Scribd
Upload
223 views

Optimization Using Matlab

This document provides an overview of optimization techniques that can be used in Matlab. It discusses linear programming, nonlinear programming, constrained and unconstrained optimization, quadratic programming, binary integer programming, and mixed integer programming. Examples are provided for each technique to demonstrate how to formulate the optimization problem and solve it using the relevant Matlab function. References for further reading on solving optimization problems in Matlab are also included.

Uploaded by

Daaft Prick
Copyright
© © All Rights Reserved
Available Formats
Download as PPTX, PDF, TXT or read online on Scribd
223 views

Optimization Using Matlab

This document provides an overview of optimization techniques that can be used in Matlab. It discusses linear programming, nonlinear programming, constrained and unconstrained optimization, quadratic programming, binary integer programming, and mixed integer programming. Examples are provided for each technique to demonstrate how to formulate the optimization problem and solve it using the relevant Matlab function. References for further reading on solving optimization problems in Matlab are also included.

Uploaded by

Daaft Prick
Copyright
© © All Rights Reserved
Available Formats
Download as PPTX, PDF, TXT or read online on Scribd
You are on page 1/ 23

Optimization Using Matlab

Mamata Jenamani
Associate Professor
Department of Industrial engineering and Management
IIT Kharagpur
General Structure of a Mathematical
Programming (Optimization) Problem

•Based on the description of the function f and the feasible


set M, the problem can be classified as linear, quadratic,
non-linear, non-linear, multiple-objective, discrete
optimization problem etc.
Linear Programming Problem

•If the objective function f and the defining functions of


M are linear, then the problem will be a linear
optimization problem.
•Example: Transportation problems, network flow
problems
A linear programming problem
Wyndor Glass Co. Product Mix Problem

Wyndor Glass Co. Product Mix Problem


• Wyndor has developed the following new products:
– An 8-foot glass door with aluminum framing.
– A 4-foot by 6-foot double-hung, wood-framed window.
• The company has three plants
– Plant 1 produces aluminum frames and hardware.
– Plant 2 produces wood frames.
– Plant 3 produces glass and assembles the windows and doors.
• The Problem
1. Should they go ahead with launching these two new products?
2. If so, what should be the product mix?
A linear programming problem
• Identification of the relevant data
Wyndor Glass Co. Product Mix Problem

– No. of hours available in each plant


– Production time (in hours) required for each batch
in each plant
– Profit per batch

Doors Windows
Unit Profit $300 $500
Hours
Hours Used Per Unit Produced Available
Plant 1 1 0 4
Plant 2 0 2 12
Plant 3 3 2 18
A linear programming problem
Formulate the problem

Let D = the number of doors to produce


W = the number of windows to produceDecision Variables

Maximize P = $300D + $500W


Objective
subject to
D≤4
2W ≤ 12 Constraints
3D + 2W ≤ 18
and
D ≥ 0, W ≥ 0.
The feasible region
Production rate for windows
W
10

3 D + 2 W = 18
8

D=4

6 2 W =12

Feasible

region
2

0 2 4 6 8 D
Production rate for doors
Finding the Optimal Solution
Production rate W
for windows
8

P = 3600 = 300D + 500W


Optimal solution

P = 3000 = 300D + 500W 6 (2, 6)

Feasible
4
region
P = 1500 = 300D + 500W

0 2 4 6 8 10 D
Production rate for doors
Linear Programming in Matlab
Input Arguments

Output Arguments

Algorithms
A simplex algorithm, Active-set algorithm (Medium scale problems, dense matrix
structure)
For
• Primal-dual interior details
point see:
method docscale
(Large linprog
problems, sparse matrix structure)
Linear Programming in Matlab
Setting Options
>>optimset(’linprog’) %To see the options for linprog
% General format to set the options
>>options=optimset(’ParameterName1’,value1,’ParameterName2’,val
ue2,..)
% Example
>>options=optimset(’LargeScale’,’off’,’Simplex’,’off’)

Find the default options for options for linprog


Linear Programming in Matlab
Run the solved problem

Find X that minimizes


f(x) = –5x1 – 4x2 –6x3,
subject to
x1 – x2 + x3 ≤ 20 Write a program
3x1 + 2x2 + 4x3 ≤ 42 yourself and solve
3x1 + 2x2 ≤ 30
0 ≤ x1, 0 ≤ x2, 0 ≤ x3
Non-linear Programming Problem

