Extra Exercise for Final Review:

CHAPTER 6: Sensitivity analysis and Dual Problem

*Optional (not in final exam)*
I. Sensitivity analysis:

Question 1 (allowable range)

Consider the following problem

Maximize Z=3 x1 + x 2 +2 x 3

subject ¿
x 1−x 2+ 2 x 3 ≤ 20

2 x1 + x 2−x 3 ≤ 10

¿
x 1 ≥ 0 , x2 ≥ 0 , x 3 ≥0

Let x 4 and x 5 denote the slack variables for respective functional constraints. After we apply the simplex
method, the final simplex tableau is:

Basic Coefficient of:

variable Eq. x_1 x_2 x_3 x_4 x_5 RHS
Z (0) 8 0 0 3 4 100
x_3 (1) 3 0 1 1 1 30
x_2 (2) 5 1 0 1 2 40

a. Use algebraic analysis to find the allowable range to stay optimum for each c j
b. Use algebraic analysis to find the allowable range to stay feasible for each b i

Question 2 (change and check optimality)

Maximize Z=−5 x 1+5 x 2+ 13 x 3 ,

subject ¿:
−x 1+ x2 +3 x 3 ≤ 20
12 x1 + 4 x 2+10 x 3 ≤ 90
¿ x j ≥ 0 ( j=1,2,3 ) .
If we let x 4 and x 5 be the slack variables for the respective constraints, the simplex method yields the
following final set of equations:
( 0 ) Z+2 x 3+ 5 x 4 =100
( 1 )−x 1 + x 2+3 x 3 + x 4=20
( 2 ) 16 x 1−2 x 3−4 x 4 + x 5=10
Now you are to conduct sensitivity analysis by independently investigating each of the following changes
in the original model. For each change, use the sensitivity analysis procedure to revise this set of
equations (in tableau form) and convert it to proper form from Gaussian elimination for identifying and
evaluating the current basic solution. Then test this solution for feasibility and for optimality. (Do not
reoptimize.)
a. Change the right-hand side of constraint 1 to b 1=30.
b. Change the right-hand side of constraint 2 to b 2=70
c. Change the right-hand sides to

d. Change the coefficient of x 3 in the objective function to c 3=8

II. Duality

Question 3:
Consider the following problem
Maximize Z=2 x 1 +7 x 2+ 4 x 3
subject ¿:
x 1+ 2 x 2 + x 3 ≤ 10
3 x 1+3 x 2 +2 x 3 ≤10
¿ x1 , x2 , x3 ≥ 0
a. Construct the dual problem for this primal problem
b. Use the dual problem to demonstrate that the optimal value of Z for the primal problem cannot
exceed 25.
c. Solve the dual problem graphically. Use this solution to identify the basic variables and the non-
basic variables for the optimal solution of the primal problem. Directly derive this solution, using
Gaussian elimination.

Question 4:
Consider the following problem:
Minimize Z=−x 1−3 x 2
subject ¿:
x 1−2 x2 ≤ 2
−x 1+ x2 ≤ 4
¿ x1 , x2 ≥ 0
a. Demonstrate graphically that this problem has an unbounded objective function
b. Construct the dual problem
c. Demonstrate graphically that the dual problem has no feasible solutions.

Question 5:

Consider the following problem:

Maximize Z=3 x1 + x 2 +4 x 3 ,
subject ¿
6 x 1+ 3 x 2 +5 x 3 ≤ 25

3 x 1+ 4 x 2+ 5 x 3 ≤20

x1 , x2 , x3 ≥ 0

The corresponding final set of equations yielding the optimal solution is:

1 3
( 0 ) Z+2 x 2+ x 4+ x5 =17
5 5
1 1 1 5
( 1 ) x 1− x 2 + x 4 − x5 =
3 3 3 3
1 2
( 2 ) x2 + x 3− x 4 + x 5=3
5 5
x1 , x2 , x3 ≥ 0

a. Identify the optimal solution from this set of equations.

b. Construct the dual problem
c. Identify the optimal solution for the dual problem from the final set of equations. Verify this
solution by solving the dual problem graphically.
d. Suppose that the original problem is changed to

