OPTIMIZATION

1. LINEAR PROGRAMMING EXAMPLE

Production planning: Two products A and B, require production time in two

department.

Product A Product B

Required time in 1h 1h
department A

Required time in 1.25 h 0.75 h

department B

Available time in each department are 200 h. Maximum market potential for
product B is 150 units. Profit per unit is 4$ for product A and $5 for product B.

Aim: total profitmax.

Mathematical formulation:

F1 ( x) 4 x1 5 x2

g1 : x1 x2 200

g2 : 1.25 * x1 0.75 x2 200

x1 0 , x2 0 , x2 150

MATLAB solution using function linprog

f=[-4 -5]
lb=[0 0]
ub=[Inf 150]
A=[1 1; 1.25 0.75]
b=[200;200]
[x,f,flag,output]=linprog(f,A,b,[],[],lb,ub)
% options = optimset('LargeScale', 'off', 'Simplex', 'on')
 2. QUADRATIC PROGRAMMING EXAMPLE

Solve the following problem:

1 T
f ( x) x Hx xT p min
2
Ax b

Data:

H1 H2 H3 H4 p1
H H1 H2 H 3 p
H 2 p 2 , A H H H1 H 4 , b 1 14 3 4T
Here H3 H2 H1 H2 p3 3 2

H 4 H3 H2 H1 4
p

10 8 7 6 3 2 1 0 2 1 0 0
8 10 8 7
H 2 3 2 1 1 0
H1
2 1
H3
and 7 8 10 8 , 2
1 2 3 2 , 0 1 2 1 , H 4 I ,

6 7 8 10 0 1 2 3 0 0 1 2

1 0 2 0
1 0 2 0
p1 , p2 , p3 , p4 .
2 0 4 0


2
0
4 0

Solution:

a) using MATLAB function quadprog

[x,f]=quadprog(H,p,A,b,Aeq,beq,lb,ub,x0,options)
1
x H AT p

b) using given formula
A 0 b
 3. NONLINEAR UNCONSTRAINED PROGRAMMING EXAMPLE

Find maximum on the bottom of the bottle:

f ( x) (C 1) / 8 max ,
1 2
C ( A B 2 3) sin( A2 B 2 2) ,
2
A 6 x1 3 , B 6 x2 3
0 x1 1 , 0 x2 1

MATLAB solution using fminunc or fminsearch

x10=linspace(0,1,50);
x20=linspace(0,1,50);
[x1,x2]=meshgrid(x10,x20);
A=6*x1-3; B=6*x2-3;
C=(A.^2+B.^2+3)./2+sin(A.^2+B.^2+2);
bottle=(C+1)/8;
colormap([1 1 1])
surf(x1,x2,bottle);
zlabel('f')
xlabel('x1')
ylabel('x2')
view(-10,45)
text(0.1,0.9,1.8,'Bottle bottom')
obj=inline('-(((6*x(1)-3)^2+(6*x(2)-3)^2+3)/2+sin((6*x(1)-3)^2+(6*x(2)-
3)^2+2)+1)/8','x')
x0=[0.2 0.8]
[xx,ff]=fminsearch(obj,x0)

a) try solution with initial points: x0=[0.2 0.9] and x0=[0.3 0.6] and make
conclusions.
b) try solution using function fminunc (syntax is the same, but fminsearch
uses derivative free method).
c) use objective function given in file instead of inline function
4. NONLINEAR CONSTRAINED PROGRAMMING EXAMPLE

Problem formulation:

f ( x) x13 x23 2x1x32 min

h( x) 2 x1 x 22 x3 5

g ( x) 5 x12 x 22 x3 2
x1 0 , x2 0 , x3 0 .

Find solution(s) to posed optimization problem using function fmincon

[x,fn,code]=fmincon(@obj_fn,x0,A,b,Aeq,beq,lb,ub,@constraint_fn)

5. LAGRANGE MULTIPLIERS METHOD

Problem formulation:

f ( x) x12 x2 min

h( x) x 12 x 22 3 0
Solution:
a) Compose the Lagrange function
L x12 x2 ( x 12 x 22 3)
b) Derive optimality conditions

L L L
2 x1 x2 2x1 0 , x12 2x2 0 , x 12 x 22 3 0
x1 x2

c) Solve the optimality conditions using MATLAB function fsolve

x0 = [0.5;-0.5]
options=optimset('Display','iter');
[x,fval] = fsolve(@objective,x0,options)
Try different initial points
6. GLOBAL OPTIMIZATION
Problem_1:

x2 y2
f cos(x) cos(y) max
200 200

2 x1 10 , 2 x2 10

a) compose graph of the function

b) solve the posed problem using genetic algorithm (MATLAB function ga)
[x,fval,exitflag] = ga(@fitness_fn,N,A,b,Aeq,beq,lb,ub,@nonlcon,options)

Problem_2: solve the optimization problems formulated in sections 3 and 5

using global optimization technique.

