Linear Optimization

Optimization implies choosing the best option among a number of available alternatives that are ranked according to a given objective, such as investing a fixed amount of money among a number of assets to maximize the return. This note provides an introduction to linear programming (LP), with an emphasis on its application to practical business problems. It describes how to solve LP problems with the help of Solver, a Microsoft Excel add-in. The note also describes in detail how to linearize a few discontinuous functions that appear in applications (such as MAX, IF, etc.). A succinct overview of integer programming (IP) and nonlinear programming (NLP) is also provided.