NON-LINEAR PROGRAMMING

Prepared: Gilbert M. Calosa, CIE, AAE

 In the previous lessons, we have considered only
mathematical programming models in which the
objective function and constraints are linear functions of
the decision variables. In many decision problems, the
use of such linear functions is appropriate. Other types of
optimization problems involve objective functions and
constraints that cannot be modeled adequately using
linear functions of the decision variables. These types of
problems are called nonlinear programming (NLP)
problems.

 The main difference between an LP and an NLP problem

is that NLPs can have a nonlinear objective function
and/or one or more nonlinear constraints.
 Nonlinear programming problems are given a separate
name because they are solved in a different manner than
are linear programming problems. In fact, their solution
is considerably more complex than that of linear
programming problems, and it is often difficult, if not
impossible, to determine an optimal solution, even for a
relatively small problem.

 In linear programming problems, solutions are found at

the intersections of lines or planes, and though there
may be a very large number of possible solution points,
the number is finite, and a solution can eventually be
found.
 However, in nonlinear programming there may be no
intersection or corner points; instead, the solution space
can be an undulating line or surface, which includes
virtually an infinite number of points. For a realistic
problem, the solution space may be like a mountain
range, with many peaks and valleys, and the maximum
or minimum solution point could be at the top of any
peak or at the bottom of any valley.
The solution procedure Solver uses to solve NLP problems
is called the generalized reduced gradient (GRG)
algorithm.

NLP algorithms begin at any feasible solution to the NLP

problem. This initial feasible solution is called the starting
point. The algorithm then attempts to move from the
starting point in a direction through the feasible region
that causes the objective function value to improve. Some
amount of movement (or a step size) in the selected
feasible direction is then taken, resulting in a new, and
better, feasible solution to the problem.
The algorithm next attempts to identify another feasible
direction in which to move to obtain further improvements
in the objective function value. If such a direction exists,
the algorithm determines a new step size and moves in
that direction to a new and better feasible solution. This
process continues until the algorithm reaches a point at
which there is no feasible direction in which to move that
results in an improvement in the objective function. When
no further possibility for improvement exists (or the
potential for further improvement becomes arbitrarily
small), the algorithm terminates.
Applications of Non-Linear Programming
- The common applications of non-linear programming are
the pricing problems, location problems, nonlinear
network flow problem and EOQ problems.

Pricing Problems – When a problem contains both price

and quantity decisions, it is likely that a nonlinear
programming model will result. The nonlinearity derives
from the fact that profit on a given product is equal to
(Price - Cost) x Volume, and Price depends on Volume.
Pricing Problem Example

Nells Furniture Company (NFC) sellst wo main products,

sofas and dining tables. Based on the last few years of
experience in the sales region, the marketing department
has estimated demand curves relating the price and
demand volume for each product. For sofas, the
relationship is

where p1 and x1 are the price and volume, respectively

Pricing Problem Example

For tables, the price–volume relationship is

The variable costs are $60 per unit for the sofas and $45 per unit for
the tables. Each item is assembled on site and then inspected
carefully. The inspection usually involves some rework and touch-up.
There are 800 hours available in the assembly department and 500
in the inspection department. Sofas require 2 hours assembly time
and 2 hours inspection time. Tables require 3 hours assembly time
and 1 hour inspection time. The management at NFC wants to
maximize profit under these conditions.
Pricing Problem Example

Taking the volumes x1 and x2 as decision variables, we first write

the objective function in terms of these variables by substituting for
p1 and p2:

The constraints in the problem are linear constraints

Pricing Problem Example
Taking the volumes x1 and x2 as decision variables, we first write
the objective function in terms of these variables by substituting for
p1 and p2:

The constraints in the problem are linear constraints

The problem becomes one of maximizing the nonlinear profit

function, subject to two linear constraints on production resources.
Pricing Problem Example: Solver Solution
Pricing Problem Example

Interpretation:

 Solver returns the optimal decisions as approximately

144 sofas and 170 tables. The corresponding prices are
$162.27 and $145.91, and the optimal profit is about
$31,960.
 As the model indicates, optimal prices are approximately
$162 and $146 for sofas and tables, respectively. By
solving this optimization problem, NFC has an idea how
to set prices in the face of a price-sensitive customer
market.
Location Problems - Several decision problems involve
determining the location of facilities or service centers.
Examples might include determining the optimal location
of manufacturing plants, warehouses, fire stations, or
ambulance centers. Often the objective in these types of
problems is to determine a location that minimizes the
distance between two or more service points.
You might recall from basic algebra that the straight line
(or Euclidean) distance between two points (X1, Y1) and
(X2, Y2) on a standard X-Y graph is defined as:

This type of calculation is likely to be involved in any

problem in which the decision variables represent possible
locations. The distance measure might occur in the
objective function (for example, we might want to
minimize the distance between two or more points) or it
might occur in a constraint (for example, we might want to
ensure that some minimum distance exists between two or
more locations). Problems involving this type of distance
measure are nonlinear.
Location Problem Example

