ENGINEERING OPTIMIZATION

Methods and Applications

A. Ravindran, K. M. Ragsdell, G. V. Reklaitis

Book Review

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Chapter 4: Linear Programming

Part 1: Abu (Sayeem) Reaz Part 2: Rui (Richard) Wang

Review Session June 25, 2010

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Finding the optimum of any given world how cool is that?!

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Outline of Part 1
Formulations Graphical Solutions Standard Form Computer Solutions Sensitivity Analysis Applications Duality Theory
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Outline of Part 1
Formulations Graphical Solutions Standard Form Computer Solutions Sensitivity Analysis Applications Duality Theory
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What is an LP?
An LP has An objective to find the best value for a system A set of design variables that represents the system A list of requirements that draws constraints the design variables

The constraints of the system can be expressed as linear equations or inequalities and the objective function is a linear function of the design variables

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Types
Linear Program (LP): all variables are real Integer Linear Program (ILP): all variables are integer Mixed Integer Linear Program (MILP): variables are a mix of integer and real number Binary Linear Program (BLP): all variables are binary

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Formulation
Formulation is the construction of LP models of real problems: To identify the design/decision variables Express the constraints of the problem as linear equations or inequalities Write the objective function to be maximized or minimized as a linear function

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The Wisdom of Linear Programming

Model building is not a science; it is primarily an art that is developed mainly by experience

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Example 4.1
Two grades of inspectors for a quality control inspection

At least 1800 pieces to be inspected per 8-hr day Grade 1 inspectors: 25 inspections/hour, accuracy = 98%, wage=$4/hour Grade 2 inspectors: 15 inspections/hour, accuracy= 95%, wage=$3/hour Penalty=$2/error Position for 8 Grade 1 and 10 Grade 2 inspectors

Lets get experienced!!

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Final Formulation for Example 4.1

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Example 4.2

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Nonlinearity
During each period, up to 50,000 MWh of electricity can be sold at $20.00/MWh, and excess power above 50,000 MWh can only be sold for $14.00/MW

Piecewise Linear in the regions (0, 50000) and (50000, )

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Lets Formulate
PH1 PL1 XA1 XB1 SA1 SB1 EA1 EB1 Power sold at $20/MWh Power sold at $14/MWh Water supplied to power plant A Water supplied to power plant B Spill water drained from reservoir A Spill water drained from reservoir B Reservoir A level at the end of period 1 Reservoir B level at the end of period 1 MWh MWh KAF KAF KAF KAF KAF KAF

Plant/Reservoir A
Conversion Rate per kilo-acre-foot (KAF) Capacity of Power Plants Capacity of Reservoir Predicted Flow Period 1 Period 2 Minimum Allowable Level Level at the beginning of period 1 200 130 1200 1900 400 MWh 60,000 MWh/Period 2000

Plant/Reservoir B
200 MWh 35,000 MWh/Period 1500 40 15 800 850
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Final Formulation for Example 4.2

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Outline of Part 1
Formulations Graphical Solutions Standard Form Computer Solutions Sensitivity Analysis Applications Duality Theory
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Definitions
Feasible Solution: all possible values of decision variables that satisfy the constraints Feasible Region: the set of all feasible solutions Optimal Solution: The best feasible solution Optimal Value: The value of the objective function corresponding to an optimal solution

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Graphical Solution: Example 4.3

A straight line if the value of Z is fixed a priori

Changing the value of Z another straight line parallel to itself

Search optimal solution value of Z such that the line passes though one or more points in the feasible region

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Graphical Solution: Example 4.4

All points on line BC are optimal solutions

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Realizations
Unique Optimal Solution: only one optimal value (Example 4.1)

Alternative/Multiple Optimal Solution: more than one feasible solution (Example 4.2)
Unbounded Optimum: it is possible to find better feasible solutions improving the objective values continuously (e.g., Example 2 without )

Property: If there exists an optimum solution to a linear programming problem, then at least one of the corner points of the feasible region will always qualify to be an optimal solution!

