VI - International Conference on Environmental Hydrology

with 1st Symposium on Coastal & Port Engineering,

Cairo, Egypt, 2009.

SIMPLIFIED APPROACH FOR OPTIMIZATION

BY DYNAMIC PROGRAMMING
Dr. Alaa Nabil El-Hazek 1

ABSTRACT

Optimization is the magic key for most engineering projects. It concerns to minimize costs /
losses or to maximize returns. In both cases, all existed constraints are to be satisfied. There
are many optimization techniques that are widely employed in order to achieve the optimum
solutions. In this paper, the dynamic programming, as a powerful optimization technique, is
employed for this purpose. The dynamic programming is used by two different methods. The
first method is the ordinary technique that called recursive dynamic programming. While the
second method is a combination between the dynamic programming and the linear
programming, and is called a simplified approach.

Two different models are established. The first model represents a production scheduling for
a factory producing pipes. While the second model represents pollution in a river. The
optimum solutions are obtained by the PC for the two models applying the two mentioned
techniques for each model. These optimum solutions are compared showing high degree of
tendency.

It is concluded that the simplified approach is an effective tool to get the optimum solutions
for the two models. It is easy, simple, accurate, fast and is solved by a common PC software.
It is recommended to provide more study for the simplified approach. Also, it is
recommended to investigate its application to problems with maximization objective
functions.

INTRODUCTION

It is always required to find the best, or at least near the best, decision among a range of
possible decisions or policies. Optimization is usually regarded as a systematic process of
finding the best decisions, without having to consider all possible alternatives. Optimization
can be considered as an ensemble of steps that must be taken to find the optimum of a
function. This function is usually called an objective function and represents a performance
index. Common typical objective functions in general are the total costs, to be minimized, or
the total benefits, to be maximized. However, optimization is only possible if there is a range
of choices available. The success of optimization depends on defining effectively and
realistically the problem and developing a reasonable model for the problem system.

Many real world systems can be modeled by linear programming, where there is a linear
objective function subject to a set of linear constraints. The objective function is a measure of

1
Lecturer, Faculty of Engineering at Shobra, Banha University, Cairo, Egypt.

1
the efficiency or effectiveness of the system, and the constraints are the bounds on the
system, Hadley (1962) and Gass (1975) and Grygier and Stedinger (1985). Also, various soft
wares are available to solve the linear models and obtain the optimum solution using PC.

Not all systems can be modeled adequately by a linear objective function and linear
constraints. Either, or both, may contain nonlinear terms. There is no set procedure for
solving all nonlinear programming problems. However, nonlinear programming has been
discussed and applied by many researchers such as Wismer and Chattergy (1978), Haug and
Arora (1979), Kirsch (1981), McCormick (1983) and Thomas K. Jewell (1986).

DYNAMIC PROGRAMMING

Dynamic programming is an optimization technique that is especially applicable to the

solution of multi-stages problems. It takes the advantage of the condition that many complex
systems can be modeled as a series of subsystems linked together. The serial structure
requires that there is no feedback between subsystem stages; however, feedback can be
accommodated within a particular subsystem stage. A serial structure allows the
decomposition of complex systems into components small enough for optimization, while at
the same time accounting for the interaction of the different parts.

Many researchers applied a combination between the linear and the dynamic programming to
obtain the optimum solution such as Becker and Yeh (1974), Grygier and Stedinger (1985),
Marcello Niedda and Giovanni M. Sechi (1996), Ni-Bin Chang, H. W. Chen, D. G. Shaw and
C. H. Yang (1997), P. P. Mujumdar and Pavan Saxena (2004), Raziyeh Farmani, Ricardo
Abadia and Dragan Savic (2007) and Sh. Momtahen and A. B. Dariane (2007).

The dynamic programming typically solves the problem in stages, optimizing the state
variable for each stage. The computations at the different stages are linked through recursive
computations in a manner that yields a feasible optimal solution to the entire problem when
the last stage is reached, Hamdy A. Taha (1982). The principle of optimality guarantees that
future decisions are made independently of previously made decisions. However, this
principle provides a well defined framework for solving the problem in stages, but there is
vague about how each stage should be optimized. It can be sometimes regarded as being too
powerful to be useful in practice where although a problem can be decomposed properly, a
numerical answer still may not be attainable due to the complexity of the optimization
process at each stage. The dynamic programming does not give specifics about how each
stage’s sub problem is optimized.