The Rappaport Communications Company provides cellular

telephone services in several midwestern states. The
company is planning to expand its customer base by
offering cellular service in northeastern Ohio to the cities
of Cleveland, Akron, Canton, and Youngstown. The
company will install the hardware necessary to service
customers in each city on preexisting communications
towers in each city. The locations of these towers are
summarized in the figure.
Location Problem Example

However, the company also needs to construct a new

communications tower somewhere between these cities to
handle intercity calls. This tower will also allow cellular
calls to be routed onto the satellite system for worldwide
calling service. The tower that the company is planning to
build can cover areas within a 40-mile radius. Thus, the
tower needs to be located within 40 miles of each of these
cities.
Location Problem Example: Decision Variables

Rappaport wants to determine the tower location that

minimizes the total distance between the new tower and
those in each of the four cities.

Thus, the coordinates of the new tower represent the

decision variables in this problem, which are defined as:

X1 = location of the new tower with respect to the X-axis

Y1 = location of the new tower with respect to the Y-axis
Location Problem Example: Objective Function

The objective in this problem is to minimize the total

distance from the new tower to each of the existing
towers, defined as:
Location Problem Example: Constraints
The problem statement noted that the new tower has a 40-mile
transmission radius and therefore must be located within 40 miles of
each of the existing towers. The following constraints ensure that
the distance from each of the existing towers to the new tower is no
larger than 40 miles.
Location Problem Example: NLP MODEL
Location Problem Example: Solver Solution
The solution indicates that if the new tower plant is located
at the coordinates X1 = 12.2 and Y = 21.0, the total
distance between the towers is 81.761 miles.

Interpretation of the Result:

Interestingly, the coordinates of this location for the new
tower are almost identical to the coordinates of the
existing tower in Akron. So, the solution to this problem
might not involve building a new tower at all but, instead,
Rappaport might want to investigate the feasibility of
upgrading or retrofitting the existing Akron tower to play
the role of the “new” tower.
Nonlinear Network Flow Problem

There are several different types of network flow problems

with linear objective functions and linear constraint sets.
The constraints in network flow models have a special
structure in which the flow into a node must be balanced
with the flow out of the same node. Numerous decision
problems exist in which the balance of flow restrictions
must be maintained while optimizing a nonlinear objective
function.
Nonlinear Network Flow Problem Example

SafetyTrans is a trucking company that specializes in

transporting extremely valuable and extremely hazardous
materials. Due to the nature of its business, the company
places great importance on maintaining a clean driving
safety record. This not only helps keep its reputation up,
but it also helps keep its insurance premiums down. The
company is also conscious of the fact that when carrying
hazardous materials, the environmental consequences of
even a minor accident could be disastrous.
Nonlinear Network Flow Problem Example

Whereas most trucking companies are interested in identifying

routes that provide for the quickest or least costly
transportation, SafetyTrans likes to ensure that it selects routes
that are the least likely to result in an accident. The company
currently is trying to identify the safest routes for carrying a
load of hazardous materials from Los Angeles, California, to
Amarillo, Texas. The network in the figure summarizes the
routes under consideration. The numbers on each arc represent
the probability of having an accident on each potential leg of
the journey. SafetyTrans maintains a national database of such
probabilities developed from data it receives from the National
Highway Safety Administration and the various Departments of
Transportation in each state.
Nonlinear Network Flow Problem Example: Decision
Variables

As in the shortest path problem, here we will need one

variable for each of the arcs (or routes) in the problem.
Each decision variable will indicate whether or not a
particular route is used. We will define these variables as
follows:
Nonlinear Network Flow Problem Example: Objective
Function
The objective in this problem is to find the route that minimizes the
probability of having an accident, or equivalently, the route that
maximizes the probability of not having an accident. Let Pij the
probability of having an accident while traveling from node i to node
j. Then, the probability of not having an accident while traveling
from node i to node j is 1 – Pij. The objective of maximizing the
probability of not having an accident is given by:

Max Z = (1 – P12Y12) ( 1 – P13Y13) ( 1 – P14Y14) ( 1 – P24Y24) ( 1 –

P26Y26) ( 1 – P34Y34) ( 1 – P35Y35) ( 1 – P45Y45) ( 1 – P46Y46) ( 1 –
P48Y48) ( 1 – P57Y57) ( 1 – P67Y67) ( 1 – P68Y68) ( 1 – P78Y78) ( 1 –
P79Y79) ( 1 – P7,10Y7,10) ( 1 – P8,10Y8,10) ( 1 – P9,10Y9,10)
Nonlinear Network Flow Problem Example: Constraints
To solve a shortest path network flow problem, we assign the
starting node a supply value of -1 and the ending node a demand
value of 1 and apply the balance-of-flow rule. These rules are
summarized as follows:
Solver Solution:
Interpretation of the Result:

The solution to this problem indicates

Y14 = Y46 = Y68 = Y810 = 1 and all other Yij = 0.

Thus, the optimal (safest) route is to travel from Los

Angeles to Phoenix to Flagstaff to Albuquerque to
Amarillo. Following this route, there is a 0.99
probability of not having accident.