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Outline of Part 1
Formulations Graphical Solutions Standard Form Computer Solutions Sensitivity Analysis Applications Duality Theory
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Standard Form (Equation Form)

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Standard Form (Matrix Form)

(A is the coefficient matrix, x is the decision vector, b is the requirement vector, and c is the profit (cost) vector)

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Handling Inequalities

Slack

Using Equalities

Surplus

Using Bounds

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Unrestricted Variables
In some situations, it may become necessary to introduce a variable that can assume both positive and negative values!

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Conversion: Example 4.5

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Conversion: Example 4.5

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Recap

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Outline of Part 1
Formulations Graphical Solutions Standard Form Computer Solutions Sensitivity Analysis Applications Duality Theory
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Computer Codes
For small/simple LPs: Microsoft Excel For High-End LP: OSL from IBM ILOG CPLEX OB1 in XMP Software Modeling Language: GAMS (General Algebraic Modeling System) AMPL (A Mathematical Programming Language) Internet http: / /www.ece.northwestern.edu/otc
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Outline of Part 1
Formulations Graphical Solutions Standard Form Computer Solutions Sensitivity Analysis Applications Duality Theory
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Sensitivity Analysis
Variation in the values of the data coefficients changes the LP problem, which may in turn affect the optimal solution. The study of how the optimal solution will change with changes in the input (data) coefficients is known as sensitivity analysis or post-optimality analysis. Why? Some parameters may be controllable better optimal value Data coefficients from statistical estimation identify the one that effects the objective value most obtain better estimates

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Example 4.9
Product 1 Unit profit 10 Product 2 6 Product 3 4

Material Needed
Admin Hr

10 lb
2 hr

4 lb
2 hr

5 lb
6 hr

100 hr of labor, 600 lb of material, and 300hr of administration per day

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Solution

A. Felt, LINDO: API: Software Review, OR/MS Today, vol. 29, pp. 5860, Dec. 2002.

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Outline of Part 1
Formulations Graphical Solutions Standard Form Computer Solutions Sensitivity Analysis Applications Duality Theory
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Applications of LP

For any optimization problem in linear form with feasible solution time!

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Outline of Part 1
Formulations Graphical Solutions Standard Form Computer Solutions Sensitivity Analysis Applications Duality Theory (Additional Topic)
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Duality of LP
Every linear programming problem has an associated linear program called its dual such that a solution to the original linear program also gives a solution to its dual

Solve one, get one free!!

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Find a Dual: Example 4.10

Reversed
Constraint constants Objective coefficients Columns into constraints and constraints into columns

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Find a Dual: Example 4.10

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Some Tricks
Binarization

If
OR AND Finding Range Finding the value of a variable http://networks.cs.ucdavis.edu/ppt/group_meeting_22may2009.pdf
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Binarization
x is positive real, z is binary, M is a large number

For a single variable

x z M
For a set of variable

z x*M

x
i

z xi * M
i
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If
Both x and y are binary If two variables share the same value

x y
If y = 0, then x = 0 If y = 1, then x = 1 If they may have different values

x y
If y = 1, then x = 1 Otherwise x can take either 1 or 0

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OR
A, x, y, and z are binary

x yz A M A x yz
M is a large number If any of x,y,z are 1 then A is 1 If all of x,y,z are 0 then A is 0

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AND
x, y, and z are binary

zx zy z x y 1
If any of x,y are 0 then z is 0 If all of x,y are 1 then z is 1

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Range
x and y are integers, z is binary We want to find out if x falls within a range defined by y If x >= y, z is true

x y 1 z M
If x <= y, z is true

y x 1 z M
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Finding a Value
A,B,C are binary If x = y, Cy is true

x y 1 A M y x 1 B M Cy A B
x takes the value of y if both the ranges are true

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Thank You! Now Part 2 begins.

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