The developed model’s sub problems, representing the stages, are solved in common through
tables on spread sheets to get the optimum solution. An advantage of this tabular form of the
dynamic programming is that it is automatically a form of sensitivity analysis. On the other
hand, there is the disadvantage that a global optimum solution is not guaranteed. That is
because this method depends on assuming discrete values for the variables, so the accuracy of
the obtained solution depends on the intervals between the assumed values.

In this paper, the dynamic programming is used by two different methods. The first method is
the ordinary technique that called recursive dynamic programming. While the second method
is a combination between the dynamic programming and the linear programming, and is
called a simplified approach. Two different models are established. The optimum solutions
are obtained for the two models applying the two mentioned techniques for each model.

2
SIMPLIFIED APPROACH

The simplified approach is a developed procedure that is going to employ both the dynamic
programming and the linear programming in the optimization process to obtain the optimum
solution. That is to say that the master problem is decomposed into stages according to the
dynamic programming methodology, then the linear programming is employed as an
optimization procedure for each stage of the model. Each stage includes an objective function
subject to constraints. Each stage is solved using the linear programming to obtain its
optimum solution. This obtained optimum solution is referred to as “local optimum solution”
as it is optimum for only a particular stage.

Alternatives are formed using all the obtained local optimum solutions for the different
stages. These alternatives represent possible solutions for the original system. The values for
both the constraints and the objective function (the total cost) are calculated for each
alternative. Then, the alternatives are ranked in an ascending order according to the values of
the objective function. The alternative number 1 is to be considered and is checked with
respect to the constraints. If this alternative satisfies all constraints for all stages, it is the
required optimum solution for the system. Otherwise, if the considered alternative does not
satisfy one constraint, or more, a modified alternative is to be formed. That is the values of
some variables are refined to satisfy the constraint (s). The refined values of some variables,
if obtained, are used to form the modified alternative.

Thus, the obtained modified alternative is checked with respect to its value for the objective
function. If it is still associated with minimum objective function (total cost), it is the required
optimum solution for the system. Otherwise, if the modified alternative is no longer
associated with minimum objective function, it is excluded. The next alternative, alternative
number 2, is to be considered and is checked with respect to the constraints. This procedure is
continued till the optimum solution for the original system is reached. However, figure 1
shows a scheme diagram for the simplified approach.

FIRST MODEL

The first model is a production scheduling model that represents a factory that produces
concrete pipes. The objective function is to minimize the production cost over five months,
while meeting the monthly projected demand. The constraints represent the monthly regular
and overtime processing time, in addition to the monthly available raw material.

The amount of raw material available for processing varies each month due to seasonal
variations in the construction activity. If the material is not used one month, it can not be
carried over to the next month. Any product existed at the beginning of the first month has
been already subtracted from the first month demand. Also, no product is left over at the end
of the fifth month. Two thousand hours of regular processing time are available each month.
It takes 75 hours of processing time to produce one unit of pipe. It costs 20 LE to store one
unit of pipe from one month to the next. Table 1 illustrates the data for this model. The model
is developed as five sequential stages using the dynamic programming. Each stage is
composed of an objective function subject to some constraints, as shown in table 2.

The optimum solution obtained by applying the ordinary recursive dynamic programming is
illustrated in table 3. Then the simplified approach is applied to the model, obtaining local
optimum solution for each stage by PC (Microsoft Excel, Solver tool), as shown in table 4.

3
 Figure 1: Scheme diagram for the simplified approach.

A System

D P

Stage Stage Stage n

1 2

L P L P L P

Local Local Local

Opt. Opt. Optimum
Sol. Sol. Solution

Simplified Approach

Forming Alternatives

Ranking Alternatives in an Ascending Order

Alternative i

i=1  i=i+1  

All constraints for all A constraint (or more) is 

stages are satisfied. not satisfied.

