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Sensitivity Analysis of The Galaxy Linear Programming Model

Sensitivity Analysis of The Galaxy Linear Programming Model. Max 8X 1 + 5X 2 (Weekly profit) subject to 2X 1 + 1X 2 £ 1000 (Plastic) 3X 1 + 4X 2 £ 2400 (Production Time) X 1 + X 2 £ 700 (Total production) X 1 - X 2 £ 350 (Mix)

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Sensitivity Analysis of The Galaxy Linear Programming Model

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  1. Sensitivity Analysis of The Galaxy Linear Programming Model Max 8X1 + 5X2 (Weekly profit) subject to 2X1 + 1X2£ 1000 (Plastic) 3X1 + 4X2£ 2400 (Production Time) X1 + X2£ 700 (Total production) X1 - X2£ 350 (Mix) Xj> = 0, j = 1,2 (Nonnegativity)

  2. Extreme points and optimal solutions • If a linear programming problem has an optimal solution, an extreme point is optimal.

  3. The Role of Sensitivity Analysis of the Optimal Solution • Is the optimal solution sensitive to changes in input parameters? • Possible reasons for asking this question: • Parameter values used were only best estimates. • Dynamic environment may cause changes. • “What-if” analysis may provide economical and operational information.

  4. Sensitivity Analysis of Objective Function Coefficients. • Range of Optimality • The optimal solution will remain unchanged as long as • An objective function coefficient lies within its range of optimality • There are no changes in any other input parameters. • The value of the objective function will change if the coefficient multiplies a variable whose value is nonzero.

  5. Sensitivity Analysis of Objective Function Coefficients. X2 1000 Max 4X1 + 5X2 Max 3.75X1 + 5X2 Max 8X1 + 5X2 500 Max 2X1 + 5X2 X1 500 800

  6. Sensitivity Analysis of Objective Function Coefficients. X2 1000 Max8X1 + 5X2 Range of optimality: [3.75, 10] 500 Max 10 X1 + 5X2 Max 3.75X1 + 5X2 X1 400 600 800

  7. Reduced cost Assuming there are no other changes to the input parameters, the reduced cost for a variable Xj that has a value of “0” at the optimal solution is: • The negative of the objective coefficient increase of the variable Xj (-DCj) necessary for the variable to be positive in the optimal solution • Alternatively, it is the change in the objective value per unit increase of Xj. • Complementary slackness At the optimal solution, either the value of a variable is zero, or its reduced cost is 0.

  8. Sensitivity Analysis of Right-Hand Side Values • In sensitivity analysis of right-hand sides of constraints we are interested in the following questions: • Keeping all other factors the same, how much would the optimal value of the objective function (for example, the profit) change if the right-hand side of a constraint changed by one unit? • For how many additional or fewer units will this per unit change be valid?

  9. Sensitivity Analysis of Right-Hand Side Values • Any change to the right hand side of a binding constraint will change the optimal solution. • Any change to the right-hand side of a non-binding constraint that is less than its slack or surplus, will cause no change in the optimal solution.

  10. Shadow Prices • Assuming there are no other changes to the input parameters, the change to the objective function value per unit increase to a right hand side of a constraint is called the “Shadow Price”

  11. The Plastic constraint Maximum profit = $4360 Maximum profit = $4363.4 Production time constraint Shadow Price – graphical demonstration X2 Whenmore plastic becomes available (the plastic constraint is relaxed), the right hand side of the plastic constraint increases. 1000 2X1 + 1x2 <=1001 2X1 + 1x2 <=1000 500 Shadow price = 4363.40 – 4360.00 = 3.40 X1 500

  12. Range of Feasibility • Assuming there are no other changes to the input parameters, the range of feasibility is • The range of values for a right hand side of a constraint, in which the shadow prices for the constraints remain unchanged. • In the range of feasibility the objective function value changes as follows:Change in objective value = [Shadow price][Change in the right hand side value]

  13. The Plastic constraint A new active constraint Range of Feasibility X2 Increasing the amount of plastic is only effective until a new constraint becomes active. 1000 2X1 + 1x2 <=1000 Production mix constraint X1 + X2£ 700 500 This is an infeasible solution Production time constraint X1 500

