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Optimization Models and Applications

This document provides an overview of an optimization course. It includes information about the instructor, evaluation criteria, case studies, modeling languages, and the general lecture plan. Optimization aims to find the best configuration of systems by applying mathematical models. It has various applications in industries to better use resources and increase revenue. The course will teach students how to model optimization problems and solve them using modeling languages like AMPL.

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Abin Jacob John
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© © All Rights Reserved
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150 views

Optimization Models and Applications

This document provides an overview of an optimization course. It includes information about the instructor, evaluation criteria, case studies, modeling languages, and the general lecture plan. Optimization aims to find the best configuration of systems by applying mathematical models. It has various applications in industries to better use resources and increase revenue. The course will teach students how to model optimization problems and solve them using modeling languages like AMPL.

Uploaded by

Abin Jacob John
Copyright
© © All Rights Reserved
Available Formats
Download as PDF, TXT or read online on Scribd
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ISE 426

Optimization models and applications


instructor:
phone:
office hrs:
email:
web page:

Katya Scheinberg
Mohler Lab #479
(610) 758 4039
after 5pm on Tuesdays (if I am available)
and by appointment
katyas at lehigh dot edu
http://coral.ie.lehigh.edu/ katyas

Introduction

What do I expect from this course?

Homeworks, TAs (Sahar Tahernejad and Secil Sozuer) and


lab time.

Use of cell phones and laptops.

How to take lecture notes.

Introductions.

A few practical issues.

Evaluation

Homework:
Quiz #1:
Quiz #2:
Case study:
Final exam:
In-class participation:

25%
10%
10%
20%
25%
10%

(one every two weeks?)


(first part of October)
(early November)
(assigned in November)

Case studies

study an Optimization problem,

propose a model, and

solve it using a tool1 of their choice.

An optimization tool. . .

Lecture plan

Convexity, relaxations, lower/upper bounds

Linear Programming (+ duality)

Integer Programming

Nonlinear Programming

Relaxation and Decomposition

Stochastic Programming

Robust Optimization

Multicriteria Optimization

Material

Introduction to Mathematical Programming:


Applications and Algorithms, Volume 1, by W.L. Winston
and M. Venkataramanan;

Select chapters of Introduction to Operations Research


by F.S. Hillier and G.J. Lieberman, McGraw-Hill: New
York, NY, 1990;

Select chapters of Operations Research: Applications and


Algorithms by Wayne L. Winston, PWS-Kent Pub. Co.,
1991;

modeling language: AMPL: A Modeling Language for


Mathematical Programming by Robert Fourer, David M.
Gay, and Brian W. Kernighan.

Lecture slides.

Modeling languages

They are similar, and each has its own pros/cons. All have
limited version available to students.
Mosel: very nice Graphical User Interface (GUI)
AMPL: preferred. No GUI, but I and TAs know it better (can help)
also helps the formulation process.
GAMS: Has version with even nicer GUI (Aimms)

What is optimization?

When to use it?

What to use it for?

How to use it?

Optimization models. . .

Optimization aims at finding the best configuration of


processes, systems, products, etc.

It relies on a theory developed mostly in the past 50 years

Applying Optimization in an industrial, financial, logistic


context yields a better use of budget/resources ($$$) or a
higher revenue ($$$)

. . . and applications

Source: http://www.informs.com
(see also http://www.ScienceOfBetter.org)
yr
86
90
92
95
96
99
00

company
Eletrobras (hydroelectric energy)
Taco Bell (human resources)
Harris semicond. prod. planning
GM Car Rental
HP printers re-designed prod.
IBM supply chain
Syngenta corn production

result
43M$ saved
7.6M$ saved
50% 95% orders on time
+50M$
2x production
750M$ saved
5M$ saved

A few examples from IBM Research

Circuit design

Sorting facility optimization

Limousine driver/fleet optimization

An example

You work at a company that sells food in glass containers


R
. Its
only. Today, your boss has a bright idea! The tin can
a cylinder made of tin.

