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Mixed Integer Nonlinear Programming Algorithm

Mixed Integer Nonlinear Programming (MINLP) refers to mathematical programming problems with both continuous and discrete variables and nonlinear objective functions and constraints. MINLP problems combine the difficulties of mixed integer programs and nonlinear programs. Methods for solving MINLPs include outer approximation, branch-and-bound, extended cutting plane methods, and generalized Bender's decomposition which rely on solving related nonlinear programs. The algorithm for MINLP involves collecting data, reloading previous solutions, calculating objective functions, using an optimization solver to generate new solutions, and repeating until criteria are satisfied to find the optimal results.

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siddam mahesh
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29 views

Mixed Integer Nonlinear Programming Algorithm

Mixed Integer Nonlinear Programming (MINLP) refers to mathematical programming problems with both continuous and discrete variables and nonlinear objective functions and constraints. MINLP problems combine the difficulties of mixed integer programs and nonlinear programs. Methods for solving MINLPs include outer approximation, branch-and-bound, extended cutting plane methods, and generalized Bender's decomposition which rely on solving related nonlinear programs. The algorithm for MINLP involves collecting data, reloading previous solutions, calculating objective functions, using an optimization solver to generate new solutions, and repeating until criteria are satisfied to find the optimal results.

Uploaded by

siddam mahesh
Copyright
© © All Rights Reserved
Available Formats
Download as DOCX, PDF, TXT or read online on Scribd
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MIXED INTEGER NONLINEAR PROGRAMMING ALGORITHM

Mixed Integer Nonlinear Programming (MINLP) refers to mathematical programming


with continuous and discrete variables and nonlinearities in the objective function and
constraints. The use of MINLP is a natural approach of formulating problems where it is
necessary to simultaneously optimize the system structure (discrete) and parameters
(continuous).

MINLPs have been used in various applications, including the process industry and the
financial, engineering, management science and operations research sectors. It includes problems
in process flow sheets, portfolio selection, batch processing in chemical engineering (consisting
of mixing, reaction, and centrifuge separation), and optimal design of gas or water transmission
networks. Other areas of interest include the automobile, aircraft, and VLSI manufacturing areas.
The needs in such diverse areas have motivated research and development in MINLP solver
technology, particularly in algorithms for handling large-scale, highly combinatorial and highly
nonlinear problems. The general form of a MINLP is
minimize f(x, y)
subject to g(x, y) ≤ 0
x€X
y€Y integer (5)

The function f(x, y) is a nonlinear objective function and g(x, y) a nonlinear constraint function.
The variables x, y are the decision variables, where y is required to be integer valued. X and Y
are bounding-box-type restrictions on the variables.
MINLP problems are precisely so difficult to solve, because they combine all the
difficulties of both of their subclasses: the combinatorial nature of mixed integer programs (MIP)
and the difficulty in solving non convex (and even convex) nonlinear programs (NLP). Because
subclasses MIP and NLP are among the class of theoretically difficult problems (NP-complete),
so it is not surprising that solving MINLP can be a challenging and daring venture. Fortunately,
the component structure of MIP and NLP within MINLP provides a collection of natural
algorithmic approaches, exploiting the structure of each of the subcomponents.
Methods for solving MINLPs include innovative approaches and related techniques taken and
extended from MIP. Outer Approximation (OA) methods, Branch-and-Bound (B&B), Extended
Cutting Plane methods and Generalized Bender’s Decomposition (GBD) for solving MINLPs
have been discussed in the literature since the early 1980’s. These approaches generally rely on
the successive solutions of closely related NLP problems. For example, B&B starts out forming a
pure continuous NLP problem by dropping the integrality requirements of the discrete variables
(often called the relaxed MINLP or RMINLP). Moreover, each node of the emerging B&B tree
represents a solution of the RMINLP with adjusted bounds on the discrete variables.
Although theoretical algorithmic ideas for solving MINLP have been around for a while, the
practical implementation of such concepts is much more difficult. Memory limitations, efficient
numerical linear algebra routines, suitable algorithmic tolerances, and determining default solver
options are some of the key issues faced when extending algorithms to large-scale, general-
purpose software. In this section we give a brief and possibly incomplete historical overview of
practical general purpose MINLP software.
Probabilistic
generation-load Candidate buses Network data
model

Initial solution

Calculate the objective


function

Record the best


so-far solution

Optimization solver
generates new solution

Calculate the objective


solution

Record the best


so-far solution

Is Satisfy
?

The optimal results are


found

Fig 1.Flow chart of MINLP


The algorithm for MINLP is as follows:

1. Initially collect the all required data such as bus data, line data, voltage limits.
2. Reload the previous solution.
3. Calculate the objective function.
4. Record the best solution so far.
5. Optimization solver generates new solution
6. Calculate the objective solution
7. Record the best solution so-far
8. Is the result satisfy criteria?
9. If yes , the optimal results are found
10. If not, repeat the step5 to 9.

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