Solving Linear Programming

Problems Using Excel

Ken S. Li
Southeastern Louisiana University

Linear Programming
The Problem
An optimization model is a linear program if it has
continuous variables, a single objective function, and
all constraints are linear equalities or inequalities

History
Linear programming was conceptually developed before
World War II by the outstanding Russian mathematician
A.N. Kolmogorov.

Who and When

Major contributors:
Kantorovich
Stigler
Dantzig
Karmarkar
Gonzaga
Wright
Terlaky
Todd

1945
1947
1984
1992
1996
1995
1991

Standard Formulation
Mathematical Formulation

minimize cx
subject to
Ax = b
x >= 0

Standard Formulation
where x is the vector of variables to be solved for, A
is a matrix of known coefficients,
and c and b are vectors of known coefficients.
The expression "cx" is called the objective
function,
and the equations "Ax=b" are called the
constraints.

Standard Formulation
Usually A has more columns than rows, and Ax=b is
therefore quite likely to be under-determined,
leaving great latitude in the choice of x with which
to minimize cx. The word "Programming" is used
here in the sense of "planning"; the necessary
relationship to computer programming was
incidental to the choice of name. Hence the phrase
"LP program" to refer to a piece of software is not a
redundancy, although I tend to use the term "code"
instead of "program" to avoid the possible
ambiguity.

Applications
Applications

Linear and integer programming have proved

valuable for modeling many and diverse types of
problems in planning, routing, scheduling,
assignment, and design. Industries that make use
of LP and its extensions include transportation,
energy, telecommunications, and manufacturing
of many kinds.

Applications
Specific Applications
1. Development of a production schedule that will satisfy
future demands for a firms production and at the
same time minimize total production and inventory
costs
2. Selection of the product mix in a factory to make best
use of machine-hours and labor-hours available while
maximizing the firms products

Application - Contd
3. Determination of grades of petroleum products to yield
the maximum profit
4. Selection of different blends of raw materials to feed
mills to produce finished feed combinations at minimum
cost
5. Determination of a distribution system that will
minimize total shipping cost from several warehouses to
various market locations

Computational Method
Simplex Methods

Simplex methods, introduced by Dantzig about 50 years

ago, visit "basic" solutions computed by fixing
enough of the variables at their bounds to reduce the
constraints Ax = b to a square system, which can be
solved for unique values of the remaining variables.
Basic solutions represent extreme boundary points of
the feasible region defined by Ax = b, x >= 0, and the
simplex method can be viewed as moving from one
such point to another along the edges of the boundary.

Computational Method
Interior Point Methods

Barrier or interior-point methods, by contrast, visit points

within the interior of the feasible region. These methods
derive from techniques for nonlinear programming that
were developed and popularized in the 1960s by Fiacco
and McCormick, but their application to linear
programming dates back only to Karmarkar's innovative
analysis in 1984.

Interior Point Method

Step 1: Choose any feasible interior point solution,
x (0) 0 and set solution index t=0.
Step 2: If any component of x (t ) is 0, or if recent
steps have made no significant change in the
solution value, stop. Current point is either
optimal or very nearly so.

Step 3: Construct the next move direction

( t 1)

X t Pt c

(t )

Interior Point Method -contd

Where
x1(t ) 0 L

(t )
0
x
O
2

Xt
M O O

0
0 L

M
0

( t )
xn

Pt I ATt (A t ATt ) 1 A t , ct X t c.

Interior Point Method - contd

Step 4: If there is no limit on feasible moves in the
direction x ( t 1) (all components are
nonnegative), stop ; the given model is
unbounded. Otherwise, construct the step size

1
x

( t 1)

1
t

Interior Point Method - contd

Step 4: compute the new solution
x ( t 1) x ( t ) x ( t 1)

Then let t t 1, and return to Step 2.

A Simple Example
The Marriott Tub Company manufactures two lines of
bathtubs, called Model A and model B. Every tub
requires a certain amount of steel and zinc; the company
has available a total of 25,000 pounds of steel and 6,000
pounds of zinc. Each model A bathtub requires a total of
125 pounds of steel and 20 pounds of zinc, and each
yields a profit of $90. Each model B bathtub can be sold
for a profit of $70; it in turn requires 100 pounds of steel
and 30 pounds of zinc. Find the best production mix of
the bathtubs.

The Formulation
Maximize

Subject to

P 90 x 70 y
125 x 100 y 25000
20 x 30 y 6000
x, y 0

Where x and y are the numbers of model A

and model B bathtubs that the company will
make, respectively.

Solving by Interior Point

Method
Initial
1st
2nd
3 rd
4 th
5 th
6 th
7 th
8 th

x1

x2

x3

x4

Obj

100

100

2500

1000

16000

129.4 86.4

178.8

818.8

17698

152.8 58.7

3.3

1184

17861

157

53.6

5.7

1250

17882

189

13.60

8.3

1810

17962

199.6 0.4

6.5

1995

17992

199.7 0.3

0.1

1994

17994

199.9 0.1

0.1

1999

17998

200

2000

18000

Solving by Excel
http://www.selu.edu/Academics/Faculty/kli

/linearprog.xls