Mathematical Modeling (STAT 420/620) Fall 2014

Lecture 3 – September 3, 2014

Multi-Variable Optimization

Lecture Plan

1. Review of the five-step method

2. Unconstrained Multivariable Optimization

a. Problem

b. Five-step method

c. Graphical analysis

d. Sensitivity analysis

3. Illustration of Using Maple for Solving Optimization Problems

Reading: Sect. 2.1

Home Work: Sect. 2.4, Ex. 1 (due on Wednesday, Sep. 10) – see p. 11 of the notes

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 1. The Five-Step Method (Review)

• The five-step method of solving applied problems using mathematical modeling:

Step 1: Ask the question

Step 2: Select the modeling approach

Step 3: Formulate the model

Step 4: Solve the model

Step 5: Answer the question

 
 
 
 
 
1. Unconstrained Multivariable Optimization  

We discuss multivariable optimization using the following example with two variables:
 

 
   

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 Step 1: Ask the question

First, we ask an unambiguous question

Question: How many units of each type of set should be manufactured in order to
maximize the net profit?

Next, we write all variables and assumptions of the problem:

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 Step 2: Select the modeling approach

Step 3: Formulate the model

The mathematical model in this case is a function that related the net profit P to the two
control variables: the numbers of items of each time sold per year (s and t):

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 Step 4: Solve the model

Although it is not difficult to solve our model analytically, we will first approach it
graphically. The plot below shows the function f(x1,x2), that is the profit surface as a
function of the number of units sold.

We observe that
• The surface looks “parabolic”, and it seems it has a single maximum
• It is rather hard to guess the maximum point location from this 3D graph

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This is why we produce an alternative plot of this function, using contour lines (the lines
at the same level of the function). We observe that
• The function is a paraboloid, slightly rotated with respect to the axes
• The function has a single well-defined maximum
• The maximum is located at about (x1,x2) = (4700,7000)

The graphical analysis is a very good step for developing intuition about the problem, as
well as obtaining an approximate solution, which we can use later to verify the analytical
solution.

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Now we are ready for a formal analysis. We need to solve the system

The solution is given by

The value of the function at this point is

Step 5: Answer the question

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2. Sensitivity Analysis for Unconstrained Multivariable Optimization

The sensitivity analysis is done similarly to the one-variable case. Here we analyze
sensitivity to the assumption that the average selling price for 19-inch sets drops by one
cent for each unit sold. Denote by a the price drop of interest and write

Then

Solving for x1 and x2 gives

Both the resulting functions are hyperbolic (as quotients of linear functions). Consider the
function x1(a):

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A closer look reveals more precise location of the vertical asymptote:

Finally, the plot that shows the range of a relevant to our problem looks like this:

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A similar analysis for x2(a) gives:

Visual inspection of these plots around the point a = 0.01 (used in the original problem)
indicates that sensitivity of x1 to a is somewhat stronger than sensitivity of x2 to a. This is
confirmed by formal analysis:

And similarly,

In words:

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Home Work (2.4.1)

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