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PROGRAMMING MODELS IN ENGINEERING AND

SCIENCE

by Enrique Castillo, Antonio J. Conejo, Pablo Pedregal,

Ricardo Garcia, and Natalia Alguacil

A BOOK REVIEW

BRADFORD D. ALLEN

Florida Institute of Technology

Melbourne, FL 32901 USA

E-mail: ballen@fit.edu

Castillo, Conejo, Pedregal, Garcia, and Alguacil's book introduces aspiring and practicing

mathematicians, engineers, and applied scientists to important aspects of constructing

mathematical programming models. The methods presented in this text lead to optimal

solutions of a wide variety of physical, economic, and engineering problems. The authors

also discuss conditions leading to well-defined problems.

Providing a deep theoretical analysis is not the approach used in this text. The authors

claim such an approach risks leaving the reader overly cautious about the mathematical

details, uninformed about the motivation behind mathematical procedures, and unclear about

where procedures lead. Instead, the authors use carefully selected illustrative examples to

introduce the reader to the field of mathematical programming. The authors believe their

examples help convey how ingenious and profound the methods of mathematical

programming actually are, and help make the book more attractive and readable.

Mathematical programming involves finding a set of variables that, subject to certain

constraints, maximize or minimize an objective function. If the objective function and

constraints are all linear, then methods of linear programming may be applied. For many

problems, the simplex method is the method of choice. This method was first developed by

Dantzig in 1947 and, over the years, has become increasingly popular. The simplex method

iteratively improves the objective function by moving from one feasible extreme point to

another along the convex boundary defined by the linear constraints. The authors also discuss

interior (or boundary) methods that visit points in the interior of the feasible region. These

methods are based on nonlinear programming techniques developed in the 1960's and

popularized with Karmarker's method in 1984.

Several classic models are presented in the text and used to introduce the reader to linear

programming. For example, a transportation problem is discussed where various warehouses

with certain supplies send a product to various destinations with certain demands. The

solution minimizes the total transportation cost. A production scheduling problem is also

discussed where a manufacturer produces a type of item with a demand that fluctuates with

time. The manufacturer must decide what production schedule will meet the demand and

minimize the sum of all costs including, for example, overtime costs during high production

times, idle cost during low production times, and storage costs. A diet problem is presented

Printed in the U.S.A. ©2002 by North Atlantic Science Publishing Company 389

390 BRADFORD D. ALLEN

that involves determining what amounts of different nutrients are needed to minimize the

costs of a diet while satisfying certain nutrient conditions. A network flow problem is also

presented where a transportation network (e.g. a pipeline, railroad, highway, communication

system, etc.) carries a homogeneous commodity from source nodes through intermediate

nodes to sink nodes in a way that minimizes the total cost.

In many situations, some variables in a linear programming model are restricted to the

integers, or restricted as 0-1 binary variables. These restrictions on variables make the

problems much more difficult to solve. However, mixed-integer linear programming

methods are often very effective tools to optimize mixed-integer programming models.

Approaches such as the branch-bound and Gomory-cuts methods, where a series of linear

programming solutions increasingly restricts the feasible region, are discussed.

Several interesting integer programming problems are presented. For example, the classic

0-1 knapsack problem is discussed. In this problem, a subset of items is selected from a set of

useful items. The items are selected so that the total utility of the subset is maximized but the

carrying capacity of the knapsack is not exceeded. The problem of identifying the relevant

symptoms of a given set of diseases is also discussed. The goal here is to identify a minimal

set of symptoms so that each of the diseases can be identified according to the symptom

levels. Another type of integer problem discussed in the text is a model of capacitated facility

locations. This type of problem deals with deciding where to locate facilities on a finite set of

sites while taking into account fixed and variable costs and the needs of clients. The problem

is solved by optimizing certain economic criteria.

Linear models are appropriate for a wide range of problems, but in many situations, linear

models are too restrictive. These situations require that the nonlinear aspects of the physical

and mathematical realities be considered. Instead of maximizing or minimizing a linear

objective function with linear constraints, nonlinear programming models have nonlinear

objective functions and/or one or more nonlinear constraints.

The authors discuss necessary optimality conditions for nonlinear programming models.

