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Specify the categories of the following. Functions as (strictly convex, convex, concave and strictly

concave)

NLP

4

Introduction

A nonlinear programing is similar to a linear programing in that it is composed of an

objective function, general constraints, and variable bounds. The difference is that a

nonlinear program includes at least one nonlinear function, which could be the

objective function, or some or all of the constraints.

Solving non-linear programming models are generally much complicated than

linear programming models based on the types of non-linear models. For example:

The objective is linear but constraints are non-linear

Non-linear objectives and linear constraints

Non-linear objectives and constraints

NLP

(NLP)

Lagrangian multiplier

and the gi, are constraint functions.

The ai, and bi are specified lower and upper bounds on the constraint functions

with ai ≤ bi and lj, uj are lower and upper bounds on the variables with lj ≤ uj

If the upper and lower limits on gi correspond to ai = −∞ and bi = +∞, the

constraint is unbounded

lj = −∞ and uj = +∞ free variable.

Nonlinear.

NLP

6

Methods of Solving NLP

Direct Substitution Non Linear Programming

(NLP)

Quadratic programming Lagrangian multiplier

NLP

7

Lagrangian Multiplier Method

Example: Consider the following constrained optimization

problem

(NLP)

Lagrangian multiplier

tangent plane of the constraint at x∗. In general ∇h(x∗) is always

orthogonal to this tangent plane, hence ∇f (x∗) and ∇h(x∗) are

collinear, that is, they lie on the same line but point in opposite

directions. This means the two vectors must be multiples of each

other.

NLP

We now introduce a new function L(x, λ) called the Lagrangian function:

Then (NLP)

Lagrangian multiplex

at (x∗, λ), is zero, plus the feasibility condition constitute the first-

order necessary conditions for optimality. The scalar λ is called a

Lagrange multiplier.

NLP

Using the necessary conditions to find the optimum of the above example

Setting the first partial derivatives of L with respect to x and λ to zero, we get (NLP)

Lagrangian multiplier

NLP

10 Exercise

(NLP)

Lagrangian multiplier

Answer

11

Maximize 𝒇 𝒙, 𝒚 = 𝒙𝒚

Subjected to 𝒉 𝒙, 𝒚 = 𝒙 + 𝒚 − 𝟏𝟐

Non Linear Programming

(NLP)

Lagrangian multiplier

12

Thanks!

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