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NLP 2016 Intro

Non-Linear Programming (NLP) allows for nonlinear objective functions and/or constraints, unlike linear programming which assumes proportionality and additivity. NLP problems are more difficult to solve than linear programs due to the potential for multiple local optima. For an NLP problem to have a locally optimal solution that is also globally optimal, the objective function must be convex and the feasible region must be convex. Convex objective functions and linear constraints allow the problem to be solved.

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46 views

NLP 2016 Intro

Non-Linear Programming (NLP) allows for nonlinear objective functions and/or constraints, unlike linear programming which assumes proportionality and additivity. NLP problems are more difficult to solve than linear programs due to the potential for multiple local optima. For an NLP problem to have a locally optimal solution that is also globally optimal, the objective function must be convex and the feasible region must be convex. Convex objective functions and linear constraints allow the problem to be solved.

Uploaded by

LibyaFlower
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
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Non-Linear Programming

(NLP)

Linear Programming Model


Maximize c1 x1 c2 x2 ..... cn xn ASSUMPTIONS:
subject to
Proportionality Assumption
a11x1 + a12 x 2 + ... +a1n xn b1
Objective function

a 21x1 + a 22 x 2 + ... +a 2n xn b 2
am1 x1 + a m 2 x 2 + ... +amn xn b m
x1 , x2 , ..., xn 0

Constraints

Additivity Assumption
Objective function
Constraints

What is a non-linear program?


3 sin x + xy + y3 - 3z + log z
x2 + y2 = 1
x + 4z 2
z 0

maximize
Subject to

A non-linear program is permitted to have nonlinear constraints or objectives.

A linear program is a special case of non-linear


programming!
3

Non-linear Programs (NLP)


Let x x1 , x2 , , xn
Max

f ( x)
gi ( x) bi , i 1, 2, , m

Nonlinear objective function f(x) and/or Nonlinear


constraints gi(x).

Unconstrained Facility Location


This is the warehouse location problem with a single
warehouse that can be located anywhere in the plane.
Distances are Euclidean.
y

Location

Demand

14

A: (8,2)

19

B: (3,10)

10

C: (8,15)

D: (14,13)

C (2)

16

D (5)

12

(7)
B
P ?

6
4

P:

A (19)

2
0

x
0

10

12

14

16

An NLP

Costs proportional to distance;


known daily demands

d(P,A) =

( x 8) ( y 2)
2

d(P,D) =

( x 14)2 ( y 13)2

minimize

19 d(P,A) + + 5 d(P,D)

subject to: P is unconstrained

Here are the objective function


values for 55 different locations.

Objective Finction Value

350
300

x= 0

250

x= 2

200

x= 4

x= 6

150

x= 8

100

x = 10

50

x = 12

0
values for y

Facility Location. What happens if P


must be within a specified region?
y
16

(2)

14

D (5)

12

(7)

10
B

P ?

6
4

A (19)

2
0

x
0

10

12

14

16
8

The model
Minimize

19 ( x 8)2 ( y 2)2

5 ( x 14) ( y 13)
2

Subject to

+ +
2

x 7
5 y 11
x + y 24

Some comments on non-linear


models

The fact that non-linear models can model so


much is perhaps a bad sign
How can we solve non-linear programs if we have
trouble with integer programs?
Recall, in solving integer programs we use techniques
that rely on the integrality.

Fact: some non-linear models can be solved, and


others are WAY too difficult to solve.

10

Nonlinear Programming Theory

11

Difficulties with NLP Models


Linear
Program:

Nonlinear
Programs:

12

Graphical Analysis of Non-linear programs


in two dimensions - An example:

Minimize
subject to

( x 14)2 ( y 15)2
(x - 8)2
x
x
x +y

+ (y - 9)2 49
2
13
24

13

Where is the optimal solution?


Note: the optimal
solution is not at a
corner point.
It is where the isocontour first hits the
feasible region.

y
18
16
14
12
10
8

6
4
2
0

x
0

10 12 14 16 18

14

Local vs. Global Optima


Defn: Let x be a feasible solution, then
x is a global max if f(x) f(y) for every feasible y.
x is a local max if f(x) f(y) for every feasible y
sufficiently close to x (i.e., xj-eyj xj+ e for all j and
some small e).
z

C
B

z = f(x)

max f(x)
s.t. 0 x 1

x
1

There may be several locally optimal solutions.

15

When is a locally optimal solution


also globally optimal?

For minimization problems


The objective function is convex.
The feasible region is convex.

