Nonlinear Programming

• The objective and/or constraint functions are nonlinear.

• Nonlinear programming problems come in many different forms and
shapes.
• Algorithms have been developed for individual classes of problems.
• It is impossible to give a thorough survey of all major optimization
algorithms in a limited space.
• Some general references about nonlinear programming are Gill et al.
(1981), Fletcher (1987), and Bertsekas (1982).

Soleimani et al/ Int. J. Adv. Stu. Hum. Soci. Scie, 2014; 2 (4), 376-383 31
 MATHEMATICAL / LINEAR
PROGRAMMING
• LP : INTRODUCED IN LATE 1940’S BY
G.DANTZIG
• APPLICATION: MILITARY, INDUSTRY,
AGRICULTURE, TRANSPORTATION,
ECONOMICS, HEALTH SYSTEMS, BEHAVIORAL
AND SOCIAL SCIENCES
• A TWO-VARIABLE MODEL : GRAPHICAL
SOLUTION

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 A TWO-VARIABLE MODEL :
GRAPHICAL SOLUTION
EXAMPLE:
• A COMPANY PRODUCES 2 PAINT PRODUCTS
(INT & EXT)
• TWO RAW MATERIALS, A & B ARE BASIC
COMPONENTS OF THE PAINTS
• MAXIMUM AVAILABILITY OF A: 6 TONS/DAY
• MAXIMUM AVAILABILITY OF B: 8 TONS/DAY

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DAILY REQUIREMENTS OF THE RAW MATERIALS PER
TON OF INT & EXT PAINTS:

TONS OF RAW MAXIMUM

RAW MATERIAL AVAILABILITY
MATERIAL PER TON OF
PAINT (TONS)

EXT INT
A 1 2 6
B 2 1 8

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 MARKET SURVEY
• DAILY DEMAND FOR INT PAINT CANNOT
EXCEED THAT OF EXT PAINT BY MORE THAN 1
TON
• MAX DEMAND FOR INT PAINT : 2 TONS/DAY
• WHOSALE PRICE:
– EXT PAINT : $3000/TON
– INT PAINT : $2000/TON

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 PROBLEM
• HOW MUCH INT & EXT PAINTS SHOULD THE
COMPANY PRODUCE DAILY TO MAXIMIZE
GROSS INCOME?

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 MODEL CONSTRUCTION
BASIC COMPONENTS OF A MODEL:
1. VARIABLES (UNKNOWNS) OF THE PROBLEM
2. CONSTRAINTS IMPOSED ON THE VARIABLES
3. OBJECTIVE (GOAL) TO BE ACHIEVED

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VARIABLES:
XE = TONS PRODUCED DAILY OF EXT PAINT
XI = TONS PRODUCED DAILY OF INT PAINT

OBJECTIVE FUNCTION:
MAXIMIZE Z = 3 XE + 2 XI

SUBJECT TO CONSTRAINTS:
1. RAW MATERIAL A: XE + 2 X I ≤ 6 (1)

2. RAW MATERIAL B: 2XE + XI ≤ 8 (2)

3. DEMAND RESTRICTIONS 1: -XE + XI ≤ 1 (3)

4. DEMAND RESTRICTIONS 2: XI ≤ 2 (4)

5. NON NEGATIVITY CONSTRAINTS: XE ≥ 0 ; X I ≥ 0 (5) , (6)

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 GRAPHICAL SOLUTION
Unbounded criteria &
6 redundant constraint
XI
LOOK FOR PARALLEL LINE TO
REVENUE LINE THE REV LINE INTERSECTING
Z = 3 XE + 2 XI THE OUTER MOST POINT OF
THE SOLUTION SPACE
3
OPTIMUM SOLUTION:
XE = 3 1/3 TONS; XI=1 1/3 TONS
MAXIMUM REV = 12 2/3 THOUSAND $

G
H E D
K
4
F SOLUTION C
SPACE J XE 5
I A B
2 1

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 ENUMERATION TECHNIQUE
• CALCULATE THE VALUE OF EACH CORNER
(EXTREME) POINT OF THE SOLUTION SPACE:
A: Z=0
B: Z = 3(4) + 2(0) = 12
C: Z = 3(3⅓) + 2 (1⅓) = 12 ⅔ THE HIGHEST VALUE
D: Z = 3(2) + 2(2) = 10
E: Z = 3(1) + 2(2) = 7
F: Z = 3(0) + 2(1) = 2

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 SENSITIVITY ANALYSIS (1)
1. CHANGE ALLOWED IN THE OBJECTIVE
FUNCTION: Z = CEXE + CIXI

– SOLUTION WILL NOT CHANGE WITHIN THE

RANGE:
½ ≤ CE/CI ≤ 2

– FOR CI = 2, THE RANGE IS: 1 ≤ CE ≤ 4

– FOR CE = 3, THE RANGE IS: 3/2 ≤ CI ≤ 6

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 SENSITIVITY ANALYSIS (2)
2. CHANGES ALLOWED IN THE RIGHT-HAND
SIDE OF THE CONSTRAINTS:
• INTERSECTION OF CONSTRAINTS 1 & 2 ( WITH
ZERO SLACKS):
4 ≤ AMOUNT OF RAW MATERIAL A ≤ 7 (POINTS B & K)
6 ≤ AMOUNT OF RAW MATERIAL B ≤ 12 (POINTS D & J)
• CONSTANTS OF PROPORTIONALITY:
Y1 = (13 -12)/(7-4) = 1/3 THOUSAND $ PER TON A
Y2 = (18-10)/(12-6)= 4/3 THOUSAND $ PER TON B
• Y1 & Y2 ARE WORTH PER UNIT OR DUAL OR
SHADOW PRICES
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 SENSITIVITY ANALYSIS (3)
• INTERSECTION OF CONSTRAINTS (3) & (4), THAT
DO NOT PASS THE OPTIMUM POINT (WITH NON
ZERO SLACKS):
➢RHS OF CONSTRAINT (3) CAN BE INCREASED
INDEFINITELY WITHOUT CHANGING THE OPTIMUM,
SO THE WORTH PER UNIT IS ZERO:
-2 ≤ EXCESS OF INT OVER EXT PAINT ≤ ∞
➢RHS OF CONSTRAINT (4): SIMILAR AS (3):
4/3 ≤ MAX DEMAND FOR INT PAINT ≤ ∞

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