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2 Nonlinear Programming Models

Nonlinear programming models aim to optimize an objective function subject to constraints. The document discusses convex sets and programs, first-order optimality conditions, and examples of nonlinear programming problems from areas like portfolio optimization, mechanical design, and electrical networks. Key points are that convex programs guarantee global optimality, nonconvex programs may have multiple local optima, and commercial solvers cannot ensure global optimality for nonconvex problems.

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Sumit Saurav
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83 views27 pages

2 Nonlinear Programming Models

Nonlinear programming models aim to optimize an objective function subject to constraints. The document discusses convex sets and programs, first-order optimality conditions, and examples of nonlinear programming problems from areas like portfolio optimization, mechanical design, and electrical networks. Key points are that convex programs guarantee global optimality, nonconvex programs may have multiple local optima, and commercial solvers cannot ensure global optimality for nonconvex problems.

Uploaded by

Sumit Saurav
Copyright
© Attribution Non-Commercial (BY-NC)
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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2 Nonlinear Programming Models

Topics Convex sets and convex programming First-order optimality conditions Examples Problem classes

General NLP
Minimize f(x) s.t. gi(x) (, , =) bi, i = 1,,m x = (x1,,xn)T is the n-dimensional vector of decision variables f (x) is the objective function gi(x) are the constraint functions bi are fixed known constants

Convex Sets
Definition: A set S n is convex if every point on the line segment connecting any two points x1, x2 S is also in S. Mathematically, this is equivalent to x0 = x1 + (1)x2 S for all such 0 1. x1

x1

x2

x1

x2 x2

(Nonconvex) Feasible Region

S = {(x1, x2) : (0.5x1 0.6)x2 1 2(x1)2 + 3(x2)2 27; x1, x2 0}

x2

x1

Convex Sets and Optimization


Let S = { x n : gi(x) bi, i = 1,,m } Fact: If gi(x) is a convex function for each i = 1,,m then S is a convex set. Convex Programming Theorem: Let x n and let f (x) be a convex function defined over a convex constraint set S. If a finite solution exists to the problem Minimize { f (x) : x S } then all local optima are global optima. If f (x) is strictly convex, the optimum is unique.

Convex Programming
Min f (x1,,xn) s.t. gi(x1,,xn) bi i = 1,,m x1 0,,xn 0 is a convex program if f is convex and each gi is convex. Max f (x1,,xn) s.t. gi(x1,,xn) bi i = 1,,m x1 0,,xn 0 is a convex program if f is concave and each gi is convex.

Linearly Constrained Convex Function with Unique Global Maximum


Maximize f (x) = (x1 2)2 + (x2 2)2 subject to 3x1 2x2 6 x1 + x2 3 x1 + x2 7 2x1 3x2 4
x2

5 4 3 2 1

x1

(Nonconvex) Optimization Problem

First-Order Optimality Conditions


Minimize { f (x) : gi(x) bi, i = 1,,m } Lagrangian:L(x,) = f (x) + i (gi (x) bi )
m i=1

Optimality conditions Stationarity: L(x,) = f (x) + igi (x) = 0 Complementarity: igi(x) = 0, i = 1,,m Feasibility: gi(x) bi, i = 1,,m Nonnegativity: i 0, i = 1,,m
i=1 m

Importance of Convex Programs


Commercial optimization software cannot guarantee that a solution is globally optimal to a nonconvex program. NLP algorithms try to find a point where the gradient of the Lagrangian function is zero a stationary point and complementary slackness holds. Given we want L(x,) = f(x) + (g(x) b) L(x,) = f(x) + g(x) = 0 (g(x) b) = 0 g(x) b 0, 0
For a convex program, all local solutions are global optima.

Example: Cylinder Design


We want to build a cylinder (with a top and a bottom) of maximum volume such that its surface area is no more than s units. Max V(r,h) = r2h s.t. 2r2 + 2rh = s r 0, h 0
There are a number of ways to approach this problem. One way is to solve the surface area constraint for h and substitute the result into the objective function.
r

Solution by Substitution
s 2r 2 h= 2r s 2r 2 rs Volume = V = r2 [ r 3 ] = 2 2r

s 1/2 s 1/2 dV s = 0 r=( ) h = 2r r = 2( ) dr 6 6 V = r 2h s 3/2 = 2 ( 6) s 1/2 r = ( ) 6 s 1/2 ) h = 2( 6

Is this a global optimal solution?

Test for Convexity


rs r 3 V(r ) = 2 s dV(r) 3r 2 = 2 dr d2V(r ) dr 2 = 6r

d2V 0 for all r 0 dr 2 Thus V(r ) is concave on r 0 so the solution is a global maximum.

Advertising (with Diminishing Returns)


A company wants to advertise in two regions. The marketing department says that if $x1 is spent in region 1, sales volume will be 6(x1)1/2. If $x2 is spent in region 2, sales volume will be 4(x2)1/2. The advertising budget is $100.

Model: Max f (x) = 6(x1)1/2 + 4(x2)1/2 s.t.


x1 + x2 100, x1 0, x2 0

Solution: x1* = 69.2, x2* = 30.8, f (x*) = 72.1 Is this a global optimum?

