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Ch13 - NLP,DP,GP2005

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Ch13 - NLP,DP,GP2005

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Nonlinear Models:

Dynamic, Goal and

Nonlinear Programming

Programming

Most real-life situations are more

accurately depicted by nonlinear

models than by linear models.

Nonlinear models formulated in this

chapter fall into three broad categories:

Goal programming models (GP).

General nonlinear programming models

(NLP).

of as multistage problems, in which decisions are

made in sequence.

business:

Resource allocation,

Equipment replacement,

Reliability.

state.

stage n+1, and leaves it in a new state for a stagestate related cost/profit.

optimal decisions for the entire process.

In real life decision situations, virtually all

problems have several objectives.

When objectives are conflicting, the

optimal decision is not obvious.

Goal programming is an approach that

seeks to simultaneously take into account

several objectives.

aspiration is stated.

reached as close as possible to their aspiration level, while

satisfying a set of constraints.

dominate any other goal.

Preemtive goal programming - goals are assigned different priority

levels. Level 1 goal dominates level 2 goal, and so on.

which the objective function, F, and or one or more

constraint functions, Gi, possess nonlinear terms.

optimal solution to every NLP.

can be solved by algorithms that are guaranteed to

converge to the optimal solution.

7

Problems

The objective is to maximize a concave

function or to minimize a convex function.

The set of constraints form a convex set.

Function

discontinuities)

One global maximum (minimum).

A line drawn between any two points on the

curve of the function will lie below (above) the

curve or on the curve.

X

A convex function

A Concave function

convex function

10

Convex Sets

If a straight line that joins any two points in

the set lies within the set, then the set is

called a convex set.

Convex set

Non-convex set

11

the less than or equal to form G i(X) B.

of constraints forms a convex set.

12

Types of NLP

Constrained

Unconstrained

13

Dynamic Programming

US Department of Labour

Goal Programming

Advertisement example

Non Linear Programming

Toshi Camera

PBI

14

(example for a dynamic

programming problem)

15

$5 million available to the city of Houston for job

creation.

Requests for funding are to be prepared by four

departments.

The Department of Labor would like to allocate

funds to maximize the number of jobs created.

16

Data

Estimated new jobs created for proposal

Department

Department

Housinng

Housinng

Employment

Employment

Highway

Highway

Law

Law Enforcement

Enforcement

Cost

Cost $$ millions

millions Jobs

Jobs Created

Created

44

225

225

11

45

45

22

125

125

33

190

190

50

50 jobs

jobs per

per $1

$1 million

million funding

funding

22

75

75

33

155

155

44

220

220

17

SOLUTION

department

18

SOLUTION

Notation

Dj = the amount allocated to department j, where j is:

1 - housing, 2 - Employment, 3 - Highway, 4 - Law Enforcement.

R(Dj) = the number of new jobs created by funding department j with

$Dj million.

The model

Non-linear functions

ST

D1 + D2 + D3 + D4 <= 5

D1, D2, D3 , D4 >= 0

19

jobs created by departments (stages) j, j+1,

, 4, given that there is $Xj million in funding

available for departments j (state) through 4.

20

department, LED).

Allocate to this department funds that maximize the

number of new jobs created

Obviously, the optimal solution for the last department

is to use all the amount available at this stage).

The optimal solution for the last stage is called The

boundary condition

21

SOLUTION

Recall

Law

LawEnforcement

Enforcement

States

Cost

Cost

22

33

44

Jobs

Jobs

7575

155

155

220

220

Available

Available Optimal

Optimal Funding

Funding Maximum

Maximum jobs

jobs

Funding

F4(X4)

Funding For

For Stage

Stage 44

F4(X4)

00

00

00

11

00

00

22

22

75

75

33

33

155

155

44

44

220

220

55

55

220

220

22

SOLUTION

Highway department and the Law Enforcement

department.

For a given amount of funds available for funding of

these two departments, the decision regarding the

funds allocated to the HD affects the funds available

for the LED).