16

Convexity and Extreme Points


We say that a set S is convex, if for every
two points x and y in S, and for every real
number l in [0,1], lx + (1-l)y e S.

P
14
12

The feasible region of a


linear program is convex.

10
8

We say that an element w e S is an


extreme point (vertex, corner point), if w
is not the midpoint of any line segment
contained in S.

6
4

y
W
2

10

12

14

17

On convex feasible regions

If all constraints are linear, then the


feasible region is convex

18

On Convex Feasible Regions

The intersection of convex regions is


convex

19

Recognizing convex sets

Rule of thumb: suppose for all x, y S


the midpoint of x and y is in S. Then S is
convex.

(x+y)/2

It is convex if
the entire line
segment is
always in S.

S
20

Which are convex?

B C

B C

B C
21

Joining two points on a curve


The line segment joining two points on a curve. Let f( ) be a function, and let
g(ly+(1-lz)) = l f(y) + (1- l) f(z) for 0 l.

g(y) = f(y)
g(z) = f(z)
g(y/2 + z/2) = f(y)/2 + g(z)/2

f(x)
f(z)

g(x)

f(y)/2 +
f(z)/2
f(y)

x
y

(y+z)/2

22

Convex Functions
Convex Functions: f(l y + (1- l)z) l f(y) + (1- l)f(z)
for every y and z and for 0l.

e.g., l = 1/2

f(x)

f(y/2 + z/2) f(y)/2 + f(z)/2

We say strict
convexity if sign
Line joining any points is < for 0<l<.
is above the curve

f(z)
f(y)/2 +
f(z)/2
f(y)

x
y

(y+z)/2

23

Concave Functions
Concave Functions: f(l y + (1- l)z) l f(y) + (1- l)f(z)
for every y and z and for 0 l.
e.g., l = 1/2

f(y/2 + z/2) f(y)/2 + f(z)/2

We say strict
concavity if sign
is < for 0<l<.

Line joining any points


is below the curve
f(z)
f(y)/2 +
f(z)/2
f(y)

x
y

(y+z)/2

24

More on convex functions


f(x)

f(-x)

-x

If f(x) is convex,
then f(-x) is
convex.

25

More on convex functions


y

If f(x) is convex,
then K - f(x) is
concave.

26

More on convex functions


If f(x) is a twice differentiable function of one
variable, and if f(x) > 0 for all x, then f(x) is
convex.
10
9
8
7
6
5
4
3
2
1
0

f(x) = x2.
f(x) = 2x, f(x) = 2
-4

-3

-2

-1

3.5

2.5
2
1.5

f(x) = - ln(x) for x > 0

1
0.5
0

f(x) = -1/x,

f(x) =

1/x2

-0.5 0

0.5

1.5

2.5

-1
-1.5
-2

27

More on convex functions


If f(x) is convex and g(x) is convex,
then so is f(x) + g(x)

f(x)+g(x)

7
6
5
4
3
2
1

f(x)
-3

g(x)

0
-2

-1

3 28

More on convex functions


If f(x) is convex and g(x) is convex,
then so is max [f(x), g(x)]

max[f(x), g(x)]

7
6
5
4
3
2
1

f(x)
-3

g(x)

0
-2

-1

3 29

What functions are convex?

f(x) = 4x + 7

all linear functions

f(x) = 4x2 13

some quadratic functions

f(x) = ex

f(x) = 1/x for x > 0

f(x) = |x|

f(x) = - ln(x) for x > 0

30

Convex functions vs. convex sets


If y = f(x) is convex, then
{(x,y) : f(x) y} is a convex set

y
f(x)

31

Local Minimum Property

A local min of a convex function on a convex feasible


region is also a global min.

Strict convexity implies that the global minimum is


unique.

The following NLPs can be solved


Minimization Problems with a convex objective
function and linear constraints

32

Local minimum property


There is a unique local minimum for the function
below.

y
f(x)

The local
minimum is
a global
minimum
x

33

Local Maximum Property

A local max of a concave function on a convex


feasible region is also a global max.

Strict concavity implies that the global optimum is


unique.

Given this, the following NLPs can be solved


Maximization Problems with a concave objective
function and linear constraints

34

Local maximum property


There is a unique local maximum for the function
below.
y
The local
maximum is
a global
minimum

35

More on local optimality

The techniques for non-linear optimization


minimization usually find local optima.

This is useful when a locally optimal solution is a


globally optimal solution

It is not so useful in many situations.

Conclusion: if you solve an NLP, try to find out


how good the local optimal solutions are.

36

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