Simulation, Optimization and Design of Chemical Processes

Simulation, Optimization and Design of Chemical Processes
Chemical Engineering Degree. 7th semester

UNIT 11. INTRODUCTION TO MATHEMATICAL
PROGRAMMING WITH DISCRETE VARIABLES.
MILP, MINLP
(Mixed Integer (Non) Linear Programming) .
José A. Caballero
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Citar como: J.A. Caballero Suárez, material docente para la asignatura Simulación y Optimización de procesos Químicos, Octubre 2009. Universidad de Alicante.
Discrete optimization
Mixed Integer Linear Programming (MILP)

min Z  cT x  aT y
x ,y
s. t Ax  By b  0 some unknowns are restricted to integer values
m
x  0, x  n , y   0,1
Algorithms
I. Enumeration (of candidate solutions)
Branch and Bound (B&B) (Land, Doig 1960; Dankin 1965)
The key idea: divide and conquer .Since the original “large” problem is hard to
solve directly, it is divided (partitioned) into smaller and smaller subproblems until
these subproblems (LP) can be conquered.
II. Convexification
Cutting Plane (Gomory 1958; Crowder y col, 1983; Balas y col. 1993)
The key idea: iteratively refine a feasible set or objective function by means of
linear inequalities, termed cuts. Then, the current non-integer solution is no longer
feasible to the relaxed LP.
 Branch and Bound (B&B) is the most commonly used tool for solving MILP.
 Combination of both methods: BRANCH AND CUT, which involves running a branch and
bound algorithm and using cutting planes to tighten the linear programming relaxation.
Simulación y Optimización de Procesos Químicos. José A. Caballero
What does not usually work for solving a MINLP ?…
Exhaustive search (or brute-force search) works only for small-scale problems
The main disadvantage of the brute-force method is that, for many real-world problems, the
number of natural candidates is prohibitively large:
5 binary variables 25 = 32 candidates
10 binary variables 210 = 1024 candidates
50 binary variables 250 > 1015 candidates
Combinatorial explosion
1040
1030
Time scale 4 ×1023 Microseconds from the Big Bang to present
(Microseconds) 1020 (The age of the universe is 13700 million years)
1010 9 ×1010 Microseconds in a day

Solve the relaxed problem and round
y2 Best integer solution

1
Optimum
for the
relaxed
problem
0
0 1 y1
Rounded solution
INFEASIBLE

Solve the relaxed problem and round
y2 Best integer solution Best integer solution

1
Optimum Optimum
for the for the
relaxed relaxed
problem problem
0
0 1 y1
Rounded solution Rounded solution:
feasible but…
INFEASIBLE ¡SUB-OPTIMAL !

Reformulation as a nonlinear problem:

min : Z= y1 + 2 y2
min : Z= y1 + 2 y2 s.t 2 y1 + y2 ≥1
s.t 2 y1 + y2 ≥1
y1 (1 − y1 ) ≤ 0
y1 , y2 ∈{0,1} Substitute y ∈ {0,1} y2 (1 − y2 ) ≤ 0
0 ≤ y1 ≤1
0 ≤ y2 ≤ 1
Using the NLP solver CONOPT2 in GAMS:
Initial point: Outcome by the solver:

=y1 0;=
y2 0 infeasible
= =
y1 0.5; y2 0.5 =
y1 0; = y2 1;=
Z 2 Sub-optimal
Optimal solution: =
y1 1;=
y2 0;=
Z 1

Branch and Bound (B&B)
Example: maximize = z 8x + 5 y
subject to x + y ≤ 6 Original MILP problem
9 x + 5 y ≤ 45
x, y ∈ N maximize = z 8x + 5 y
subject to x + y ≤ 6
9 x + 5 y ≤ 45
x, y ∈ℜ≥ 0
Solution of the relaxed problem
z =41.25, x=3.76, y = 2.25