23

SOLUTION

Stage 3: The Highway Department table

Available

Funding

for Stage 3,4

(X3)

0

1

2

Possible

Funding

for Stage 3

(D3)

0

0

1

0

1

2

0

1

2

3

Remaining

Funds for

Stage 4

(X3-D3)

0

1

0

2

1

0

3

2

1

0

When Allocating

D3 to Stage 3

Optimal D3

R3(D3)+F4(X3-D3)

0+0

F3(0) = 0; D3(0) = 0

0+0

50+0 = 50

F3(1) = 50; D3 = 1

0+75 = 75

50+0 = 50

100+0

F3(3) = 100; D3 = 2

0+155 = 155

50+75 = 125

100+0 = 100

150+0 = 150

F3(3) = 155; D3 = 0

24

SOLUTION

Stage 3: The Highway Department table

Available

Funding

for Stage 3,4

(X3)

Possible

Funding

for Stage 3

(D3)

0

1

2

3

4

0

1

2

3

4

5

Remaining

Funds for

Stage 4

(X3-D3)

4

3

2

1

0

5

4

3

2

1

0

When Allocating

D3 to Stage 3

Optimal D3

R3(D3)+F4(X3-D3)

0+220 = 220

50+155 = 205

100+75 = 175

150+ 0 = 150

200+ 0 = 220 F3(4) = 220; D3 = 0

0+220 = 220

50+220 = 270

100+155 = 255

150+75 = 225

200+0 = 200

250+0 = 250 F3(5) = 270; D3 = 1

25

SOLUTION

Employment Department and the previous

departments (HD and the LED)

for funding of these three departments), the

decision regarding the funds allocated to the ED

affects the funds available for the HD and LED.

(the state at the stage j=3)

26

SOLUTION

Funding

Funding

Funds for

for Stage 2,3,4 for Stage 2 Stage 3,4

(X2)

(D2)

(X2-D2)

0

1

2

3

0

0

1

0

1

2

0

1

2

3

0

1

2

3

0

1

2

3

0

1

0

2

1

0

3

2

1

0

4

3

2

1

5

4

3

2

When Allocating

D2 to Stage 2

Optimal D2

R2(D2)+F3(X2-X2)

0+0

0+50 = 50

45+0 = 45

0+100 = 100

45+50 = 95

125+0 = 125

0+155 = 155

45+100 = 145

125+50 = 175

190+0 = 190

0+220 = 220

45+155 = 195

125+100 = 225

190+50 = 240

0+270 = 270

45+220 = 265

125+155 = 280

190+100 = 290

F2(0) = 0; D2 = 0

F2(1) = 50; D2 = 0

F2(2) = 125; D2 = 2

F2(3) = 190; D2 = 3

F2(4) = 240; D2 = 3

F2(5) = 290; D2 = 3

27

SOLUTION

Housing Department and all previous

departments.

million to allocate

(X1 = 5).

28

SOLUTION

only one proposal of $4 million, thus

(D1 = 0, 4).

Do not fund

Available

Possible

Funding

Funding

for Stage 1,2,3,4 for Stage 1

(X1)

(D1)

5

0

4

Remaining

Funds for

Stage 2,3,4

(X1-D1)

5

1

Optimal F1(X1)

When Allocating

D3 to Stage 3

Optimal D1

R1(D1)+F2(X1-D1)

0+290 = 290

225+50 = 275

F1(5) = 290; D1 = 0

29

SOLUTION

Stage

1

2

3

4

D2 = 0

D3 = 0

D4 = 0

D2 = 0

D3 = 1

D4 = 1

State

2

D2 = 2

D3 = 2

D4 = 2

D2 = 3

D3 = 0

D4 = 3

D2 = 3

D3 = 0

D4 = 4

5

D1 = 0

D2 = 3

D3 = 1

D4 = 5

In

In summary,

summary, the

the optimal

optimal funds

funds allocation

allocation

to

to maximize

maximize the

the number

number of

of jobs

jobs created

created is:

is:

Housing

Housing

Employment

Employment

Highways

Highways

Law

Law Enforcement

Enforcement

Maximum

Maximum number

number of

of jobs

jobs created

created == 290

290

== $0

$0

== $3

$3 million

million

== $2

$2 million

million

== $0

$0

30

Stage Variable

State Variable

Notation

j

Xj

Decision Variable

Dj

Rj(Dj)

Optimal Value

Fj(Xj)

Boundary Condition

F(XN)

Optimal Solution

Value

F1(T)

Description

A decision point

The amount of resource

left to be allocated

A possible decision

at stage j

The stage return for

making decision Dj

The best cumulative

return for stages j and

remaining stages at state Xj.