This alternative is the Forming a Modified

optimum solution for Alternative.
the system.

Modified alternative Modified 

is still associated alternative is no
with min. objective longer associated
function. with min. objective
function.

This alternative is This modified 

optimum solution alternative is
for the system. excluded.

4
 Table 1: Data for the first model.
Projected Available Cost / Regular Cost / Overtime
Month Demand Material time production production
(Units) (Units) (LE/Unit) (LE/Unit)
1 20 40 150 170
2 30 50 150 170
3 40 50 150 170
4 20 10 160 185
5 40 30 160 185

Table 2: The first model.

Stage No. Objective Function Constraints

1 C1 = 150 R1 + 170 O1 20  R1 + O1  40
R1 + O1 - S1 = 20
R1  26.67
S1  20

2 C2 = 20 S1 + 150 R2 + 170 O2 30  R2 + O2  50
R2 + O2 + S1 - S2 = 30
R2  26.67
S2  10
S1  20

3 C3 = 20 S2 + 150 R3 + 170 O3 40  R3 + O3  50
R3 + O3 + S2 - S3 = 40
R3  26.67
S3  20

4 C4 = 20 S3 + 160 R4 + 185 O4 R4 + O4  10
R4 + O4 + S3 - S4 = 20
R4  26.67
10  S3  20
S4  10

5 C5 = 20 S4 + 160 R5 + 185 O5 R5 + O5  30
R5 + O5 + S4 = 40
R5  26.67
10  S4  13.33

Where,
C: The production cost.
R: The number of units produced on regular time in a certain month.
O: The number of units produced on overtime in a certain month.
S: The number of units stored from a certain month to next month.

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 Table 3: Optimum solution by the ordinary recursive dynamic programming.
S1 S2 S3 S4 R1 R2 R3 R4 R5
0 10 20 10 18 26 26 6 26

Min. Total Cost C1-5 O1 O2 O3 O4 O5

24700 2 14 24 4 4

Table 4: Local optimum solution for state variables by simplified approach.

Stage The State Variables
No. S1 S2 S3 S4
1 0 -------- -------- --------

2 10 10 -------- --------

3 -------- 20 20 --------

4 -------- -------- 20 10

5 -------- -------- -------- 13.33

Then, the possible alternatives are formed, as shown in table 5. It is found that the number of
the obtained optimum values for each state variable is two. The number of the state variables
for all stages is four. Thus, the number of the alternatives (representing the possible solutions
4
for the model) is (2) = 16.

Table 5: Possible alternatives by simplified approach.

Alternative No. The State Variables Notes
S1 S2 S3 S4
1 0 10 20 13.33
2 0 10 20 10
3 0 10 20 13.33 ~ Alt.1
4 0 10 20 10 ~ Alt.2
5 0 20 20 13.33
6 0 20 20 10
7 0 20 20 13.33 ~ Alt.5
8 0 20 20 10 ~ Alt.6
9 10 10 20 13.33
10 10 10 20 10
11 10 10 20 13.33 ~ Alt.9
12 10 10 20 10 ~ Alt.10
13 10 20 20 13.33
14 10 20 20 10
15 10 20 20 13.33 ~ Alt.13
16 10 20 20 10 ~ Alt.14

6
It can be noticed that some alternatives are similar. However, table 6 includes the available
16 alternatives for the different values of the variables obtained from the local optimum
solutions for all stages. This table includes also both the constraints existed in all stages and
the total objective function (the sum of all costs for all stages, C1-5).

Table 6: Alternatives by simplified approach. (Contd.)

Alter. State Variables
No. S1 S2 S3 S4 R1 R2 R3 R4 R5

1 &3 0 10 20 13.33 20 26.67 26.67 10 26.67

2 &4 0 10 20 10 20 26.67 26.67 10 26.67

5 &7 0 20 20 13.33 20 26.67 26.67 10 26.67

6 &8 0 20 20 10 20 26.67 26.67 10 26.67

9 & 11 10 10 20 13.33 26.67 26.67 26.67 10 26.67

10&12 10 10 20 10 26.67 26.67 26.67 10 26.67

13&15 10 20 20 13.33 26.67 26.67 26.67 10 26.67

14&16 10 20 20 10 26.67 26.67 26.67 10 26.67

Table 6: Alternatives by simplified approach. (Contd.)

