Engineering Optimization

Week 04- Session 05

Non Linear Programming
 Learning Outcome
1) To formulate the industrial problems into
nonlinear programming
2) To apply nonlinear programming in solving the
industrial problem
3) To interpret the nonlinear programming
results based on related problems.
Introduction to Non Linear
Programming
 Nonlinear Programming
(NLP)
• A key assumption of linear programming is that all
its functions (objective function and constraint
functions) are linear.
• Therefore, it often is necessary to deal directly with
nonlinear programming problems.
Application of Non Linear
Programming
 Sample Applications:
The Product-Mix Problem with Price
Elasticity
Fig. 12.1 Price-demand curve.
Fig. 12.2 Profit function.
The Transportation Problem with Volume
Discounts on Shipping Costs
Graphical Illustration of Nonlinear
Programming Problems
Fig. 12.5
Fig. 12.6
Fig. 12.7
Fig. 12.8
Fig. 12.9
Types of Non Linear
Programming
 Nonlinear programming problems come in many different
shapes and forms. Unlike the simplex method for linear
programming, no single algorithm can solve all these different
types of problems.
 Instead, algorithms have been developed for various
individual classes (special types) of nonlinear programming
problems. The most important classes are introduced briefly
in this section.
(a) Unconstrained Optimization
Unconstrained optimization problems have no constraints, so the
objective is simply to
Maximize f (x)
over all values of x (x1, x2, . . . , xn).
(b) Linearly Constrained Optimization
Linearly constrained optimization problems are characterized by
constraints that completely fit linear programming, so that all the
gi(x) constraint functions are linear, but the objective function f
(x) is nonlinear. The problem is considerably simplified by having
just one nonlinear function to take into account, along with a
linear programming feasible region.
(c) Quadratic Programming
Quadratic programming problems again have linear constraints,
but now the objective function f (x) must be quadratic. Thus, the
only difference between such a problem and a linear programming
problem is that some of the terms in the objective function involve
the square of a variable or the product of two variables.
(d) Convex Programming
Convex programming covers a broad class of problems that actually
encompasses as special cases all the preceding types when f(x) is a
concave function to be maximized.
1. f(x) is a concave function.
2. Each gi(x) is a convex function.
(e) Separable Programming
Separable programming is a special case of convex
programming, where the one additional assumption is that
3. All the f (x) and gi(x) functions are separable functions.
(f) Nonconvex Programming
Nonconvex programming encompasses all nonlinear
programming problems that do not satisfy the assumptions of
convex programming. Now, even if you are successful in finding
a local maximum, there is no assurance that it also will be a
global maximum.
(g) Geometric Programming
(h) Fractional Programming
(i) The Complementarity Problem
Optimization in Non Linear
Programming Problem
Fig. 12.10
Fig. 12.11
Fig. 12.12
Fig. 12.13
Fig. 12.14
Constrained
optimization
• focus on the question of how to recognize an optimal solution
for a nonlinear programming problem (with differentiable
functions). What are the necessary and (perhaps) sufficient
conditions that such a solution must satisfy?
• The conditions for the general case are called the Karush-
Kuhn-Tucker conditions (or KKT conditions), because they
were derived independently by Karush and by Kuhn and
Tucker.
Fig. 12.15
Fig. 12.16
Fig. 12.17
Case Study
Fig. 12.18
Fig. 12.19
Fig. 12.20
 Conclusion
• Practical optimization problems frequently
involve nonlinear behavior that must be taken
into account.
• A variety of algorithms that frequently perform
well are available for these cases.
• Research in nonlinear programming remains
very active.
 References
• Frederick S. Hillier and Gerald J. Lieberman.
(2010). Introduction to Operations Research.
Ninth Edition. Mc Graw Hill. New York. ISBN:
978-0-07-337629-5.
• Hamdy A. Taha. (2010). Operations Research: An
Introduction, Ninth Edition, Prentice Hall. ISBN-
10: 013255593X • ISBN-13: 9780132555937
• www.mhhe.com/hillier
Thank You