Maximize Z=3 x1 +3 x 2+ 4 x 3

subject ¿
6 x 1+ 2 x 2 +5 x3 ≤ 25

3 x 1+3 x 2 +5 x3 ≤ 20

x1 , x2 , x3 ≥ 0

Use duality theory (refer section 6.5 - page 252 Hiller’s Book 7 th ed) to determine whether the previous
optimal solution is still optimal

e. Now suppose that the only change in the original problem is that a new variable x new has been
introduced into the model as follows:

Maximize Z=3 x1 + x 2 +4 x 3 +2 x new ,

subject ¿
6 x 1+ 3 x 2 +5 x 3+3 x new ≤25

3 x 1+ 4 x 2+ 5 x 3 +2 x new ≤ 20

x 1 , x 2 , x 3 , x new ≥0
Use duality theory (refer section 6.5 - page 252 Hiller’s Book 7 th ed) to determine whether the previous
optimal solution, along with x new =0 , is still optimal.

CHAPTER 7: Integer Programming

I. Integer programming

Question 1 (formulation):

The board of directors of General Wheels Co. is considering seven large capital investments. Each
investment can be made only once. These investments differ in the estimated long-run profit (net
present value) that they will generate as well as in the amount of capital required, as shown by the
following table (in units of millions of dollars):

Investment Opportunity
1 2 3 4 5 6 7
Estimated profit 17 10 15 19 7 13 9
Capital required 43 28 34 48 17 32 23
The total amount of capital available for these investments is $100 million. Investment opportunities 1
and 2 are mutually exclusive, and so are 3 and 4. Furthermore, neither 3 nor 4 can be undertaken unless
one of the first two opportunities is undertaken. There are no such restrictions on investment
opportunities 5,6 and 7. The objective is to select the combination of capital investments that will
maximize the total estimated long-run profit (net present value).

Formulate a BIP model for this problem.

Question 2 (Formulation)

The Research and Development Division of the Progressive Company has been developing four possible
new product lines. Management must now make a decision as to which of these four products actually
will be produced and at what levels. Therefore, an operations research study has been requested to find
the most profitable product mix.

A substantial cost is associated with beginning the production of any product, as given in the first row of
the following table. Management’s objective is to find the product mix that maximizes the total profit
(total met revenue mis start-up costs)

Product
1 2 3 4
Start-up cost $50,000 $40,000 $70,000 $60,000
Marginal revenue $70 $60 $90 $80
Let the continuous decision variables x 1 , x 2 , x 3 and x 4 be the production levels of products 1,2,3 and 4,
respectively. Management has imposed the following policy constraints on these variables:
 1. No more than two of the products can be produced.
2. Either product 3 or 4 can be produced only if either product 1 or 2 is produced.
3. Either 5 x 1+3 x 2 +6 x 3+ 4 x 4 ≤ 6,000

Or 4 x1 +6 x 2 +3 x3 +5 x 4 ≤ 6,000

Introduce auxiliary binary variables to formulate a mixed BIP model for this problem

II. Branch and Bound problem (BIP and MIP)

Question 3: (MIP)

Solve the following Integer Programming (IP) problem using Branch and Bound algorithm:

Minimize Z=2 x 1+3 x 2 ,

subject ¿
x 1+ x2 ≥3

x 1+ 3 x 2 ≥6
¿
x 1 ≥ 0 , x2 ≥ 0: x 1 , x 2 are integers
 CHAPTER 8: Dynamic Programming
Dynamic programming problems: Knap-sack problem

Minh, a Vietnamese athlete who visits the United States and Europe frequently, is allowed to return
with a limited number of consumer items not generally available in Vietnam. The items, which are
carried in a duffel bag, cannot exceed a weight of 5 pounds. Once Minh is in Vietnam, he sells the items
at highly inflated prices. The three most popular items in Vietnam are denim jeans, CD players, and CDs
of U.S. rock groups. The weight and profit (in U.S. dollars) of each item are as follows:

Item Weight (lb.) Profit

Denim jeans 2 $90
CD players 3 150
Compact discs 1 30
Help Minh determine the combination of items he should pack in his duffel bag to maximize his profit.
 CHAPTER 9: Network Optimization
III. Network optimization

Shortest path problem:

Question 1:

One of Speedy Airlines’ flights is about to take off from Seattle from a nonstop flight to London. There is
some flexibility in choosing the precise route to be taken, depending upon weather conditions. The
following network depicts the possible routes under consideration, where SE and LN are Seattle and
London, respectively, and the other nodes represent various intermediate locations. The winds along
each arc greatly affect the flying time (and so the fuel consumption). Based on current meteorological
reports, the flying times (in hours) for this particular flight are shown next to the arcs. Because the fuel
consumed is so expensive, the management of Speedy Airlines has established a policy of choosing the
route that minimizes the total flight time.

Use the algorithm described in Sec. 9.3 (Hiller’s Book 7 th Edition) to solve this shortest path problem.

Dijkstra’ algorithm:

Question 2:

The network in the figure below gives the distances in miles between pairs of cities 1, 2, …, and 8. Use
Dijkstra’s algorithm to find the shortest route between the following cities:

a. Cities 1 and 7.
b. Cities 1 and 6
c. Cities 4 and 8
d. Cities 2 and 7
Question 3:

Use Dijkstra’s algorithm to find the shortest route between node 1 and every other node in the network
of the figure below:

Minimum spanning tree:

Question 4:

Midwest TV Cable Company is providing cable service to five new housing developments. The figure
below depicts possible TV connections to the five areas, with cable miles affixed on each arc.

The goal is to determine the most economical cable network. Determine the minimal spanning tree of
the network under each of the following separate conditions:

a. Nodes 5 and 6 are linked by a 2-mile cable

b. Nodes 2 and 5 cannot be linked
c. Nodes 2 and 6 are linked by a 4-mile cable
d. The cable between nodes 1 and 2 is 8 miles long.
 e. Nodes 3 and 5 are linked by a 2-mile cable.
f. Node 2 cannot be linked directly to nodes 3 and 5.

Minimum cost flow _ Maximum flow:

Question 5:

Consider the maximum flow problem shown below, where the source is node A, the sink is node F, and
the arc capacities are the numbers shown next to these directed arcs.

Use the augmenting path algorithm (Maximum flow problem) to solve the problem.
 Chapter 10: Non-linear programming
Non-linear programming (Single variable)- Dichotomous and Golden search method

Question 1:

Find the maximum of each of the following functions by dichotomous search. Assume that Δ=.2:

{
f ( x )= 4 x ,0 ≤ x ≤ 2
4−x , 2≤ x ≤ 4

Unconstrained – Multivariable: Gradient Search method

Question 2:

Starting from the initial trial solution ( x 1 , x 2 )=( 0,0 ), interactively apply the gradient search procedure
with ϵ=0.3 to obtain an approximate solution for the following problem, and then apply the automatic
routine for this procedure (with ϵ=0.01)
2 2
Maximize f ( x )=8 x 1−x 1−12 x 2−2 x 2 +2 x1 x 2

Then solve ∇ f ( x )=0 directly to obtain the exact solution

Question 3:

Consider the following unconstrained optimization problem:

2 2 2
Maximize f ( x )=3 x 1 x 2 +3 x 2 x 3−x 1−6 x 2−x 3

a. Describe how solving this problem can be reduced to solving a two-variable unconstrained
optimization problem.
b. Starting from the initial trial solution ( x 1 , x 2 , x 3 )=(1,1,1), interactively apply the gradient
search procedure with ϵ =0.05 to solve (approximately) the two-variable problem identified in
part (a).
c. Repeat part (b) with the automatic routine for this procedure (with ϵ=0.005).

Constrained Non-linear problem – Karush – Huhn – Tucker (KKT)

Question 4:

Consider the following convex programming problem:

2 2
Maximize f ( x )=24 x1 −x1 +10 x 2−x 2
subject ¿
x1≤ 8 ,
x2≤ 7 ,
¿ x1 , x2 ≥ 0
Use the KKT conditions for this problem to derive an optimal solution