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Content of part 1

Chapter 1: One-variable optimization

Mathematical Chapter 2: Multivariable optimization
Modelling Chapter 3: Multi-objective optimization
Chapter 4: Computational methods for
optimization

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Outline

Part 1: Optimization Model • One-variable optimization

• Multivariable optimization

• Linear programming

• Discrete optimization

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One-variable optimization Step 1: Ask a question

• Real-life problem is usually messy.
• The task of locating global extreme points can be
exceedingly difficult. Even the function is differentiable
everywhere, the computation of the derivative is often
complicated.
• Simple fact is that most equations cannot be solved
analytically.
• The best we can do in most instances is to find an
approximate solution by graphical or numerical techniques.

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Illustrated example: A variant of

Step 1: Ask a question
Pig problem
• We reconsider the pig problem in the previous Let assume that the growth rate of the pig is
chapter, but now we take into account the fact proportional to its weight. In other words,
that the growth rate is not constant. We 𝑑𝑤
= 𝑐𝑤
assume that the pig is young, so that the 𝑑𝑡
growth rate is increasing by time. From the fact that = 5 lbs/day when 𝑤 = 200
lbs, we conclude that 𝑐 = 0.025. So
𝑑𝑤
= 0.025𝑤, 𝑤 0 = 200
𝑑𝑡
Solving this we got 𝑤 = 200 𝑒 .

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Step 2: Select a modelling approach Step 4: Solve the problem

• We still model this problem as a one-variable We will use the graphical method.
optimization problem. • Case 1: Not a complete graph
• However, computational method for this
problem is much harder than for previous
problem.

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Step 3: Formulate the problem Step 4: Solve the problem

• 𝑃 = 𝑅 − 𝐶 = 𝑝𝑤 − 0.45𝑡 = (0.65 − We will use the graphical method.
0.01𝑥) 200𝑒 . − 0.45𝑥 • Case 2: A complete graph
• Or new objective function 𝑦 = 𝑓 𝑥 =
0.65 − 0.01𝑥 200𝑒 . − 0.45𝑥
• The problem is to maximize 𝑓(𝑥) over the set
𝑆 = {𝑥: 𝑥 > 0}

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Step 4: Solve the problem Step 4: Solve the problem

• The question: How do we know when we • Based on below graphs, we would estimate
have a complete graph ? that the maximum occurs at 𝑥 = 19.5, 𝑦 =
𝑓 𝑥 = 139.395
• There is no simple answer to this
question. It depends on problem at hand
and experiences of modeler.

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Step 4: Solve the problem Step 5: Answer the question

• From the graph, we see that the maximum • After taking into account the fact that the
occurs around 𝑥 = 20, 𝑦 = 𝑓 𝑥 = 140. To growth rate of the young pig is still increasing,
obtain more accurate solution, we can zoom in now we recommend waiting 19 or 20 days to
on the maximum point of the graph sell. This should result in a net profit of
approximately $140.

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Sensitivity analysis Sensitivity analysis

• Let examine the sensitivity of the optimum • First part: Computing the derivative
value to the growth rate 𝑐 = 0.025 for young
pig.
• We should not repeat the graphical method for
several different values of the parameter 𝑐.
• We need a more efficient method! • Second part: Solve the equation

Not easy to solve by hand

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Sensitivity analysis Newton’s method

• Let us begin by generalizing the model.

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Newton’s method Notes on step 5 (Solve the problem)

• Two stage of solving one-variable

optimization
• Stage 1: Apply a global method (graphing)
to locate an approximate solution
• Stage 2: Apply a fast local method
(Newton’s method) to determine the exact
solution to the desired accuracy.

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Sensitivity analysis Outline

• One-variable optimization

• Multivariable optimization

• Linear programming

• Discrete optimization

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Multivariable optimization Example: Fire station location

Map showing the number of emergency calls per
• Graphical techniques for global method are not year in each one square mile area of the city
available in case the number of variables is
larger than 3.
• Solving ∇𝑓 = 0 becomes more complicated as
the number of independent variables
increases.
• Constrained optimization is also more difficult
because the geometry of the feasible region
can be more complicated.

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Example: Fire station location Step 1: Ask a question

A suburban community intends to replace its old fire
station with a new facility. The old station was located • Represent city map as a grid, locations on the
at the historical city enter. City planners intend to city is described by coordinates (𝑥, 𝑦)
locate the new facility more scientifically. A statistical
analysis of response–time data yielded an estimate of • For simplicity, the map is divided into nine 2 ×
3.2 + 1.7𝑟 . minutes required to respond to a call r 2 −mile squares and assume that each
miles away from the station. Estimates of the emergency is located at the center of the
frequency of calls from different areas of the city were square.
obtained from the fire chief. Each block represents one • 𝑥, 𝑦 is the location of new fire station, so the
square mile, and the numbers inside each block average response time to a call is 𝑧 = 𝑓(𝑥, 𝑦)
represent the number of emergency calls per year for
that block. Find the best location for the new facility • 0 ≤ 𝑥 ≤ 6, 0 ≤ 𝑦 ≤ 6
such that average response time is minimized.
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Step 2: Select a modelling

Step 4: Solve the problem
approach
• We model this problem as a multiple variable 3-D graph of average response time
optimization problem.