9 x + 5 y ≤ 45
x ≤ floor (15 / 4) =
3
x, y ∈ℜ≥ 0

z = 39, x=3, y = 3 INTEGER SOLUTION

9 x + 5 y ≤ 45
x ≥ ceiling (15 / 4) =
4
x, y ∈ℜ≥ 0

z = 41, x=4, y = 1.8

Example:
maximize = z 8x + 5 y
9 x + 5 y ≤ 45
x ≥ 4, y ≥ 2
x, y ∈ℜ≥ 0
INFEASIBLE

Example:
9 x + 5 y ≤ 45
x ≥ 4, y ≤ 1
x, y ∈ℜ≥ 0
z = 40.56, x=4.44, y = 1

Example:
9 x + 5 y ≤ 45
x ≥ 4, y ≤ 1, x ≥ 5
x, y ∈ℜ≥ 0 Solution of the relaxed problem
z = 40, x= 5, y = 0
INTEGER SOLUTION

Example:
maximize =
z 8x + 5 y
9 x + 5 y ≤ 45
x ≥ 4, y ≤ 1, x ≤ 4
x, y ∈ℜ≥ 0 Solution of the relaxed problem
z = 37, x=4, y = 1
INTEGER SOLUTION

Branch and Bound Decision Tree:
Unfeasible
Best solution

Partitioning of the whole search space by a developing a tree
Root node (relaxed LP)

y1= 0 y1= 1
Node l
y2= 0 y2= 1 y2= 0 y2= 1

Node k
y3= 0 y3= 0 y3= 0 y3= 0
y3= 1 y 3= 1 y3= 1 y 3= 1
Remark: 15 nodes for 23 = 8 solutions 0-1
Node k is a child from node l (parent)

Root node (relaxed LP)

y1= 0 y1= 1
y2= 0 y2= 1 y2= 0 y2= 1
Node l
y3= 0 y3= 0 y3= 0 y3= 0
y3= 1 y3= 1 y3= 1 y 3= 1
Node k

min Z  cT x  aT y
Consider that node k is a child from node l
s.a. Ax  By b  0
m
1.- If LPl is INFEASIBLE then LPk is INFEASIBLE x  0, x  n , y   0,1 
2.- If LPk is FEASIBLE then Zl ≤ Zk

Objective function increases (i.e., it is
worst)
Zl : LOWER BOUND
3.- If LPk is a INTEGER solution Zk ≤ Z*

Zk: UPPER BOUND
k
Rules to stop The LP solved at node k is infeasible.
branching a node The solution to the LP gives a lower bound
higher than the current upper bound.

Decision to be made in B&B algorithm:
1. Which is the branching variable.
2. Which is the next node to be expanded.
Branching rules: branching variable selection
1.- Fix priorities for some of the variables.
2.- Selected the binary variable whose values is closer to 0.5.
3.- Penalized cost (Driebneck, 1966)

Branching rules: node selection strategy
1.- Depth-first search: Expand the selected branch until finding an

ending node, and then backtrack by the closest open branch.
2.- Breadth first search (backtracking): Expand the branch with the
best value of the objective function. (all the child nodes are placed in
the queue for later processing if they are promising).

Example 1 MILP
(Depth First search, DFS) z=9 min z = x + y1 + 3 y2 + 2 y3
y2=1 9 s. a. − x + 3 y1 + 2 y2 + y3 ≤ 0
z=6.5 [1,1,0] − 5 y1 − 8 y2 − 3 y3 ≤ − 9
3 x ≥ 0; y1, y2 , y3 = 0,1
y1=1 y2=0
[1, 0.5, 0] no factible
8 z=8
z =5.8 y2=1 7 optimum
z=6.75
1 [0, 1, 1]
y3=1 5
[0.2, 1, 0]
z=6
y1=0 [0, 0.75, 1]
2 y2=0 6 no factible
[0, 1, 0.333]
y3=0 4 no factible

Example 1 MILP
(Breadth First Search, BFS) z=9 min z = x + y1 + 3 y2 + 2 y3
y2=1 7 s. a. − x + 3 y1 + 2 y2 + y3 ≤ 0
z=6.5 [1,1,0] − 5 y1 − 8 y2 − 3 y3 ≤ − 9
3 x ≥ 0; y1, y2 , y3 = 0,1
y1=1 y2=0
[1, 0.5, 0] infeasible
7 z=8
z =5.8 y2=1 9 optimum
z=6.75
1 [0, 1, 1]
y3=1 5
[0.2, 1, 0]
z=6
y1=0 [0, 0.75, 1]
2 y2=0 8 infeasible
[0, 1, 0.333]
y3=0 4 infeasible