Alter. Con.1 Con.2 Con.3 Con.4
O1 O2 O3 O4 O5 R1+O1 R1+O1- R2+O2 R2+O2+
No. ≥ 20 S1 = 20 ≥ 30 S1-S2=
≤ 40 ≤ 50 30
1 &3 0 13.33 23.33 3.33 0 20 20 40 30

2 &4 0 13.33 23.33 0 3.33 20 20 40 30

5 &7 0 13.33 13.33 3.33 0 20 20 40 20

6 &8 0 13.33 13.33 0 3.33 20 20 40 20

9 & 11 3.33 3.33 23.33 3.33 0 30 20 30 30

10&12 3.33 3.33 23.33 0 3.33 30 20 30 30

13&15 3.33 3.33 13.33 3.33 0 30 20 30 20

14&16 3.33 3.33 13.33 0 3.33 30 20 30 20

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 Table 6: Alternatives by simplified approach. (Contd.)
Alter. Con.5 Con.6 Con.7 Con.8 Con.9 Con.10 Total Alter.
R3+O3 R3+O3+ R4+O4 R4+O4+ R5+O5 R5+O5+ Cost No.
No. ≥ 40 S2-S3 = ≤ 10 S3-S4 = ≤ 30 S4=40 C 1-5 After
≤ 50 40 20 Ranking
1 &3 50 40 13.33 20 26.67 40 24583 6

2 &4 50 40 10 20 30 40 24516 5

5 &7 40 40 13.33 20 26.67 40 23083 2

6 &8 40 40 10 20 30 40 23016 1

9 & 11 50 40 13.33 20 26.67 40 24650 8

10&12 50 40 10 20 30 40 24583 7

13&15 40 40 13.33 20 26.67 40 23150 4

14&16 40 40 10 20 30 40 23083 3

From the previous table, it is noted that the available 16 alternatives are ranked in an
ascending order according to the values of the total objective function (the total cost, C1-5) in
the last column. Also, there are 12 alternatives do not satisfy the shaded constraints.
However, it is obvious that the first option is one of the two alternatives no.6 or no.8. These
two alternatives are associated with the minimum total cost of 23016, but they do not satisfy
all constraints for all stages. The constraint no.4 is not satisfied. To satisfy this constraint, it is
found that the value of O2 must be 23.33 instead of 13.33. Thus, the total cost will not be the
minimum cost. So, this modified alternative is excluded.

The next alternative is considered. There are two next options (no.2 and no.3) that are
associated with the same total cost. For the option no.2 (including the two alternatives no.5
and no.7), the two constraints no.4 and no.7 are not satisfied. A modified alternative can not
be formed to satisfy the constraint no.7. Thus, the option no.2 is excluded.

For the option no.3 (including the two alternatives no.14 and no.16), the constraint no.4 is not
satisfied. Similarly to the case of the option no.1, a modified alternative can be obtained
changing the value of O2. Also, the modified alternative is no longer associated with
minimum objective function (C1-5). Thus, this modified alternative is excluded.

The next alternative is considered, that is the option no.4. Similar to the case of the option
no.2, this option no.4 does not satisfy the two constraints no.4 and no.7. A modified
alternative can not be formed to satisfy the constraint no.7. Thus, the option no.2 is excluded.

The next option is the option no.5. This option includes the two alternatives no.2 and no.4.
This option satisfies all constraints for all stages and is associated with minimum objective

8
function (the total cost, C1-5). So, this option is the required optimum solution. That is the
two alternatives no.2 and no.4 are the optimum solutions for this model.

SECOND MODEL

It is a water quality model that represents a river subject to pollution. The objective function
is to minimize the cost of treatment processes required to maintain the permissible water
quality levels at all points in the river. The model consists of four locations (L, A, B and C)
along a river. The two locations L and C have to treat the waste water before discharging into
the river. While the two locations A and B have to treat water twice. The first treatment
process is provided for the water supply taken from the river before pumping for various
purposes. The second treatment process is provided for the waste water before discharging
into the river.

