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MSIS 685: Linear Programming
Lecture 1
9/7/98
Scribe: Konstantinos Moyssiadis
What is a Linear Programming problem? A few examples we'll help us to get an idea.
Example 1:
Raw material problem
Let say that we have a range of raw materials and we have enumerated them as {1,2,…..,m}
We denote by i each one of them.
The products, let say {1,2,…,n}, are denoted by j.
We are forming a table as the following one:
1
2
.
j
.
n
1
2
i
aij
Where aij is the amount of raw material i used for the production
of one unit of product j
.
m
1.
2.
3.
4.
We have the following assumptions:
The unit price of raw material i is pi
The market price of product j is σj
Our actions are not able to alter neither the price p for each of the raw materials nor the price
σ for any of the products.
The company is able to sell all of its products.
The question here is "how many units of product j should the company produce in aim to
maximize its profits?"
m
For each unit of product j the associated cost is:
a1jp1 + … + amjpm =
m
and the net revenue (Cj) is:
Cj = σj –

a p
ij i
i 1
aijpi
i 1
n
c x
ij
j1
j
The net revenue of xj units of product j is:
n
The goal is to determine the values xj which maximize the total net revenue:
cx
j j
j 1
Constraints:
For the raw material: the maximum of raw material i that we can use is bi
n
So,
(we have m constraints)
 a x  bi
ij j
j1
we require also:
xj > 0
(we have n constraints)
Example 2:
Referring to the 1st example, now we want to minimize the inventory cost. Since we do not want
to incur opportunity cost, we try to secure such a price, which covers the opportunity cost and
doesn't allow competitors to benefit from this price.
Let's denote such a price with wi for raw material i.
biwi
The total cost (including opportunity cost) now is:
and our goal is to minimize this cost.
i
The constraints in this problem are:
Constraint 1:

i=1,2,…,m
wi > pi
and Constraint 2
m
wa
i ij 
j
j = 1,2,….,n
i 1
Example 3:
Another famous example is the Diet Problem
Here, we denote nutrients: {1,2,…,m}
and the different kinds of food: {1,2,…,n}. We are going to use the notation: i for each of the
nutrients, j for each kind of food and the notation cj for the cost for each j kind of food.
We construct a table similar to this in problem 1:
N
u
t
r
i
e
n
t
Food
1
1
2
.
i
.
m
2
..
j
..
n
aij
aij: the amount of nutrient i per unit of product j
n
The goal here is to minimize the cost of x units of food:
min
c x
j j
j 1
n
The constraint in this problem is:
a x  b
ij j
i
where bi is the minimum amount of nutrient ai
j 1
Example 4:
The transportation problem
In this problem we have m factories and n warehouses. A picture of the structure of this problem
is as following:
Factories
1
1
1
21
11
11:
1:
1
1m
1
1
1 i
ai: amount of product
1
1
Warehouses
x11
1
1
1
12
1
1:
1:
1
1
n
1
1
1
1
1
x12
x1n
xm1
xmn
The cost of sending a product from factory i to warehouse j is:
and the number of units is: xij
The problem here is how we minimize the quantity:
 c x
ij ij
i
j
bj: demand of product j
cij / unit
Which is the total cost of products shipped, subject to the following constraints:
n
1.
x
ij
 ai
j 1
m
2.
x
ij
xij > 0
 bi
i 1
Example 5:
minimum cost flow problem
Supply nodes
Intermediates
1
1
Demand nodes
2
2
4
3
1
2
5
:
:
6
7
8
This is a network for the flow
Let's say that we have n-nodes {1,2,…,n}
and m arcs which we denote as ij (i is the beginning arc and j the ending arc)
The cost of transferring the product xij is cij
We want to minimize the total cost:
c x
ij i j
where A={1,2,…,8,9} the set of the arcs
j A
The amount of things coming to the ith unit is:
x x
ji
j
ik
 bi
(k: outflow)
k
We determine b as follow:
bi is related to a
supplier node
transshipment node if
demand node
bi > 0
bi = 0
bi < 0
The problem is subject to the constraint:
0 < xij < Kij
(where K is capacity)
In linear programming we have 2 kinds of problems:
1. The standard problem:
Problems of this kind usually ask from us to minimize the quantity
 cixi
and they are usually subject to constraints:
 aijxi  bi
i=1,2,…,n
xj > 0
2. Canonical form:
Problems of this kind usually ask from us to maximize the quantity
and they are usually subject to constraints:
 aijxi  bi
 wjx j
xj > 0
The geometric solution of the linear programming problem with two variables is:
feasible
area
(c1,c2)
We form inequalities from the constraints and we draw the corresponding lines. We discard every
time the points which don't satisfy the inequality (one of the two half-planes) and finally we have
an area within all the points satisfy all the constraints (usually the points along the borders of this
area satisfy the inequalities also). Finally, with the use of the vector (c1,c2) we move the line c1x1
+ c2x2 (objective function) to meet the point or set of points which maximize the value of the
objective function. This intersection represents the optimal solution.