Example 2
− ( 5 y1 + 3 y2 + 2.3 y3 + 1.4 y4 − 0.95 y5 ) + 10

min z =
s.a. 2.5 y1 + 2 y2 + 2 y3 + 0.2 y4 − 0.85 y5 ≤ 3 z =4.05 LP solved at node 4 gives an
0.5 y1 + 0.3 y2 + 0.3 y4 ≤ 1 4 objective function value
yi ∈ {0,1} i =
1, 2,3, 4,5 (4.05) higher than the current
[0.64, 0, 1, 1, 1] upperbound (3.60). Then
z =3.225 node 4 can be discarded from
the search (this step is called
2 z =3.60 prunning)
[1, 0, 0.15, 1, 0] 5 Current

z =2.9 Upper OPTIMUM
[1, 0, 0, 1, 0] bound
1
[1, 0.55, 0, 1, 1] z =3.35 infeasible

6
3
[0.64, 1, 1, 1, 1] LP solved at node 7 gives an

z =4.68 objective function value
(4.68) higher than the current
7 upperbound (3.60). Then
node 7 can pruned.
[0, 1, 0.4, 1, 1]
Example 3 (DFS)
6
z =4.08
4 [infeasible]
z =2.35 [0, 1, 0.4, 1, 0]

z =4.60
2
7 Current upper bound
5
[0.64, 1, 0, 1, 1]
[0, 1, 0, 1, 0]
z =2.35 [infeasible]
1 z =5.05
z =3.405 LP solved at node 8 gives
[1, 0.55, 0, 1, 1] 8 an objective function
3 value (5.05) higher than
[0.64, 0, 1, 1, 1] the current upperbound
[1, 0, 0.15, 1, 0] (3.6). Then node 8 can
pruned.
z =3.6
9 New upper bound OPTIMUN
[1, 0, 0, 1, 1]
Mixed Integer Nonlinear Programming (MINLP)
Algorithms
Branch and Bound
min : f (x , y ) Ravindran y Gupta 1985; Leyffer y Fletcher 2001
x ,y Branch and Cut: Stuubs y Mehrota 1999
s. t h(x , y )  0 Generalized Benderss Decomposition
g(x , y )  0 Geofrion, 1972
x  X n Outer Approximation

Duran y Grossmann 1986; Yuan y col 1988;
p
y   0,1 Fletcher y Leyffer 1994
LP/NLP Branch and Bound

Quesada y Grossmann 1992
Extending cutting plane

Westerlund y Petersen 1995

Branch and Bound
Tree enumeration At each node and NLP-1 must be solved
NLP
k
min : Z LB = f ( x, y )
s.a g j ( x, y ) ≤ 0
Set with the indexes
x∈ X , 0 ≤ y ≤ 1 of the binary variables
NLP NLP that are fixed to 0 at
yi ≤ 0 i ∈ I FL
k
iteration k
yi ≥ 1 i ∈ I FU
k Set with the indexes
NLP NLP of the binary variables
that are fixed to 1 at
iteration k
Advantage: easy formulation, only involves problems of type NLP-1

Drawback: a high number of NLPs to be solved
Global converge: it is only required that each NLP-1 reaches its global optimum

All the algorithms can be derived by combination of the following subproblems
a) Relaxed NLP (some binary variable is relaxed).