The model is divided into six stages according to the dynamic programming. The stage no.1
concerns the location C. The stage no.2 concerns the section of the river between the two
locations C and B. The stage no.3 concerns the location B. The stage no.4 concerns the
section of the river between the two locations B and A. The stage no.5 concerns the location
A. The stage no.6 concerns the location L, which is very close to the location A.

Also, there is a natural reduction of pollutants through the river between both the two
locations A & B and the two locations B & C. So, the treatment costs for the two stages no.2
and no.4 are equal to zero. However, the data for this model is summarized in table 7. Each
stage of the model is composed of an objective function subject to some constraints, as shown
in table 8. The optimum solution obtained by applying the ordinary recursive dynamic
programming is illustrated in table 9. Then the simplified approach is applied to the model,
obtaining local optimum solution for each stage by the PC software (Microsoft Excel, the
Solver tool), as shown in table 10.

Table 7: Data for the second model.

Stage Location Discharge Upstr. Pollutant Pollutant Treatment
No. (l/sec) Concentration in Removed Cost (LE/g
River (g/l) (g/sec) removed)
1 Waste treatment
for C QC=10 LCo TC CC=0.85
2 River between Natural
C and B Q=100 LRc --- treatment
3 Waste treatment
for B QB=20 LBo TB CB=0.75
Water supply
treatment for B TBo CBo=1.6
4 River between Natural
B and A Q=100 LRe --- treatment
5 Waste treatment
for A QA=10 LAo TA CA=0.85
Water supply
treatment for A TAo CAo=1.7
6 Waste treatment LRg = 0
for L QL0 (River is clean.) TL CL=4

9
 Table 8: The second model.

Stage No. Objective Function Constraints

1 C1 = 85 LCo + 0.077095 LCo  0.00022

TC (= 100 LCo + 0.0907)  0.125

2 C2 = 0 LRc = LCo / 0.7

3 C3 = 92 LBo - 75 LRc + 0.186951 LCo  0.00022

LBo  0.00025
TBo (= 20 LBo - 0.000624)  0.005
TB (= 80 LBo - 142.85714 LCo +
0.2506)  0.2506

4 C4 = 0 LRe = LBo / 0.8

5 C5 = 93.5 LAo - 85 LRe + 0.105974 LBo  0.00025

LAo  0.000312
TAo (= 10 LAo - 0.000312) 
0.00312
TA (= 90 LAo - 125 LBo + 0.1253) 
0.1253

6 C6 = 0.08 - 400 LAo LAo  0.0002

Table 9: Optimum solution by the ordinary recursive dynamic programming.

The Variable Optimum Value
LCo 0.0002

LBo 0.0002

LAo 0.0002

Minimum Cost, C1-6 0.3921

Table 10: Local optimum solution for state variables by simplified approach.
Stage
No. LCo LBo LAo Cost
1 0 ------- ------- C1 = 0.077095
3 0.00022 3.1E-05 ------- C3 = 0.166250
5 ------- 0.00025 3.1E-05 C5 = 0.082329
6 ------- ------- 0.0002 C6 = 0

10
Then, the possible alternatives are formed, as shown in table 11. It is found that the number
of the obtained optimum values for each state variable is two. The number of the state
variables for all stages is three. Thus, the number of the alternatives (representing the possible
3
solutions for the model) is (2) = 8. Table 12 includes the available 8 alternatives for the
different values of the variables obtained from the local optimum solutions for all stages. This
table includes also both the constraints existed in all stages and the total objective function
(the sum of all costs for all stages, C1-6).

Table 11: Possible alternatives by simplified approach.

Alternative No. The State Variables
LCo LBo LAo
1 0.00022 0.00025 0.0002
2 0.00022 0.00025 3.1E-05
3 0.00022 3.1E-05 0.0002
4 0.00022 3.1E-05 3.1E-05
5 0 0.00025 0.0002
6 0 0.00025 3.1E-05
7 0 3.1E-05 0.0002
8 0 3.1E-05 3.1E-05

Table 12: Alternatives by simplified approach. (Contd.)