Application of such problems arise frequently in the


numerical solution of control problems, non-linear
approximation, engineering design, finance and economics,
signal processing, etc.
Unconstrained Optimization in Matlab

•fminunc.m - when the function f, to be minimized, has at


least a continuous gradient vector. The fminunc.m uses
descent direction methods which are known as quasi-
Newton methods alongwith line search strategies based
on quadratic or cubic interpolations.
[x,fval,exitflag,output,grad,hessian]=fminunc(fun,x0,optio
ns)

•fminsearch.m - when the function f has no derivative


information, or has discontinuities or if f is highly non-
linear
[x,fval,exitflag,output]=fminsearch(fun,x0,options)
Unconstrained Optimization in Matlab
Minimize the function f (x) = 3x12 + 2x1x2 + x22

Create a file containing the function


function f = myfunUNC(x)
f = 3*x(1)^2 + 2*x(1)*x(2) + x(2)^2; % Cost function

Then call fminunc/fminsearch to find a minimum near an


initial point:
x0 = [1,1];
[x,fval] = fminunc(@myfunUNC,x0);
Unconstrained Optimization in Matlab
Solve the following problems:
Constrained Optimization in Matlab
•fmincon.m :fmincon attempts to find a constrained
minimum of a scalar function of several variables starting
at an initial estimate.
•[x,fval,exitflag,output,lambda,grad,hessian]=
fmincon(fun,x0,A,b,Aeq,beq,lb,ub,nonlcon,options)
min f ( x )   x1  3   x2  3
2 2
function
s.t .g1  2 x1  x22  1  0 y=examp_FUN_fmincon(
g 2  9  0.8 x12  2 x2  0 x)
y=(x(1)-3)^2+(x(2)-3)^2;
function [c,ceq]=examp_NONLCON_fmincon(x)
ceq=[];
c(1)=-2*x(1)+x(2)^2+1;
c(2)=0.8*x(1)^2+2*x(2)-9;
Constrained Optimization in
Matlab
Find values of x that minimize f(x) = –x1x2x3,
starting at the point x = [10;10;10], subject to the
constraints:
0 ≤ x1 + 2x2 + 2x3 ≤ 72
Binary Integer Programming in Matlab
bintprog uses a linear programming (LP)-based branch-
and-bound algorithm to solve binary integer programming
problems.
[x,fval,exitflag,output]
Minimize the function =f(x) = –9x1 – 5x2 – 6x3 – 4x4
bintprog(f,A,b,Aeq,Beq,x0,options)
subject to the constraints

where x1, x2, x3, and x4 are binary integers,


f = [-9; -5; -6; -4]; A = [6 3 5 2; 0 0 1 1; -1 0 1 0; 0 -1 0 1]; b = [9; 1;
0; 0];
x = bintprog(f,A,b)
Binary Integer Programming in Matlab
Four projects are available Project Investment Revenue
1 3 5
for investment by certain
2 5 8
company. Total amount 3 2 3
available for investment is 15 4 6 7
crores of rupees. The 5 2 5
investments required by the 6 6 8
projects and the revenues 7 2 5
8 4 6
generated from the projects
9 3 8
(in crores of rupees) are 10 5 10
shown below. Which of
these projects the company
must select?
Quadratic Programming

Matlab Function

Algorithms Used
1. Active-set strategy (Medium-Scale),
2. Interior reflective Newton method coupled with a trust region
method (Large scale problem)

Example: Least squares approximation problem


Matlab

General Formulation Specific Example


(Run solved problem)

Write a program yourself to solve the following problem


Mixed integer programming in Matlab
x=
ga(fitnessfcn,nvars,A,b,Aeq,Beq,LB,UB,nonlcon,IntCon,option
s) Winder glass product mix problem with integer constraints
A=[1 0;0 2; 3 2];
b=[4;10;19];
objfun=@(x)(-3*x(1)-5*x(2));
x = ga(objfun,2,A,b,[],[],[0;0],[inf;inf],[],[1
2])
References
Abebe Geletu. Solving Optimization Problems using
the Matlab Optimization Toolbox - a Tutorial. TU-
Ilmenau, Fakultt fr Mathematik und
Naturwissenschaften, 2007.

You might also like