7. MULTICRITERIAL OPTIMIZATION
Problem formulation:

F(x) = [F1(x), F2(x),...,Fr(x)]

F ( x) min ,

Field Code Changed

xi* xi xi* , i 1,..., n , limits on variable

g j ( x) 0 , j 1,...,m . inequality constraints

Field Code Changed

hk ( x) 0 k 1,...,l equality constraints

Pareto optimality: Pareto efficient situations are those in which any change to make any
person better off is impossible without making someone else worse off.

Vilfredo Pareto, an Italian economist who used the concept in his studies of economic efficiency
and income distribution

Red line Pareto frontier.

How to obtain pareto front: NSGA,NSGA2, etc

Typical pareto frontier:

Example: motor on platform, vibrating platform (Magrab, et. al).

Goals:

a) Maximize of the fundamental frequency of the beam (platfor type beam) - F1

b) Minimize the cost of the material comprising the beam F2

F1 ( x) ( ) EI / min
2 L2

F2 ( x) 2b(c1d1 c2 (d 2 d1 ) c3 (d 3 d 2 )) min,

Variables: d1 , d2 , d3 , b , L

Notation used:

EI (2b / 3)( E1d13 E2 (d 23 d13 ) E3 (d 33 d 23 )),

2b( 1d1 2 (d 2 d1 ) 3 (d 3 d 2 )).

Constraints:

g1 : L 2800 0 beam mass

g2 : d 2 d1 0.15 layer thickness

g3 : d 3 d 2 0.01 layer thickness

Limits on variables:

0.05 d1 0.5 , 0.2 d 2 0.5 , 0.2 d 3 0.6 , 0.35 b 0.5 , 3 L 6

Given constants:

i i Ei ci

1 100 1.6*109 500

2 2770 70*109 1500

3 7780 200*109 800

Main program: (we are using function fminimax, because gamultiobj does not
support nonlinear constraints).

% Multiobjective optimization

% Vibrating platform

x0=[0.3 0.3 0.4 5 3]

lb=[0.05 0.2 0.2 0.35 3]

ub=[0.5 0.5 0.6 0.5 6]

E=[1.6 70 200]*10^9

Rho=[100 2770 7780]

c=[500 1500 800]

fmin=[500 100]

A=[-1 1 0 0 0; 0 -1 1 0 0]

b=[0.15;0.01]

for k=1:5

fmax=[100+k*10 500-k*50];

[xopt, fopt]=fminimax(@vib_platform,x0,A,b,[],[],
 lb,ub,@vib_constr,[],E,Rho,c,fmin,fmax);

for m=1:2

ff(m)=fopt(m)*(fmax(m)-fmin(m))+fmin(m);

end

f1(k)=ff(1);

f2(k)=ff(2);

end

[f2sort,ind2]=sort(f2)

f1sort=f1(ind2)

plot(-f1sort,f2sort,'ko-')

xlabel('Negatiivne sagedus(Hz)')

ylabel('Hind')

Function vib_platform:
function f=vib_platform(x,E,Rho,c,fmin,fmax)

[EI,mu]=beam_prop(x,E,Rho);

f1=pi/(2*x(5)^2)*sqrt(EI/mu);

f(1)=(f1-fmin(1))/(fmax(1)-fmin(1));

f2=2*x(4)*(c(1)*x(1)+c(2)*(x(2)-x(1))+c(3)*(x(3)-x(2)));

f(2)=(f2-fmin(2))/(fmax(2)-fmin(2));

end

Function beam_prop:
function [EI,mu]=beam_prop(x,E,Rho)

EI=(2*x(4)/3)*(E(1)*x(1)^3+E(2)*(x(2)^3-x(1)^3)+E(3)*(x(3)^3-x(2)^3));
mu=2*x(4)*(Rho(1)*x(1)+Rho(2)*(x(2)-x(1))+Rho(3)*(x(3)-x(2)));

end

Function vib_constr:
function [c,ceq]=vib_constr(x,E,Rho,c,fmin,fmax)

[EI,mu]=beam_prop(x,E,Rho);

c=mu*x(5)-2800;

ceq=[];

end