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8-Introduction To Linear Optimization

The document introduces optimization and provides a brief history. It discusses Dantzig's seminal work in the 1940s that established the foundations of linear optimization. Key components of optimization modeling are identified as decision variables, objectives, and constraints. An example production problem is presented and modeled first with basic notation and then enhanced with index and summation notation to demonstrate a generic linear optimization formulation.

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shermaine
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40 views

8-Introduction To Linear Optimization

The document introduces optimization and provides a brief history. It discusses Dantzig's seminal work in the 1940s that established the foundations of linear optimization. Key components of optimization modeling are identified as decision variables, objectives, and constraints. An example production problem is presented and modeled first with basic notation and then enhanced with index and summation notation to demonstrate a generic linear optimization formulation.

Uploaded by

shermaine
Copyright
© © All Rights Reserved
Available Formats
Download as PDF, TXT or read online on Scribd
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Introduction to Optimization

What is Optimization?

Optimization refers to the selection of a best element from some set of available
alternatives.
History of Optimization - Antiquity

>

Euclid of Alexandria
History of Optimization - Antiquity
• Dido’s Problem (Virgil's Aeneid)
– Dido, who left the city of Tyre to escape her brother,
– …
– They came to this spot, where to-day you can behold
the mighty Battlements and the rising citadel of New
Carthage,
– And purchased a site, which was named 'Bull's Hide'
after the bargain
– By which they should get as much land as they could
enclose with a bull's hide
5
6
Zenodorus
Which can has larger volume?
Johannes Kepler
Kepler’s Wine Barrel Problem
• In December of last year...I brought home a new wife at a time when
Austria, having brought in a bumper crop of noble grapes, distributed its
riches...The shore in Linz was heaped with wine barrels that sold at a
reasonable price. ...That is why a number of barrels were brought to my
house and placed in a row, and four days later the salesman came and
measured all the tubes, without distinction, without paying attention to
the shape, without any thought or computation. Namely the copper point
of a ruler was pushed through the filling hole of a barrel, across the heel
of each of the wooden disks which we refer to simply as bottoms, and as
soon as the length to the point at the top of one board disk was the
same as the length to the point at the bottom of the other, the salesman
stated the number of amphoras contained in the barrel after merely
noting the number on the ruler at the spot where the length question
ended.

I was astonished…
Underlying image from p. 98 of Kepler's 1615 Nova stereometria
Origin of Optimization (1940’s)
• George B. Dantzig (8 Nov 1914 – 13 May 2005)

http://en.wikipedia.org/wiki/George_Dantzig
Origin of Optimization
Dantzig’s (1940’s)
Original Problem
• Assigning 70 men to 70 jobs
– If solved with brutal force, how many alternatives are there?

– Suppose a computer (which can run 1 million computations per


second) starts the calculation from the Big Bang of the universe
(15 billion years ago),
• Will it finish by Year 2012?
• How about switching to a super computer that runs at 1 billion
computations per second?
• How about we fill the whole earth with super computers all running
in parallel?
• Actually, we will need 1040 earths full of such super computers to run
from the Big Bang until the Sun cools down …

– With modern optimization software, it takes less than a second to


solve!
Origin of Optimization
Application (1940’s)
of Optimization
• Military – logistics planning

• Business – manufacturing, finance, marketing,


transportation, communication, …

• Engineering – design of products, data analysis, …

• Science – medicine, biology, geometry, chemistry,


physics,…

• …

• Games – Sudoku
Key components in optimization
modeling
• Decision variables
– What are the possible alternatives?

• Objective
– What do you want to achieve?

• Constraints
– What limit your choices?
Origin of1:Optimization
Example A Production(1940’s)
Problem

• A furniture company makes Desk ($60), Table ($30) and Chair ($20)
• Production requires Wood, Finishing Labor, and Carpentry Labor
• How many of each product to produce in order to maximize profit?

Desk Table Chair Avail.

Wood 8 6 1 48

Finishing Hrs 4 2 1.5 20

Carpentry Hrs 2 1.5 0.5 8


Example 1: A Production Problem
• Decisions : Number of Desks, Tables and Chairs to produce (x1, x2, x3)
• Target : Total profit
• Constraints :
– Total available units of Wood, Finish Hrs, and Carpentry Hrs
– Non-negativity
Linear Optimization
• Linear Optimization (aka, Linear Programming, or LP)
– The objective is a linear function of the decision variables
– Each constraint must also be a linear equation or inequality

• Standard formulation of LP
Generic Modelling with Index Notation
𝑖: Product 𝑝𝑖 : Price of product 𝑖
𝑗: Resource 𝑟𝑗 : Availability of resource j

𝑎𝑖𝑗 : Units of resource j needed for one unit of product i.

max 𝑝1 𝑥1 + 𝑝2 𝑥2 + 𝑝3 𝑥3
𝑠. 𝑡. 𝑎11 𝑥1 + 𝑎21 𝑥2 + 𝑎31 𝑥3 ≤ 𝑟1

𝑎12 𝑥1 + 𝑎22 𝑥2 + 𝑎32 𝑥3 ≤ 𝑟2

𝑎13 𝑥1 + 𝑎23 𝑥2 + 𝑎33 𝑥3 ≤ 𝑟3

𝑥1 , 𝑥2 , 𝑥3 ≥ 0
Enhance the model with summation notation
3

max 𝑝1 𝑥1 + 𝑝2 𝑥2 + 𝑝3 𝑥3 max 𝑝𝑖 𝑥𝑖
𝑖=1

𝑠. 𝑡. 𝑎11 𝑥1 + 𝑎21 𝑥2 + 𝑎31 𝑥3 ≤ 𝑟1 3

𝑠. 𝑡. 𝑎𝑖1 𝑥𝑖 ≤ 𝑟1
𝑎12 𝑥1 + 𝑎22 𝑥2 + 𝑎32 𝑥3 ≤ 𝑟2 𝑖=1
3
𝑎13 𝑥1 + 𝑎23 𝑥2 + 𝑎33 𝑥3 ≤ 𝑟3
𝑎𝑖2 𝑥𝑖 ≤ 𝑟2
𝑥1 , 𝑥2 , 𝑥3 ≥ 0 𝑖=1
3

𝑎𝑖3 𝑥𝑖 ≤ 𝑟3
𝑖=1

𝑥1 , 𝑥2 , 𝑥3 ≥ 0
Further Enhancement
3 3

max 𝑝𝑖 𝑥𝑖 max 𝑝𝑖 𝑥𝑖
𝑖=1 𝑖=1

𝑠. 𝑡. 𝑎𝑖1 𝑥𝑖 ≤ 𝑟1 3
𝑖=1
𝑠. 𝑡. 𝑎𝑖𝑗 𝑥𝑖 ≤ 𝑟𝑗 𝑓𝑜𝑟 𝑗 = 1,2,3
3
𝑖=1
𝑎𝑖2 𝑥𝑖 ≤ 𝑟2
𝑖=1 𝑥𝑖 ≥ 0 𝑓𝑜𝑟 𝑖 = 1,2,3
3

𝑎𝑖3 𝑥𝑖 ≤ 𝑟3
𝑖=1

𝑥1 , 𝑥2 , 𝑥3 ≥ 0

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