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Non Linear Programming

This document discusses non-linear programming and optimization. It covers classes of non-linear problems including unconstrained, linearly constrained, quadratic, convex, separable, and nonconvex problems. Methods for solving one-dimensional and multi-dimensional unconstrained optimization problems are presented, including gradient descent and calculating optimal step lengths. Necessary and sufficient conditions for optimality in unconstrained and constrained problems are described, such as the Karush-Kuhn-Tucker conditions for general constrained optimization.

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56 views

Non Linear Programming

This document discusses non-linear programming and optimization. It covers classes of non-linear problems including unconstrained, linearly constrained, quadratic, convex, separable, and nonconvex problems. Methods for solving one-dimensional and multi-dimensional unconstrained optimization problems are presented, including gradient descent and calculating optimal step lengths. Necessary and sufficient conditions for optimality in unconstrained and constrained problems are described, such as the Karush-Kuhn-Tucker conditions for general constrained optimization.

Uploaded by

mulyadi
Copyright
© © All Rights Reserved
Available Formats
Download as PDF, TXT or read online on Scribd
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Non-Linear Programming

Summary
TMR4115

Prof. Stein Ove Erikstad


Reality

Decision Models
Design Methods Prof. Stein Ove Erikstad

Agenda

Intro non-linear programming

non-linear objectives and constraints

Classes of non-linear optimization models

One-variable unconstrained optimization

a simple search algorithm

Excel example

Multi-variable unconstrained optimization

gradient search

example by hand

Optimality conditions

concave and convex functions

conditions for optimality unconstrained problems

KKT-conditions for constrained problems

2
Design Methods Prof. Stein Ove Erikstad

Classes of non-linear
problems
Unconstrained
Linearly constrained
Quadratic
linearly constrained
quadratic objective function (e.g. the square of a
variable, or the product of two variables)

Convex programming
Separable programming

f(x), g(x) separable


linear approximation -> use simplex

Nonconvex programming
geometric programming
fractional programming

3
Design Methods Prof. Stein Ove Erikstad

One-dim unconstrained
search
DIRECTION: Left or Right
based on the sign of the derivative

STEP-LENGTH
Bi-section: Midpoint of lower and upper
bound
3000

2500

2000

Series1

1500

Series2

1000

500

0
1

10 11 12 13 14 15 16 17 18 19 20

Design Methods Prof. Stein Ove Erikstad

Multi-Varible,
Unconstrained Search
DIRECTION: The Gradient f(x)
direction of steepest ascend

STEP-LENGTH: t*
t* is the value that maximises f along
the gradient

Initial
solution
Design Methods Prof. Stein Ove Erikstad

Multi-Varible,
Unconstrained Search
Algorithm:
1. Find the next point x as a function
of t, x = x+ t f(x)
2. Find the t that maximises f(x) b y
differentiating wrt t

Initial
solution
Design Methods Prof. Stein Ove Erikstad

Necessary and sufficient


conditions for optimality

Problem

Necessary conditions

Also sufficient if

One-variable
unconstrained

df/dx = 0

f(x) concave

Multivariable
unconstrained

f/ x j = 0 , j= 1 ,2 , , n

f(x) concave

Constrained,
nonnegativity
constraints only
General
constrained
problem

f/ x j = 0 , j= 1 ,2 , , n
or 0 if xj = 0

KKT conditions

f(x) concave

f(x) concave
gi(x) convex
7

Design Methods Prof. Stein Ove Erikstad

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