Lower bound
b) NLP (all the binary variables are fixed)
k
min : Z LB = f ( x, y ) Upper bound
x, y
s. t g j ( x, y ) ≤ 0
min : ZUk = f ( x, y k )
x∈ X , 0 ≤ y ≤ 1 (NLP-R) x (NLP-1)
yi ≤ 0 i ∈ I FL
k s.a g j ( x, y k ) ≤ 0
yi ≥ 1 i ∈ I FU
k x∈ X
c) Feasibility NLP for a fixed yk

min : u ∞
:= max ( u1 , , un ) Minimization of the infinity norm for
x the vector of infeasibilities
s.t. g j ( x, y k ) ≤ u j
(NLP-F)
x∈ X , u j ∈ R 1

Master Problem (Duran y Grossmann, 1986)
M-MILP
min : Z Lk = α
 x − x 
k
Set of iterations
s.a. α ≥ f ( x k , y k ) + ∇f ( x k , y k )T  
 y − y 

k
 k = 1,..., K

k T x−x
k  
g j ( x , y ) + ∇g j ( x , y ) 
k k k
 ≤ 0 j ∈ J 
1st-order approximations of  y − y k
 
the inequality constraints Set of inequality constraints
Notes:
a) Point (xk, yk) k = 1…K is obtained from the NLP-1.

b) Linearization are accumulated at each iteration.
c) The algorithm generates a non decreasing sequence of lower bounds.
Outer Approximation algorithm KEY IDEA (geometric interpretation)
Convex objective function Feasible Convex Region

x1
x1
f(x)
x2
x2
x1 x2 x
Underestimation of the objective function Overestimation of the feasible region

Outer Approximation algorithm (implemented in GAMS as DICOPT)

For a minimization problem
Relaxed problem (i.e., binary variables

NLP-R relaxed to a continuous between 0 and 1)
Master problem ⇒ Lower Bound

Provides values of yk for next NLP-1
MILP-M
Objective function value = ZM
z Lk yk NLP Subproblem ⇒ Upper Bound
(binary variables fixed to yk)
NLP-1 • The solution to this NLP problem is
Binary cut zUk xk a candidate solution for the
No original MINLP problem.
Is NLP-1 • The solution provides a point xk to
NLP-F
Feasible ? perform new linearizations to
Feasibility problem build the next master problem.
Yes
No
z Lk > zU*
Yes
End zU* records the best upper bound
zU* := min( zU1 , zU2 , , zUk )
Extension to problems with also equality constraints
The only modification is in the master Problem
min : Z Lk = α
 x − xk 
s.t . α ≥ f ( x , y ) + ∇f ( x , y ) 
k k k

k T
 y − y 
k
 x − x k
g j ( x k , y k ) + ∇g j ( x k , y k )T  ≤0 j ∈ J k =1....K
 y − y 
k
  x − x k  
sign(λi ) ∇hi ( x k , y k )T    ≤ 0 i ∈I
 y − y  
k

The equality is relaxed to an inequality using the sign of the Lagrange multiplier

Extension to problems with also equality constraints
Problem 0 Problem 1 Problem 2

minimize z = f ( x) minimize z = f ( x) minimize z = f ( x)
subject to h( x) = 0 subject to g1=
( x ) : h( x ) ≤ 0 subject to g 2 ( x) :=
− h( x ) ≤ 0
Is problem 1 equivalent to
λ0* < 0 problem 0? Sign of the equality multiplier 0*
f (x1*)  0, 1*  0 f (x 2*)  2* g2 (x 2*)  0, 2*  0
f (x 0*)  0* h(x 0*)  0

Commercial optimization solvers for MINLP
DICOPT++ (GAMS) Viswanathan y Grossmann (1990)

Outer Approximation.
AOA (AIMSS)
Outer Approximation.
MINLP (AMPL) Fletcher y Layffer (1999)
Branch and Bound Algebraic Modelling
α-ECP Westerlund y Petersson (1996) Systems
Extending cutting plande (GAMS) GAMS (Meeraus y col, 1997)
MINOPT Scheweiger y Floudas (1998)
AMPL (Fourer y col, 1995)
Benders Decomposition
BARON Sahinidis y col (1998) AIMSS (Bisschop y col, 2000)
Global optimization (GAMS)
SBB (GAMS)
Simple Branch and Bound.
Example: MINLP
B1
A2 B2
Process II
A B C
Process I
A3 B3
Process III

Example: MINLP
mi n : ∑ Costs - Revenue
= 13C − 1.8 A − 7 B1
Revenue
 YI 
Cost
= +   ¬YI 
 I 3.5 2C  ∨  Cost = 0 
 C = 0.9 B   I 
 