A set of optimal values

for the last stage (N)

The best cumulative

return

Example

The four departments

Funds left to allocate

to departments

Funds that could have

been give to department j

Number of jobs created

at department j if funding Dj

Maximum number of new

jobs created for dept j,,4.

The new jobs created from

funding Dept 4 with $X4 million.

The maximum total number

of new jobs given $Tmillion to

allocate to all departments

31

From a given state at a given stage, the optimal solution for the

remainder of the process is independent of any previous

decisions made to that point.

the U.S. Department of Labor problem.

Define Fj(Xj) as the maximum number of new jobs created by

departments (stages) j, j+1,, 4, given that there is $X j million

in funding available for departments j (state) through 4.

all feasible Xj

32

problem to problem, but the general idea is the

same:

stages with the remaining resources

available.

33

An Advertisement Example

(Goal Programming)

would have:

3000X1 + 800X2 + 250X3 25,000

1000X1 + 500X2 + 200X3 30,000

X1

10

the constraints.

When these constraints are simply goals they

are to be reached as close as possible.

34

An Advertisement Example

Detrimental variables

Ui = the amount by which the left hand side

falls short of (under) its right had side

value.

Ei = the amount by which the left side

exceeds its right had side value.

3000X1 + 800X2 + 250X3 + U1 E1 = 25,000

1000X1 + 500X2 + 200X3 + U2 E2 = 30,000

X1

+ U3 E3 = 10

35

An Advertisement Example

not meeting the goals, represented by the

detrimental variables

E1, U2, U3.

25,000

30,000

10

36

An Advertisement Example

$25,000 cost the company $1.

customer not being reached, below the goal of

30,000.

each dollar over budget.

37

An Advertisement Example

The goal programming model

overachieving a goal.

Minimize 1E1 + 5U2 + 100U3

s.t.

3000X1 + 800X2 + 250X3 + U1 E1 = 25,000

1000X1 + 500X2 + 200X3 + U2 E2 = 30,000

X1

+ U3 E3 = 10

All variables are non-negative.

38

Subject to

Expresion of the goal Equation

Functional Constraint

Non Negativity Constraint

Minimize

ST

E1 + 5U2 +100 U3

=25000

1000X1 + 500 X2 + 200 X3

+U2 E2

= 30000

X1

+U3 E3=10

39

7 Goals

2 in priority level 1

3 in priority level 2

2 in priority level 3

Detrimental deviation

Weights

W1, W2

W3,W4,W5

W6, W7

Level 1 Goals

Level 2 Goals

Level 3 Goals

40

(Problem Formulation)

Priority 1 Minimize

ST

Priority 2 Minimize

ST

Priority 2 Minimize

ST

W1E1 + W2U2

Goal Equation

Functional Constraint

Non Negativity Constraint

W3E3 + W4U4 + W5E5

Goal Equation

Functional Constraint

W1E1 + W2U2 = V1 (new Constraint)

Non Negativity Constraint

W6U6 + W7E7

Goal Equation

Functional Constraint

W1E1 + W2U2 = V1

W3E3 + W4U4 + W5E5 = V2 (New Constraint)

Non Negativity Constraint

41

its two bicycles B2 and S10.

Data

2000 seats are available; 2400 tires are available.

1000 gear assembly are available (used only in the

S10 model).

Production time per unit: 2 hours for B2; 3 hours for

S10.

Profit: $40 for each B2; 10$ for each S10.

42

400 B2 bicycles to be delivered

next month.

1000 total bicycles during

the month.

Priority 3:

Achieve at least

$100,000 profit for the

month.

Use no more than 1600

labor-hours during the

month.

Priority 4:

At least 200 tires left

over at the end of the

month.

At least 100 gear

assemblies left over at

the end of the month.

43

production schedule that best meets its

prioritized schedule.

