22 = 8000, X23 = 7000, and Z = $96000 35
 Work Scheduling Problem
Example
Microsoft has a 24-hour-a-day, 7-days-a-week toll
free hotline that is being set up to answer questions
regarding a new product. The following table
summarizes the number of full-time equivalent
employees (FTEs) that must be on duty in each time
block.

Shift Time FTEs

1 0-4 15
2 4-8 10
3 8-12 40
4 12-16 70
5 16-20 40
6 20-0 35 36
 Work Scheduling problem
• Microsoft may hire both full-time and part-time
employees. The former work 8-hour shifts and the
latter work 4-hour shifts; their respective hourly
wages are $15.20 and $12.95. Employees may start
work only at the beginning of one of 6 shifts.

• At least two-thirds of the employees working at any

one time must be full-time employees.

• Part-time employees can only answer 5 calls in the

time a full-time employee can answer 6 calls. (i.e., a
part-time employee is only 5/6 of a full-time
employee.)

Formulate an LP to determine how to staff 37

the hotline at minimum cost.

Decision Variables
xt = # of full-time employees that begin work in shift t
yt = # of part-time employees that work shift t

(8  15.20) (4  12.95)
Min 121.6 (x1 + •••+ x6) + 51.8 (y1 + ••• + y6)
5
s.t. x6 + x1 + y
6 1
 15
5
x1 + x2 + 6
y2  10
5
All shifts
x2 + x3 + 6
y3  40 must be
5 covered
x3 + x4 + 6
y4  70
5
x4 + x5 + 6
y5  40
5
x5 + x6 + 6
y6  35
x t , yt  0
PT employee is 5/6 FT employee
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