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Step 3: Formulate the problem Step 4: Solve the problem

Contour plot of average response time

The problem is to minimize 𝑧 over the feasible regions

0 ≤ 𝑥 ≤ 6, 0 ≤ 𝑦 ≤ 6
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Step 4: Solve the problem Step 4: Solve the problem

• From 3-D graph of average response time, we
see that 𝑓 attains its minimum at the unique
interior point at which ∇𝑓 = 0
• The contour plot indicates that ∇𝑓 = 0 near the
point 𝑥 = 2, 𝑦 = 3.

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Step 4: Solve the problem Step 4: Solve the problem

• Result

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Outline Example: Planting problem

A family farm has 625 acres available for
• One-variable optimization planting. The crops the family is considering
are corn, wheat, and oats. It is anticipated that
• Multivariable optimization 1,000 acres-ft of water will be available for
irrigation, and the armers will be able to devote
300 hours of labor per week. Additional data
• Linear programming
are presented in the next slide. Find the
amount of each crop that should be planted for
• Discrete optimization maximum profit.

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Linear programming Example: Planting problem

• The simplest type of multivariable constrained
optimization where both the objective function
and the constraint functions are linear.
• Study of computational methods for such
problems is called linear programming.
• Huge number of software packages for linear
programming.

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Step 2: Select a modelling

Step 1: Ask a question
approach
• We model this problem as a linear
programming problem.

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Step 1: Ask a question Step 3: Formulate the problem

• Decision variables are the number of acres of
each crop 𝑥 , 𝑥
• Objective function: Maximize the total yield,
𝑦 = 400𝑥 + 200𝑥 + 250𝑥
• Constraint sets:

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Step 4: Solving the problem Sensitivity analysis

• Using software package, the optimal solution is We will begin our sensitivity analysis by considering the
𝑍 = 162500 at 𝑥 = 187.5, 𝑥 = 437.5, 𝑥 = 0. amount of water available for irrigation. This amount
will vary as a result of rainfall and temperature, which
determine the status of the farm’s irrigation pond. It
would also be possible to purchase additional irrigation
water from a nearby farm. The result illustrates the
effect of one additional acre–ft of irrigation water on our
optimal solution. Now we can plant an additional half–
acre of corn (a more profitable crop), and in fact we
save a little bit of labor (0.3 person–hours per week).
The net result is an additional $100 in yield.

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Step 5: Answer the question Outliner

• The optimal solution is to plant 187.5 acres of
corn, 437.5 acres of wheat, and no oats. This • One-variable optimization
should yield $162,500.
• The optimal crop mixture we found uses all 625 • Multivariable optimization
acres and all 1,000 acre–ft of irrigation water,
but only 237.5 of the available 300 person–
hours of labor per week. Thus, there will be • Linear programming
62.5 person–hours per week that may be
devoted to other profitable activities, or to • Discrete optimization
leisure.

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Discrete optimization Example: Planting problem

• In many real-world problems, we must deal
with variables that are discrete, like the
integers.
• As in the continuous case, there are still no
universally effective methods for solving
discrete optimization problems.
• This section, we concentrate on one type of
discrete optimization problem called integer
programming.

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Example: Planting problem Step 1: Ask a question

The family has 625 acres available for planting.
There are 5 plots of 120 acres each and another
plot of 25 acres. The family wants to plant each
plot with only one crop: corn, wheat, or oats. As
before, 1,000 acre–ft of water will be available for
irrigation, and the farmers will be able to devote
300 hours of labor per week. Additional data are
presented in the next slide. Find the crop that
should be planted in each plot for maximum profit.

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Step 1: Ask a question Step 3: Formulate the problem

• Decision variables are the number of 120-arce
plots and the number of 25-arce plots to plant
with corn, wheat, or oats (𝑥 , 𝑥 , 𝑥 , 𝑥 , 𝑥 , 𝑥 ).
• Objective function: Maximize 𝑦 = 48000𝑥 +
24000𝑥 + 30000𝑥 + 10000𝑥 + 5000𝑥 +
6250𝑥
• Constraint set:
• 𝑥 ,…,𝑥 ∈ 𝑍

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Step 2: Select a modelling

Step 3: Formulate the problem
approach
• We will model this problem as an integer • Constraint set:
programming problem. • 𝑥 ,…,𝑥 ∈ 𝑍

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Step 4: Solve the problem Sensitivity analysis

• Using a software package, the optimal solution • Sensitivity analysis can be very time-consuming
is 𝑦 = 156250 which occurs when 𝑥 = 5, 𝑥 = for integer programming problem due to integer
1 and other decision variable are all zero. programming take so much longer to solve than
linear programming.
• We consider the amount of irrigation water
available. If we add more 100 acre-feet of water.
This leads to another plan: planting one 120-acre
plot of corn, one 120-arc plot of wheat, and
planting oats everywhere else. The expected
revenue in this new plan is higher $12000 than
the old plan.

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Step 5: Answer the question

• The best plan is to plant oats in every plot. This
results in an expected total yield of $156250 for
the season.

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