44

NECC - SOLUTION

Decision variables

X1 = The number of B2s to be produced next month

X2 = The number of S10s to be produced next month

2X 1 X 2 2000

X 2 1000

2X 1 2X 2 2400

Seats

Gear assemblies

Tires

X 1 ,X 2 0

45

NECC - SOLUTION

Goal constraints

Priority 1 (goal 1): Production of at least 400 B2s

X1

+ U1 - E1 = 400

Priority 2 (goal 2): Production of at least 1000 total cycles

X1 +

X2

+ U2 - E2 = 1000

Priority 3 (goal 3) Profit of at least $100,000

.04X1 + .10X2 + U3 - E3 = 100 (in $1000)

Priority 3 (goal 4) Use a maximum of 1600 labor hours

2X1 + 3X2 + U4 - E4 = 1600

Priority 4 (goal 5) At least 200 leftover tires

2X1 + 2X2 + U5 - E5 = 2200

Priority 4 (goal 6) At least 100 leftover gear assembly

X2

+ U6 - E6 = 900

46

NECC - SOLUTION

Priority 1: Underachieving a production of 400 B2s:

Minimize U1

Priority 2: Underachieving a total production of 1000:

Minimize U2

47

NECC - SOLUTION

more than 1600 labor-hours

Minimize 30U3 + E4

Using

30 times as important as utilizing an extra labor-hour.

48

NECC - SOLUTION

Priority 4: Using more than 2200 tires

Using more than 900 gear assemblies

Minimize E5 + 2E6

Each leftover gear assembly is deemed

twice as important as leftover tire.

49

the set of regular constraints and goal constraint as shown

Minimize U1

below

ST

X1 = 400, thus

U1 = 0, and

priority 1 goal is

fully achieved.

2X 1 X 2 2000

Seats

X 2 1000

Gear

2X 1 2X 2 2400

Tires

X1 + U1 - E1 = 400

50

Solve the linear goal programming for priority 2 level objective,

under the set of original constraints plus the constraint X1 400

(maintain the level of achievement of the priority 1 goal).

Minimize U2

ST

Every point that

2X 1 X 2 2000

Seats

satisfies X1 + X2

X 2 1000

Gear

1000 yields U2 = 0,

and therefore,

2X 1 2X 2 2400

Tires

priority 2 goal is fully

achieved.

X1

400

X1 + X2 + U2 - E2 = 1000

51

level objective, under the set of original constraints

plus the constraint X1 400 (maintain the level of

achievement of the priority 1 goal), plus the

constraint X1 + X2 1000 (maintain the level of

achievement of the priority 2 goal).

Every point in the range X1 = 400 and 600 X2 800 is

optimal for this model; 30U3 + E4 = 1720 is the level of

achievement for the priority 3 goal.

52

level objective, and notice that after the previous

step the feasible region is reduced to a segment of

a straight line between the points (400,600) and

(400,800).

X1 =400; 600 X2 700 and E5 + 2E6 = 0

53

400 B2 model

Between 600 and 700 S10 model

54

Unconstraint Models

Single Variable

Necessary & Sufficient Conditions (df/dx = 0 , D2f/dx2 <> 0))

Multi Variable

Partial Derivative

Constraint Models

Single Variable

Shadow price

Optimality Criteria

Multi Variable

Kuhn Tucker Condition

55

Programming

demonstrated by the Toshi Camera

problem.

demand for an item and its value (price)

are utilized in this problem.

56

unconstrained NLP)

developed a new product, the Zoomcam.

It is believed that demand

for the initial product will

be linearly related to the

price.

Price

P ($)

100

150

200

250

300

350

Estimated

Demand (X)

350,000

300,000

250,000

200,000

150,000

100,000

57

TOSHI CAMERA

What is the production quantity that

maximizes the total profit from the initial

production run?

SOLUTION

Total profit = Revenue - Production cost

F(X) = PX - 50X

58

TOSHI CAMERA

From the Price / Demand table it can be verified

that P = 450 - .001X

The Profit function becomes

F(X) = (450 - .001X)X = 400X - .001X2

400,000

59

TOSHI CAMERA

two conditions must be satisfied:

A sufficient condition d2F/dX2 < 0.

dF/dX = 400 - 2(.001)X = 0; X = 200,000.

d2F/dX2 = -.002.

The profit is F(200,000) = $40,000,000.

60

functions with one variable

If a function is known to be concave or

convex at all points, the following condition is

both a necessary and sufficient condition for

optimality:

The point X* gives the maximum value for a

concave function, or the minimum value for a

convex function, F(X), if at X*

dF/dX = 0

61

functions with more than one variable

Determining whether or not a multivariate

function is concave or convex requires analysis

of the second derivatives of the function.

A point X* is optimal for a concave (convex)

function if all its partial derivatives are equal to

zero at X*.