 C= B= 0  
 0 ≤ C ≤ 1 
 YII 
Cost= 1.0 + 1.0 B   ¬Y 
 II 2

II
=B2 Ln (1 + A2 )  ∨  Cost II = 0 
  
 1   B= 2 A=
2 0 
 0 ≤ B2 ≤ 0.9 
 YIII 
   ¬Y 
 C ost III = 1. 5 + 1.2 B3   III
 B3 1.2 Ln (1 + A3 )  ∨  Cost III =

= 0 
  
 1   B=
3 A=
3 0 
 0 ≤ B3 ≤ 0.9 
Y2 ∨Y3 ∨ [ ¬(Y2 ∧ Y3 ) ] (at most one of the process I or II )

Example: MINLP
MILP MODEL:
mi n : (3.5 y1 + 2C ) + ( y2 + B2 ) + (1.5 y3 + B3 ) − 13C + 1.8 A + 7 B1 =
− 11C + 7 B1 + B2 + 1.2 B3 + 1.8 A + 3.5 y1 + y2 + 1.5 y3
A − ( A2 + A3 ) =
0 
 mass balances linear
B − ( B1 + B2 + B3 ) =
0
B2 − Ln (1 + A2 ) = 0 
 Non linear
B3 − 1.2 Ln (1 + A3 ) = 0 
C − 0.9 B = 0 
C − 1 y1 ≤ 0 

1 
B2 − y2 ≤ 0  Linear cosntraints
0.9 
1 
B3 − y3 ≤ 0 
0.9 
y 2 + y3 ≤ 1 logical : linear
A, B, C , A1 , A2 , B1 , B2 , B3 ≥ 0
y1 , y2 , y3 ∈ {0,1}

Example: MINLP
Solution using DICOPT in GAMS:

Example: MINLP
NLP-R: mi n : − 11C + 7 B1 + B2 + 1.2 B3 + 1.8 A + 3.5 y1 + y2 + 1.5 y3
A − ( A2 + A3 ) =
0 
B − ( B1 + B2 + B3 ) =
0
B2 − Ln (1 + A2 ) = 0 
 Non linear
B3 − 1.2 Ln (1 + A3 ) = 0 
C − 0.9 B = 0 
C − 1y1 ≤ 0 

1 
0.9 
1 
B3 − y3 ≤ 0 
0.9 
A, B, C , A1 , A2 , B1 , B2 , B3 ≥ 0
0 ≤ y1 ≤ 1
0 ≤ y2 ≤ 1
0 ≤ y3 ≤ 1

Example: MINLP
NLP-R: Results
Lagrange Multipliers
(opposite sign to the criterion we
follow in class)

Example: MINLP
Iter. 1
mi n : − 11C + 7 B1 + B2 + 1.2 B3 + 1.8 A + 3.5 y1 + y2 + 1.5 y3
MASTER:
A − ( A2 + A3 ) =
0 
B − ( B1 + B2 + B3 ) =
0
 1  
sign(3.074)  B2 − Ln (1 + 0.708 ) − ( A2 − 0.708)  ≤ 0 
 1 + 0.708  
 Linearizations
 
( A3 − 0.616)  ≤ 0 
1.2
sign(2.424)  B3 − 1.2 Ln (1 + 0.616 ) −
 1 + 0.616  
C − 0.9 B = 0 
C − 1y1 ≤ 0 

1 
0.9 
1 
B3 − y3 ≤ 0 
0.9 
A, B, C , A1 , A2 , B1 , B2 , B3 ≥ 0
y1, y 2, y3 ∈ {0, 1}

Example: MINLP
Iter. 1 MASTER Results:
Lower bound
Binary variables that must be fixed in the following NLP-1

Example: MINLP
Iter 1. NLP-1 mi n : − 11C + 7 B1 + B2 + 1.2 B3 + 1.8 A + 3.5 + 1
A − ( A2 + A3 ) =
0 
B − ( B1 + B2 + B3 ) =
0
B2 − Ln (1 + A2 ) = 0 
 Non linear
B3 − 1.2 Ln (1 + A3 ) = 0 
C − 0.9 B = 0
C − 1 ≤ 0 