  14. The Plastic constraint Range of Feasibility X2 Note how the profit increases as the amount of plastic increases. 1000 2X1 + 1x2£1000 500 Production time constraint X1 500

  15. Infeasible solution A new active constraint Range of Feasibility X2 Less plastic becomes available (the plastic constraint is more restrictive). 1000 The profit decreases 500 2X1 + 1X2= 1100 X1 500

  16. The correct interpretation of shadow prices • Sunk costs: The shadow price is the value of an extra unit of the resource, since the cost of the resource is not included in the calculation of the objective function coefficient. • Included costs: The shadow price is the premium value above the existing unit value for the resource, since the cost of the resource is included in the calculation of the objective function coefficient.

  17. The Process for Other Optimality Changes • Deletion of a constraint: The process: Determine if the constraint is a binding (i.e. active, important) constraint by finding whether its slack/surplus value is zero. If binding, deletion is very likely to change the current optimal solution. Delete the constraint and re-solve the problem. Otherwise, (if not a binding constraint) deletion will not affect the optimal solution. • Addition of a variable: The coefficient of the new variable in the objective function, and the shadow prices of the resources provide information about marginal worth of resources and knowing the resource needs corresponding to the new variable, the decision can be made, e.g., if the new product is profitable or not. The process: Compute what will be your loss if you produce the new product using the shadow price values (i.e., what goes into producing the new product). Then compare it with its net profit. If the profit is less than or equal to the amount of the loss then DO NOT produce the new product. Otherwise it is profitable to produce the new product. To find out the production level of the new product resolves the new problem. • Addition of a constraint: The process: Insert the current optimal solution into the newly added constraint. If the constraint is not violated, the new constraint does NOT affect the optimal solution. Otherwise, the new problem must be resolved to obtain the new optimal solution. • Deletion of a variable: The process: If for the current optimal solution, the value of the deleted variable is zero, then the current optimal solution still is optimal without including that variable. Otherwise, delete the variable from the objective function and the constraints, and then resolve the new problem.

  18. One Must Not Do Any Sensitivity Analysis one Models Without Unique Optimal Solutions • Infeasibility: Occurs when a model has no feasible point. • Unboundness: Occurs when the objective can become infinitely large (max), or infinitely small (min). • Alternate solution: Occurs when more than one point optimizes the objective function

  19. No point, simultaneously, lies both above line and below lines and . 1 2 3 2 1 3 Infeasible Model

  20. Maximize the Objective Function Unbounded solution The feasible region

  21. WinQBS Solver – An Alternate Optimal Solution • This Solver does alert the user to the existence of alternate optimal solutions.

  22. Cost Minimization Diet Problem • Mix two sea ration products: Texfoods, Calration. • Minimize the total cost of the mix. • Meet the minimum requirements of Vitamin A, Vitamin D, and Iron.

  23. Cost Minimization Diet Problem • Decision variables • X1 (X2) -- The number of two-ounce portions of Texfoods (Calration) product used in a serving. • The Model Minimize 0.60X1 + 0.50X2 Subject to 20X1 + 50X2 ³ 100 Vitamin A 25X1 + 25X2 ³ 100 Vitamin D 50X1 + 10X2 ³ 100 Iron X1, X2 ³ 0 Cost per 2 oz. % Vitamin A provided per 2 oz. % required

  24. The Diet Problem - Graphical solution 10 The Iron constraint Feasible Region Vitamin “D” constraint Vitamin “A” constraint 2 4 5

  25. Cost Minimization Diet Problem • Summary of the optimal solution • Texfood product = 1.5 portions (= 3 ounces) Calration product = 2.5 portions (= 5 ounces) • Cost =$ 2.15 per serving. • The minimum requirement for Vitamin D and iron are met with no surplus. • The mixture provides 155% of the requirement for Vitamin A.

  26. (WinQSB) Professional Computer Solution of Linear Programs With Any Number of Decision Variables • Linear programming software packages solve large linear models. • Most of the software packages use the algebraic technique called the Simplex algorithm. • The input to any package includes: • The objective function criterion (Max or Min). • The type of each constraint: . • The actual coefficients for the problem.

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