For example, in the three variable case:

FF11

0;

XX11 0;

FF22

0;

XX22 0;

FF33

0;

XX33 0;

62

Programming Problems one variable

problem is a segment on a straight line

(X a or X b).

the optimal solution must not be at an

extreme point.

63

optimal production level from among the

following three alternatives:

150,000 X 300,000

50,000 X 175,000

150,000 X 350,000

64

The objective function does not change: Maximize F(X) = 400X - .001X2

X 150,000

X 300,000

150

X 50,000

X 175,000

400

50

175

X*=200,000

400

X* = 175,000

X* = 250,000

X 250,000

X 350,000

400

65

Problems m variables

MaximizeF( X1,X 2 , ..., Xn )

ST

G1(X1, X 2 , ..., Xn ) B1

G2(X1, X 2 , ..., Xn ) B 2

.

Let us define Y1, Y2, ,Ym

.

as the instantaneous improvement

.

in the value of F for one unit

Gm(X1, X 2 , ..., Xn ) Bm

increase in B1, B2, Bm

respectively.

66

most nonlinear problems.

If the problem is convex, the K-T conditions are also

sufficient for a point X* to be optimal.

are defined as

the slack variables

in each constraint.

1. X * isfeasible.

2. Y1, Y2 , ..., Ym 0

3.Y1S1 0, Y2 S 2 0,..., Ym Sm 0

4.F

Y G2

... Ym Gm

Y1 G1

X1

X1

X

Xm

.

.

.

F

Y 2 G2

... Y Gm

Y1 G1

m

Xn

X1

X 2

Xm

67

PBI INDUSTRIES

schedule for its two CD players during the month

of April.

Data

number of portable CDs)(the number of deluxe CDs).

68

PBI INDUSTRIES

each CD player is related to the number of

units sold as follows:

Deluxe CD player unit price = 350 - .02X2

69

PBI INDUSTRIES

Resource usage

electrical component, and .1 labor hour.

Each deluxe CD player uses 2 units of the

electrical component, and .3 labor hour.

Resource availabilty

1,500 labor hours.

70

Decision variables

X1 - the number of portable CD players to produce

X2 - the number of deluxe CD players to produce

The model

Max (150-.01X1)X1+ (350-.02X2)X2 - 50X1- 90X2-.01X1X2 =

-.01X12 .02 X 2 2 .01X1X2 100 X1 260 X2

ST

X1 2 X 2 10,000

.1X1 +.3X2 1,500

- X1

0

X2

0

Resource constraints

Production cannot be negative

71

Y1S1 = 0; Y2S2 = 0; Y3S3 = 0; Y4S4 = 0, and

Y 4 G 4

Y G2

Y G3

Y1 G1

2

3

X1

X

1

1

1

1

or

.02 X1 .01X 2 100 Y1(1) Y2 (.1) Y3 ( 1) Y4 (0)

F

Y G4

Y G2

Y G3

Y1 G1

2

3

4

X 2

X 2

X 2

X

2

2

or

.01X1 .04 X2 260 Y1(2) Y2 (.3) Y3 (0) Y4 ( 1)

72

Assume X1>0

A contradiction

Thus, Y3 = 0 and Y4 = 0.

X1== 00 and

From the first two constraints we have X1

X2 = 5000.

73

and S2 > 0.

Thus, Y3 = 0 and Y4 = 0.

From the second assumption Y2 = 0.

Substituting the values of all the Ys in the partial derivative

equations we get the following two equations:

-.02X1 - .01X2 + 100 = Y1

-.01X1 - .04X2 + 260 = 2Y1

Also, since S1 = 0 (by the second assumption)

X1 + 2X2 = 10,000

Solving the set of three equations in three unknowns we get:

74

X1 = 1000, X2 = 4500, Y1 = 35

X1 and X2 are positive.

1X1 + 2X2 <= 10,000

.1X1 + .3X2 <= 1,500

[.1(1000) + .3(4500) = 1450]

It can be shown that the objective function F is concave.

All the constraints are linear, thus, form a convex set.

75

PBI INDUSTRIES

April Production

Portable

1000

Deluxe

4500

Electrical Components

Labor Hours

Portable

1

0.1

Deluxe

2

0.3

Total Profit

810000

Used

10000

1450

Available

10000

1500

76

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