Excel Add-in Solution


A B C D 1 Nonlinear Model 2 72.111 Change 3 2 4 TRUE Solve 5 TRUE 100 Variables 6 Change Relation Name: 7 Values: 8 Lower Bounds: 9 10 11 Linear Obj. Coef.: 12 Nonlinear Obj. Terms: 13 Nonlinear Obj. Coef.: 14 Constraints 15 Num. Name Value Rel. RHS 16 1 Con1 100 <= 100 17 2 Con2 0 <= 10000 18 19 E F G H I J K L Name: Adv100 Objective Terms Solver: Excel Solver Type: NLP1 Linear: 0 Type: Nonlinear Goal: Max NonLinear 1: 72.111 Sens.: Yes 0 Objective: 72.111NonLinear 2: 1 2 X1 X2 69.231 30.769 0 0 M N O

Comp. Time 00:00 Status Optimal

0 8.3205 6

0 5.547 4

Linear Constraint Coefficients 1 1 0 0

Portfolio Selection with Risky Assets (Markowitz)


Suppose that we may invest in (up to) n stocks. Investors worry about (1) expected gain (2) risk. Let rj = random variable associated with return on stock j

j = expected return on stock j jj = variance of return for stock j


We are also concerned with the covariance terms:

ij = cov(ri, rj)
If ij > 0 then returns on i and j are positively correlated. If ij < 0 returns are negatively correlated.

Decision Variables: xj = # of shares of stock j purchased


Expected return of the portfolio: R(x) = jxj
j =1 n

Variance (measure of risk): V(x) =


11 12 1 1 = 21 22 1 1

i =1 j =1

ijxixj

11 12 1 1 = If , then buying stock 2 is just like 21 22 1 1

buying additional shares of stock 1.

Nonlinear optimization models


Let pj = price of stock j b = our total budget

= risk-aversion factor (when = 0 risk is not a factor)


Consider 3 different models: 1) Max f (x) = R(x) V(x) s.t.
j =1 n

pj xj b, xj 0, j = 1,,n

where 0 is determined by the decision maker

2) Max f (x) = R(x) s.t. V(x) , pjxj b, xj 0, j = 1,,n


j =1 n

where 0 is determined by the investor. Smaller values of represent greater risk aversion. 3) Min f (x) = V(x) s.t. R(x) , pj xj b, xj 0, j = 1,,n
j =1 n

where 0 is the desired rate of return (minimum expectation) is selected by the investor.

Hanging Chain with Rigid Links


10ft

1 ft

x
y

each link

What is equilibrium shape of chain? Decision variables: Let (xj, yj), j = 1,,n, be the incremental horizontal and vertical displacement of each link, where n 10. Constraints: xj2 + yj2 = 1, j = 1,,n, each link has length 1 x1 + x2 + y1 + y2 +

+ xn = 10, net horizontal displacement + yn = 0, net vertical displacement

Objective: Minimize chains potential energy Assuming that the center of the mass of each link is at the center of the link. This is equivalent to minimizing
1 y + (y + 1 y ) + (y + y + 1 y ) + 1 1 1 2 2 3 2 2 2

+ (y1 + y2 +

1 + yn-1 + 2 yn)

1 1 = (n 1 + 2 ]y1 + (n 2 + 2 )y2 1 + (n 3 + 2 )y3 +

3 1 + 2 yn-1 + 2 yn

Summary
Min (n j + )yj
j =1 n

s.t. xj2 + yj2 = 1, j = 1,,n x1 + x2 + y1 + y2 +


+ xn = 10 + yn = 0

Is a local optimum guaranteed to be a global optimum?

No!
Constraints xj2 + yj2 = 1 for all j yield a nonconvex feasible region so there may be several local optima. Consider a chain with 4 links:

These solutions are both local minima.

Direct Current Network


10 20

I2

I4
I3

100v

I1
I6

10
I7

I5

20

Problem: Determine the current flows I1, I2,,I7 so that the total content is minimized Content: G(I) =

v(i)di for I 0 and G(I) = I v(i)di for I < 0

Solution Approach
Electrical Engineering: Use Kirchoffs laws to find currents when power source is given. Operations Research: Optimize performance measure in network taking flow balance into account. Linear resistor: Voltage, v(I ) = IR Content function, G(I ) = I 2R/2 Battery: Voltage, v(I ) = E Content function, G(I ) = EI

Network Flow Model


Network diagram:
2
5 I2
2

10 I 4

-100 I1

5 I3

10 I5

0 I6

0 I7

Minimize Z = 100I1 + 5I2 + 5I3 + 10I4 + 10I5 subject to I1 I2 = 0, I2 I3 I4 = 0, I5 I6 = 0, I5 + I7 = 0, I3 + I6 I7 = 0, I1 I6 = 0 Solution: I1 = I2 = 50/9, I3 = 40/9, I4 = I5 = 10/9, I6 = 50/9, I7 = 10/9

NLP Problem Classes


Constrained vs. unconstrained Convex programming problem Quadratic programming problem
f (x) = a + cTx + xTQx, Q 0

Separable programming problem


f (x) = j=1,n fj(xj)

Geometric programming problem


g(x) = t=1,T ctPt(x), Pt(x) = (x1 t1) . . . (xn tn), xj >0
a a

Equality constrained problems

What You Should Know About Nonlinear Programming


How to identify a convex program. How to write out the first-order optimality conditions. The difference between a local and global solution. How to classify problems.

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