Linear Programming - BFSU
Linear Programming
Xi Chen
Department of Management Science and Engineering International Business School
Beijing Foreign Studies University
Xi Chen (chenxi0109@bfsu.)
Linear Programming
1 / 148
Introduction
1 Introduction 2 The Simplex Method 3 Sensitivity Analysis 4 Duality Theory
Xi Chen (chenxi0109@bfsu.)
Linear Programming
2 / 148
Introduction
Example 1 Giapetto's Woodcarving, Inc., manufactures two types of wooden toys: soldiers and trains. Demand for trains is unlimited, but at most 40 soldiers are bought each week.
A soldier sells for $27 and uses $10 worth of raw materials. Each soldier that is manufactured increases Giapetto's variable labor and overhead costs by $14. A train sells for $21 and uses $9 worth of raw materials. Each train built increases Giapetto's variable labor and overhead costs 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.
How to maximize Giapetto's weekly profit?
Xi Chen (chenxi0109@bfsu.)
Linear Programming
3 / 148
Introduction
Decision Variables: The decision variables completely describe the decisions to be made. Denote by x1 the number of soldiers produced each week, and by x2 the number of trains produced each week. Objective Function: The function to be maximized or minimized is called the objective function. Since fixed costs (such as rent and insurance) do not depend on the values of x1 and x2, Giapetto can concentrate on maximizing his weekly profit, i.e.,
max 3x1 + 2x2.
Constraints: 1 Each week, no more than 100 hours of finishing time may be used. 2 Each week, no more than 80 hours of carpentry time may be used. 3 Because of limited demand, at most 40 soldiers should be produced each week.
2x1 + x2 100, x1 + x2 80, x1 40.
Sign Restrictions: x1 0 and x2 0.
Xi Chen (chenxi0109@bfsu.)
Linear Programming
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Introduction
Definition 1.1 A function f (x1, x2, . . . , xn) of x1, x2, . . . , xn is a linear function if and only if for some set of constants c1, c2, . . . , cn,
f (x1, x2, . . . , xn) = c1x1 + c2x2 + . . . + cnxn.
For any linear function f (x1, x2, . . . , xn) and any number b, the inequalities f (x1, x2, . . . , xn) b and f (x1, x2, . . . , xn) b are linear inequalities.
A linear programming problem (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 (objective function).
2 The values of the 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 that xi must be either nonnegative (xi 0) or unrestricted in sign (urs).
Xi Chen (chenxi0109@bfsu.)
Linear Programming
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