1  Linear cosntraints
B2 − ≤ 0
0.9

B3 ≤ 0 
A, B, C , A1 , A2 , B1 , B2 , B3 ≥ 0

Example: MINLP
Iter 1. NLP-1: Results
Upper bound
λ1 = 5.468
λ2 = 1.500
Best Lower Bound = -2,345

Best Upper Bound = -1,721

Example: MINLP
min: − 11C + 7 B1 + B2 + 1.2 B3 + 1.8 A + 3.5 y1 + y2 + 1.5 y3

Iter. 2
MASTER:
A − ( A2 + A3 ) =
0 
B − ( B1 + B2 + B3 ) =
0
 1  
sign(3.074)  B2 − Ln (1 + 0.708 ) − ( A2 − 0.708)  ≤ 0 
 1 + 0.708  
 Linearizations NLP − R
 
( A3 − 0.616)  ≤ 0 
1.2
sign(2.424)  B3 − 1.2 Ln (1 + 0.616 ) −
 1 + 0.616  
 1  
sign(5.468)  B2 − Ln (1 + 2.038 ) − ( A2 − 2.038)  ≤ 0 
 1 + 2.038  
 Linearizations NLP − 1
 1.2  
sign(1.500)  B3 − 1.2 Ln (1 + 0 ) − ( A3 − 0)  ≤ 0
 1 + 0  
C − 0.9 B = 0 
C − 1y1 ≤ 0 

1 
0.9 
1 
B3 − y3 ≤ 0 
0.9 
y2 + y3 ≤ 1 logical : linear
y1 + y2 − y3 ≤ 1 : BINARY CUT
A, B, C , A1 , A2 , B1 , B2 , B3 ≥ 0; y1, y 2, y3 ∈ {0, 1}

Example: MINLP
New lower bound


Example: MINLP
Iter 2. NLP-1 mi n : − 11C + 7 B1 + B2 + 1.2 B3 + 1.8 A + 3.5 + 1.5
A − ( A2 + A3 ) =
0 
B − ( B1 + B2 + B3 ) =
0
B2 − Ln (1 + A2 ) = 0 
 Non linear
B3 − 1.2 Ln (1 + A3 ) = 0 
C − 0.9 B = 0
C − 1 ≤ 0 

B2 ≤ 0  Linear cosntraints

1
B3 − ≤ 0
0.9 
A, B, C , A1 , A2 , B1 , B2 , B3 ≥ 0

Example: MINLP
Iter 2. NLP-1: Results
λ1 =1.800 Upper bound

λ2 = 3.786


Example: MINLP
min: − 11C + 7 B1 + B2 + 1.2 B3 + 1.8 A + 3.5 y1 + y2 + 1.5 y3
Iter. 3
A − ( A2 + A3 ) =
0 
MASTER:  mass balances linear
B − ( B1 + B2 + B3 ) =
0
 1  
sign(3.074)  B2 − Ln (1 + 0.708 ) − ( A2 − 0.708)  ≤ 0 
 1 + 0.708  
 Linearizations NLP − R
 
( A3 − 0.616)  ≤ 0 
1.2
sign(2.424)  B3 − 1.2 Ln (1 + 0.616 ) −
 1 + 0.616  
 1  
sign(5.468)  B2 − Ln (1 + 2.038 ) − ( A2 − 2.038)  ≤ 0 
 1 + 2.038  
 Linearizations NLP − 1
 1.2  
sign(1.500)  B3 − 1.2 Ln (1 + 0 ) − ( A3 − 0)  ≤ 0
 1+ 0  
 1  
sign(1.8)  B2 − Ln (1 + 0 ) − ( A2 − 0)  ≤ 0 
 1+ 0  
 Linearizations NLP − 1(2 iter.)
nd
 
( A3 − 1.524)  ≤ 0 
1.2
sign(3.786)  B3 − 1.2 Ln (1 + 1.524 ) −
 1 + 1.524  
C − 0.9 B = 0 
C − 1 y1 ≤ 0 