The can must contain V = 20 cu.in. (11 fl.oz., 33 cl)

Cut and solder tin foil to produce cans

Tin (foil) is expensive, use as little as possible

Boss: What is the ideal can? Tall and thin or short and fat?
You: A cylinder with volume V using as little tin as possible.

Example
r
If we knew radius r and height h,
h

the volume would be r2 h

qty of tin would be 2r2 + 2rh

r2 h must be V = 20in3 h =

Rewrite the quantity of tin as Q(r) = 2r2 + 2r rV2 , or


Q(r) = 2r2 +
Find the minimum of Q(r)!

2V
r

V
r2

Minimize the quantity of tin


Q(r)[in2 ]
250

200

150

100

50

minimum
0

r = 1.471 in

h=

V
(1.471)2

= 2.942 in

r [in]

Aims of this course

model Optimization problems

so that they can be solved

learn a modeling language

apply modeling languages to real-world problems

Your first Optimization model

Variables
Objective
Constraints

r: radius of the cans base


h: height of the can
2rh + 2r2 (minimize)
r2 h = V

Your first Optimization model

Variables
Objective
Constraints

r: radius of the cans base


h: height of the can
2rh + 2r2 (minimize)
r2 h = V
h>0
r>0

Optimization Models, in general, have:

Variables: Height and radius, number of trucks, . . . The


unknown (and desired) part of the problem (one thing your
boss cares about).
Constraints: Physical, explicit (V = 20in3 ), imposed by law,
budget limits. . . They define all and only values of the
variables that give possible solutions.
Objective function: what the boss really cares about.
Quantity of tin, total cost of trucks, total estimated
revenue, . . . a function of the variables

The general optimization problem

Consider a vector x Rn of variables.


An optimization problem can be expressed as:
P:

minimize f0 (x)
such that f1 (x) b1
f2 (x) b2
..
.
fm (x) bm

Convexity

Convex sets

Def.: A set S Rn is convex if any two points x and x of S are


joined by a segment entirely contained in S:

Convex sets

Def.: A set S Rn is convex if any two points x and x of S are


joined by a segment entirely contained in S:
x , x S, [0, 1],

x + (1 )x S

Convex sets

Def.: A set S Rn is convex if any two points x and x of S are


joined by a segment entirely contained in S:
x , x S, [0, 1],

x + (1 )x S

The intersection of two convex sets is convex.

Examples: Convex sets

Convex

Examples: Convex sets

Convex

R, R2 , R3 , etc. are convex

[a, b] is convex

{4} is convex

Examples: Nonconvex sets

Examples: Nonconvex sets

x
x

{0, 1} is nonconvex

{x R : x 2 x 3} is nonconvex

Z is nonconvex

Examples: Nonconvex sets

x
x

x
x

{0, 1} is nonconvex

{x R : x 2 x 3} is nonconvex

Z is nonconvex

Examples: Nonconvex sets

x
x

x
x
x
x

{0, 1} is nonconvex

{x R : x 2 x 3} is nonconvex

Z is nonconvex

Convex functions

Def.: A function f : Rn R is convex if, for any two points x


and x Rn and for any [0, 1]
f (x + (1 )x )

f (x ) + (1 )f (x )

Convex functions

Def.: A function f : Rn R is convex if, for any two points x


and x Rn and for any [0, 1]
f (x + (1 )x )

f (x ) + (1 )f (x )

The sum of convex functions is a convex function

Convex functions

Def.: A function f : Rn R is convex if, for any two points x


and x Rn and for any [0, 1]
f (x + (1 )x )

f (x ) + (1 )f (x )

The sum of convex functions is a convex function

Multiplying a convex function by a positive scalar gives a


convex function

Convex functions

Def.: A function f : Rn R is convex if, for any two points x


and x Rn and for any [0, 1]
f (x + (1 )x )

f (x ) + (1 )f (x )

The sum of convex functions is a convex function

Multiplying a convex function by a positive scalar gives a


convex function
P
linear functions ki=1 ai xi are convex, irrespective of the
sign of ai s.

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