In this regard, the Karush-Kuhn-Tucker (KKT) conditions are the most important theoretical

results. The KKT conditions provide the fundamental ideas behind many computational

algorithms. In particular, the KKT conditions give rise to stopping criteria in searches for

locally constrained optima where the gradient is not necessarily equal to zero.

Constrained optimization algorithms include penalty methods where the original con-

strained problem is transformed into a sequence of unconstrained problems through the use of

penalty functions. The advantage of dealing with a sequence of unconstrained problems

rather than a single constrained problem is that each of the unconstrained problems can be

solved efficiently and reliably. The authors present an exterior-point penalty method where

the sequence of solutions contains only infeasible points, and an interior-point penalty

method where the sequence of solutions contains only feasible points.

Duality plays a crucial role in linear programming theory. The authors generalize duality

principles to convex nonlinear programming problems. Moreover, the authors discuss

computational methods to approximate a primal solution by optimizing the appropriate dual

problem which, in these cases, is a Lagrangian problem. The advantage of working with the

dual is that in the majority of instances, the problem reduces to finding the maximum of a

concave function over a simple convex set with no local maximum other than the global

maximum.

A practical illustration of duality in a separable problem is presented where different

producers compete in a marketplace to produce and sell a given commodity. The producers,

however, have different cost functions and production constraints. Moreover, demand in

every time period to a fixed horizon must be satisfied, and no storage capacity is available.

Both primal and dual approaches to solving this problem are presented. A centralized or

primal approach has a system operator who, using knowledge of production costs and

constraints for every producer, provides the optimal level of production for all producers. On

the other hand, the dual approach to this problem uses the property that the objective function

Book Review 391

is separable; that is, solving the dual problem requires solving each producer's own individual

profit-maximization problem.

The authors allocation an entire chapter to the General Algebraic Modeling System which

provides a computer platform to define, analyze and solve optimization problems. The

authors chose this package over several others for no other reason than “the authors happen to

be familiar with it." The package is free and available at www.gams.com. As with the

modeling techniques presented in the text, the authors introduce the computer package with

plenty of relevant examples.

While many important areas of mathematical programming are not covered in the text, the

topics that are covered allow the reader to solve a wide variety of interesting and frequently

encountered problems. The power of the methods for solving practical problems quickly

becomes evident with the unique presentation of modeling techniques and the effective use of

real-life examples. The text is very well suited as a professional reference or as a text for

advanced mathematics or engineering courses.

by Enrique Castillo, Antonio J. Conejo, Pablo Pedregal, Ricardo Garcia, and Natalia

Alguacil

Publisher John Wiley & Sons

Publication Year 2002

ISBN 0-471-150436

Price: $94.95

Advances in Advances in Journal of Journal of

Operations Research

Hindawi Publishing Corporation

Decision Sciences

Hindawi Publishing Corporation

Applied Mathematics

Hindawi Publishing Corporation

Algebra

Hindawi Publishing Corporation

Probability and Statistics

Hindawi Publishing Corporation

http://www.hindawi.com Volume 2014 http://www.hindawi.com Volume 2014 http://www.hindawi.com Volume 2014 http://www.hindawi.com Volume 2014 http://www.hindawi.com Volume 2014

World Journal

Hindawi Publishing Corporation

Differential Equations

Hindawi Publishing Corporation

http://www.hindawi.com Volume 2014 http://www.hindawi.com Volume 2014

http://www.hindawi.com

Combinatorics

Hindawi Publishing Corporation

Mathematical Physics

Hindawi Publishing Corporation

http://www.hindawi.com Volume 2014 http://www.hindawi.com Volume 2014

Complex Analysis

Hindawi Publishing Corporation

Mathematics

Hindawi Publishing Corporation

in Engineering

Hindawi Publishing Corporation

Applied Analysis

Hindawi Publishing Corporation

Nature and Society

Hindawi Publishing Corporation

http://www.hindawi.com Volume 2014 http://www.hindawi.com Volume 2014 http://www.hindawi.com Volume 2014 http://www.hindawi.com Volume 2014 http://www.hindawi.com Volume 2014

International

Journal of Journal of

Mathematics and

Mathematical

Discrete Mathematics

Sciences

Function Spaces

Hindawi Publishing Corporation

Stochastic Analysis

Hindawi Publishing Corporation

Optimization

Hindawi Publishing Corporation

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