Constraint 1 Constraint 2 Constraint 3
Alter. LCo LBo LAo TC TBo TB
No.  0.125  0.005  0.2506
1 0.00022 0.00025 0.0002 0.1127 0.004376 0.239171
2 0.00022 0.00025 3.1E-05 0.1127 0.004376 0.239171
3 0.00022 3.1E-05 0.0002 0.1127 0 0.221667
4 0.00022 3.1E-05 3.1E-05 0.1127 0 0.221667
5 0 0.00025 0.0002 0.0907 0.004376 0.2706
6 0 0.00025 3.1E-05 0.0907 0.004376 0.2706
7 0 3.1E-05 0.0002 0.0907 0 0.253096
8 0 3.1E-05 3.1E-05 0.0907 0 0.253096

Table 12: Alternatives by simplified approach. (Contd.)

Constraint 4 Constraint 5 Alternative no.
Alter. TAo TA Cost After
No.  0.00312  0.1253 C1-6 Ranking
1 0.00169 0.11205 0.380287 1
2 0 0.09686 0.432024 5
3 0.00169 0.1394 0.383405 2
4 0 0.12421 0.435142 6
5 0.00169 0.11205 0.385159 3
6 0 0.09686 0.436896 7
7 0.00169 0.1394 0.388277 4
8 0 0.12421 0.440014 8

From the previous table, it is obvious that the alternative no.1 is associated with minimum
total cost (C1-6). Also, it satisfies all constraints for all stages. Thus, this alternative is the
optimum solution for the second model.

11
DISCUSSION OF RESULTS

The optimum solutions for the two models are compared, as illustrated in table 13. From the
obtained results, it is obvious that the simplified approach has the least values for the costs, as
shown in figures 2 and 3. The dynamic programming obtains higher values for the costs. That
may be because the accuracy of the obtained results depends on the intervals taken between
the assumed values for the different variables of the models.

Table 13: Comparison between the obtained optimum solutions for the two models.

First Model Second Model

Dynamic Simplified Dynamic Simplified

Programming Approach Programming Approach
S1 0 0 LCo 0.0002 0.00022
S2 10 10
S3 20 20 LBo 0.0002 0.00025
S4 10 10
R1 18 20 LAo 0.0002 0.0002
R2 26 26.67
R3 26 26.67 Cost 0.3921 0.380287
R4 6 10
R5 26 26.67
O1 2 0
O2 14 13.33
O3 24 23.33
O4 4 0
O5 4 3.33
Cost 24700 24516

Figure 2: Total costs for the first model.

24750 24700
24700
24650
L.E.

24600
24550 24516
24500
24450
24400
Dynamic Simplified

Programming Approach
First Model

12
 Figure 3: Total costs for the second model.

0.395 0.3921
0.39
L.E./sec

0.385 0.380287
0.38
0.375
0.37
Dynamic Simplified

Programming Approach
Second Model

Also, it can be noted from the last table that the state variables were the same for the first
model, but the state variables for the second model were different. For the two models, the
obtained optimum total costs were associated with the simplified approach.

CONCLUSIONS AND RECOMMENDATIONS

It is concluded that the simplified approach is an effective tool for optimization. It is simple
and easy procedure for optimizing many problems, even if the problem is classified as a
complex system. Also, dividing the system into sequential stages by dynamic programming
makes the problem much easy, clear, understood and manageable. A widely used traditional
PC software, which is Microsoft Excel, was used to solve this approach. This enables many
non-technicians involved into environmental policies to manage easily such problems.

Using the linear programming for obtaining the optimum solution for each stage guarantees
achieving the global optimum for each stage of the model. A sensitivity analysis is formed
automatically when the alternatives of the simplified approach are formulated. Each
alternative includes the optimum values for the different variables associated with the
minimum costs.

It is recommended to provide more study for the developed simplified approach. Also, it is
recommended to investigate the application of the developed simplified approach to the
problems associated with objective functions that are to be maximized.

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