1 
0.9 
1 
B3 − y3 ≤ 0 
0.9 
y2 + y3 ≤ 1 logical : linear
y1 + y2 − y3 ≤ 1: BINARY CUT
y1 + y3 − y2 ≤ 1: BINARY CUT
A, B, C , A1 , A2 , B1 , B2 , B3 ≥ 0; y1, y 2, y3 ∈ {0, 1}

Example: MINLP
= =
A 1.524; A3 1.524;
= =
B 1.111; B3 1.111;
Best Lower Bound = 0 C = 1.000
Best Upper Bound = -1,923 Optimal solution A=2 B= 1 B=2 0
=
y1 =1; y2 0=
; y3 1
F .O = − 1.923


Simulation, Optimization and Design of Chemical Processes

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Simulation, Optimization and Design of Chemical Processes

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Simulation, Optimization and Design of Chemical Processes

Chemical Engineering Degree. 7th semester

Mixed Integer Linear Programming (MILP)

1010 9 ×1010 Microseconds in a day

Simulación y Optimización de Procesos Químicos. José A. Caballero

Solve the relaxed problem and round

y2 Best integer solution

Simulación y Optimización de Procesos Químicos. José A. Caballero

Solve the relaxed problem and round

y2 Best integer solution Best integer solution

Simulación y Optimización de Procesos Químicos. José A. Caballero

Reformulation as a nonlinear problem:

Using the NLP solver CONOPT2 in GAMS:

Initial point: Outcome by the solver:

Simulación y Optimización de Procesos Químicos. José A. Caballero

Simulación y Optimización de Procesos Químicos. José A. Caballero

Solution of the relaxed problem

Simulación y Optimización de Procesos Químicos. José A. Caballero

Solution of the relaxed problem

Simulación y Optimización de Procesos Químicos. José A. Caballero

Simulación y Optimización de Procesos Químicos. José A. Caballero

Simulación y Optimización de Procesos Químicos. José A. Caballero

Simulación y Optimización de Procesos Químicos. José A. Caballero

Simulación y Optimización de Procesos Químicos. José A. Caballero

Branch and Bound Decision Tree:

Simulación y Optimización de Procesos Químicos. José A. Caballero

Partitioning of the whole search space by a developing a tree

Root node (relaxed LP)

y2= 0 y2= 1 y2= 0 y2= 1

Remark: 15 nodes for 23 = 8 solutions 0-1

Node k is a child from node l (parent)

Simulación y Optimización de Procesos Químicos. José A. Caballero

Root node (relaxed LP)

y2= 0 y2= 1 y2= 0 y2= 1

y3= 1 y3= 1 y3= 1 y 3= 1

Simulación y Optimización de Procesos Químicos. José A. Caballero

2.- If LPk is FEASIBLE then Zl ≤ Zk

3.- If LPk is a INTEGER solution Zk ≤ Z*

Simulación y Optimización de Procesos Químicos. José A. Caballero

Decision to be made in B&B algorithm:

1. Which is the branching variable.

2. Which is the next node to be expanded.

Branching rules: branching variable selection

1.- Fix priorities for some of the variables.

2.- Selected the binary variable whose values is closer to 0.5.

3.- Penalized cost (Driebneck, 1966)

Simulación y Optimización de Procesos Químicos. José A. Caballero

Branching rules: node selection strategy

1.- Depth-first search: Expand the selected branch until finding an

Simulación y Optimización de Procesos Químicos. José A. Caballero

Simulación y Optimización de Procesos Químicos. José A. Caballero

Simulación y Optimización de Procesos Químicos. José A. Caballero

− ( 5 y1 + 3 y2 + 2.3 y3 + 1.4 y4 − 0.95 y5 ) + 10

[1, 0, 0.15, 1, 0] 5 Current

[1, 0.55, 0, 1, 1] z =3.35 infeasible

[0.64, 1, 1, 1, 1] LP solved at node 7 gives an

z =2.35 [0, 1, 0.4, 1, 0]

Mixed Integer Nonlinear Programming (MINLP)

x  X n Outer Approximation

LP/NLP Branch and Bound

Extending cutting plane

Simulación y Optimización de Procesos Químicos. José A. Caballero