Nonlinear programming

In mathematics, nonlinear programming (NLP) is the process of solving an optimization problem where
some of the constraints or the objective function are nonlinear. An optimization problem is one of calculation
of the extrema (maxima, minima or stationary points) of an objective function over a set of unknown real
variables and conditional to the satisfaction of a system of equalities and inequalities, collectively termed
constraints. It is the sub-field of mathematical optimization that deals with problems that are not linear.

Contents
Applicability
Definition
Possible types of constraint set
Methods for solving the problem
Examples
2-dimensional example
3-dimensional example
See also
References
Further reading
External links

Applicability
A typical non-convex problem is that of optimizing transportation costs by selection from a set of
transportation methods, one or more of which exhibit economies of scale, with various connectivities and
capacity constraints. An example would be petroleum product transport given a selection or combination of
pipeline, rail tanker, road tanker, river barge, or coastal tankship. Owing to economic batch size the cost
functions may have discontinuities in addition to smooth changes.

In experimental science, some simple data analysis (such as fitting a spectrum with a sum of peaks of known
location and shape but unknown magnitude) can be done with linear methods, but in general these problems,
also, are nonlinear. Typically, one has a theoretical model of the system under study with variable parameters
in it and a model the experiment or experiments, which may also have unknown parameters. One tries to find a
best fit numerically. In this case one often wants a measure of the precision of the result, as well as the best fit
itself.

Definition
Let n, m, and p be positive integers. Let X be a subset of Rn , let f, gi, and hj be real-valued functions on X for
each i in {1, …, m} and each j in {1, …, p}, with at least one of f, gi, and hj being nonlinear.

A nonlinear minimization problem is an optimization problem of the form

A nonlinear maximization problem is defined in a similar way.

Possible types of constraint set

There are several possibilities for the nature of the constraint set, also known as the feasible set or feasible
region.

An infeasible problem is one for which no set of values for the choice variables satisfies all the constraints.
That is, the constraints are mutually contradictory, and no solution exists; the feasible set is the empty set.

A feasible problem is one for which there exists at least one set of values for the choice variables satisfying all
the constraints.

An unbounded problem is a feasible problem for which the objective function can be made to be better than
any given finite value. Thus there is no optimal solution, because there is always a feasible solution that gives a
better objective function value than does any given proposed solution.

Methods for solving the problem

If the objective function is concave (maximization problem), or convex (minimization problem) and the
constraint set is convex, then the program is called convex and general methods from convex optimization can
be used in most cases.

If the objective function is quadratic and the constraints are linear, quadratic programming techniques are used.

If the objective function is a ratio of a concave and a convex function (in the maximization case) and the
constraints are convex, then the problem can be transformed to a convex optimization problem using fractional
programming techniques.

Several methods are available for solving nonconvex problems. One approach is to use special formulations of
linear programming problems. Another method involves the use of branch and bound techniques, where the
program is divided into subclasses to be solved with convex (minimization problem) or linear approximations
that form a lower bound on the overall cost within the subdivision. With subsequent divisions, at some point an
actual solution will be obtained whose cost is equal to the best lower bound obtained for any of the
approximate solutions. This solution is optimal, although possibly not unique. The algorithm may also be
stopped early, with the assurance that the best possible solution is within a tolerance from the best point found;
such points are called ε-optimal. Terminating to ε-optimal points is typically necessary to ensure finite
termination. This is especially useful for large, difficult problems and problems with uncertain costs or values
where the uncertainty can be estimated with an appropriate reliability estimation.

Under differentiability and constraint qualifications, the Karush–Kuhn–Tucker (KKT) conditions provide
necessary conditions for a solution to be optimal. Under convexity, these conditions are also sufficient. If some
of the functions are non-differentiable, subdifferential versions of Karush–Kuhn–Tucker (KKT) conditions are
available.[1]

Examples
2-dimensional example

A simple problem (shown in the diagram) can be defined by the

constraints

x1 ≥ 0
x2 ≥ 0
x12 + x22 ≥ 1
x12 + x22 ≤ 2

with an objective function to be maximized

f(x) = x1 + x2
The blue region is the feasible
region. The tangency of the line
where x = (x1 , x2 ).
with the feasible region
represents the solution. The line
is the best achievable contour
3-dimensional example line (locus with a given value of
the objective function).
Another simple problem (see diagram) can be defined by the constraints

x12 − x22 + x32 ≤ 2

x12 + x22 + x32 ≤ 10

with an objective function to be maximized

f(x) = x1x2 + x2x3

where x = (x1 , x2 , x3 ).

See also The tangency of the top surface with

the constrained space in the center
represents the solution.
Curve fitting
Least squares minimization
Linear programming
nl (format)
Nonlinear least squares
List of optimization software
Quadratically constrained quadratic programming
Werner Fenchel, who created the foundation for nonlinear programming

References
1. Ruszczyński, Andrzej (2006). Nonlinear Optimization. Princeton, NJ: Princeton University
Press. pp. xii+454. ISBN 978-0691119151. MR 2199043 (https://www.ams.org/mathscinet-getit
em?mr=2199043).

Further reading
 Avriel, Mordecai (2003). Nonlinear Programming: Analysis and Methods. Dover Publishing.
ISBN 0-486-43227-0.
Bazaraa, Mokhtar S. and Shetty, C. M. (1979). Nonlinear programming. Theory and algorithms.
John Wiley & Sons. ISBN 0-471-78610-1.
Bonnans, J. Frédéric; Gilbert, J. Charles; Lemaréchal, Claude; Sagastizábal, Claudia A. (2006).
Numerical optimization: Theoretical and practical aspects (https://www.springer.com/mathemati
cs/applications/book/978-3-540-35445-1). Universitext (Second revised ed. of translation of
1997 French ed.). Berlin: Springer-Verlag. pp. xiv+490. doi:10.1007/978-3-540-35447-5 (https://
doi.org/10.1007%2F978-3-540-35447-5). ISBN 3-540-35445-X. MR 2265882 (https://www.ams.
org/mathscinet-getitem?mr=2265882).
Luenberger, David G.; Ye, Yinyu (2008). Linear and nonlinear programming. International
Series in Operations Research & Management Science. 116 (Third ed.). New York: Springer.
pp. xiv+546. ISBN 978-0-387-74502-2. MR 2423726 (https://www.ams.org/mathscinet-getitem?
mr=2423726).
Nocedal, Jorge and Wright, Stephen J. (1999). Numerical Optimization. Springer. ISBN 0-387-
98793-2.
Jan Brinkhuis and Vladimir Tikhomirov, Optimization: Insights and Applications, 2005,
Princeton University Press

External links
Mathematical Programming Glossary (http://glossary.computing.society.informs.org/)

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