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Non Linear Optimization - Additional Exercises - Solution

The document presents solutions to three optimization problems using Lagrange and Newton methods. The first problem maximizes a logarithmic function subject to a constraint, yielding values x=10, y=20, and z=30. The second problem minimizes fencing for a rectangular picnic area, resulting in x=44.72 and y=22.36, while the third problem applies the Newton method to maximize a quadratic function, achieving an optimal solution in one iteration.

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14 views2 pages

Non Linear Optimization - Additional Exercises - Solution

The document presents solutions to three optimization problems using Lagrange and Newton methods. The first problem maximizes a logarithmic function subject to a constraint, yielding values x=10, y=20, and z=30. The second problem minimizes fencing for a rectangular picnic area, resulting in x=44.72 and y=22.36, while the third problem applies the Newton method to maximize a quadratic function, achieving an optimal solution in one iteration.

Uploaded by

fadi.shamtia21
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Download as PDF, TXT or read online on Scribd
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1- Consider the following constrained optimization problem:

Max 𝑙𝑛 (𝑥) + 2ln (𝑦) + 3ln (𝑧)


subject to 𝑥 + 𝑦 + 𝑧 = 60

Solve using Lagrange

Solution:
We define the Lagrangian associated to this problem:
L(x, y, z, l) = 𝑙𝑛 (𝑥) + 2 ln(𝑦) + 3 ln(𝑧) − l(𝑥 + 𝑦 + 𝑧 − 60)
We then derive taking the gradient to 0. We got X=10, y=20 and z=30.

2- The highway department is planning to build a picnic area for motorists along a major
highway. It is to be rectangular with an area of 1000 square meters and is to be fenced off
on the three sides not adjacent to the highway. The objective to identify the least amount of
fencing that will be needed to complete the job

a) Formulate the nonlinear corresponding problem.

Min f = x + 2y (the fence length of the 3 side)


Subject to: x*y=1000 (area should be 1000 m2)
WE solve using Lagrange to obtain X=44.72 and Y=22.36
NOTE: another way to solve is to replace y by 2000/x in the function to minimize.
3- Use Newton method to maximize

1 2 −3 2
𝑓 = 𝑓B𝑥!, 𝑥# C = − 𝑥 $ E F 𝑥 + 𝑥$ E F − 7
2 −1 1 −1

The initial guess is x(0)= [-1 4]T

Solution:
XT=(x1, x2) so replacing in f we got
1
𝑓 = 𝑓B𝑥!, 𝑥# C = −𝑥!# + 2𝑥! 𝑥# − 𝑥## + 2𝑥! − 𝑥# − 7
2

æ -2 x1 + 2 x2 + 2 ö æ -2 2 ö
Ñf ( x1 , x2 ) = ç ÷ H ( x1 , x2 ) = ç ÷
è 2 x1 - x2 - 1 ø è 2 -1ø
x1 = x 0 - H ( x 0 ) -1 Ñf ( x 0 )
æ1 ö
-1 -1 æ -1 -2 ö ç 1÷
The inverse of H is H ( x1 , x2 ) = ç ÷=ç2 ÷
2 è -2 -2 ø ç ÷
è 1 1ø
æ1 ö
æ -1ö ç 1 æ 12 ö æ -1ö æ -1ö æ 0 ö
x = ç ÷ - 2 ÷ç ÷ = ç ÷ - ç ÷ = ç ÷
1

è 4 ø çç 1 1÷÷ è -7 ø è 4 ø è 5 ø è -1ø
è ø
Note that we this solution the gradient is 0 and we got to the optimal solution in one
iteration.

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