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Introduction

This document introduces a course on foundations of optimization that will cover topics such as linear programming, mathematical modeling, and algorithms for solving complex decision problems, providing an example of using linear programming to determine the optimal production levels that maximize profit given supply and demand constraints.

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Steve Yeo
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38 views

Introduction

This document introduces a course on foundations of optimization that will cover topics such as linear programming, mathematical modeling, and algorithms for solving complex decision problems, providing an example of using linear programming to determine the optimal production levels that maximize profit given supply and demand constraints.

Uploaded by

Steve Yeo
Copyright
© © All Rights Reserved
Available Formats
Download as PDF, TXT or read online on Scribd
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FOUNDATIONS OF OPTIMIZATION: IE6001

Introduction

Napat Rujeerapaiboon
Semester I, AY2019/2020
Course Information

• Lecturer: Napat Rujeerapaiboon


([email protected])
• Teaching assistant: Najakorn Khajonchotpanya
([email protected])
• Lecture slides are available on LumiNUS.
• In addition to mid-term (25%) and final (50%) exams, there
will be five assessed courseworks (5% each).
• Active participation is strongly encouraged!
What is Optimization?

Optimization is a multidisciplinary branch


of mathematics involving
• mathematical modelling,
• statistics and
• algorithms
in order to find “good” solutions for com-
plex decision problems.

Typical objectives in OR are:


• maximize profit, minimize cost, maximize bandwidth,
minimize risk, maximize efficiency, minimize completion
time etc.
Mathematical Programming

OR solves mathematical programming models:

minimize f (x)
subject to x ∈ X ,

where
• x ∈ Rn are the decision variables
• f : Rn → R is the objective function (e.g., cost)
• X ⊆ Rn is the feasible set (set of admissible decisions)
Linear Programming (LP)

Optimal Decision Tool


• Linear objective function
• Linear constraints (equalities and inequalities)

Amongst the most popular mathematical models:


85% of Fortune 500 firms said they use LP
Example 1

Manufacturer produces: A (acid) and C (caustic).


Ingredients used for producing A and C are: X and Y.

• Each ton of A requires: 2lb of X; 1lb of Y


• Each ton of C requires: 1lb of X ; 3lb of Y
• Supply of X limited to: 11lb/week
• Supply of Y limited to: 18lb/week
• A sells for: $1000/ton
• C sells for: $1000/ton

Market research: max 4 tons of A/week can be sold.


Maximize weekly value of sales of A and C.
Example 1 (MP Model)

How much A and C to produce?

⇒ Formulate a mathematical programming model!

• Decision variables
• x1 = weekly production of A (in tons)
• x2 = weekly production of C (in tons)
• Objective function
• f (x1 , x2 ) = weekly profit (in 1000 $)
• Feasible set
• X = set of all implementable/admissible production plans
x = (x1 , x2 )
• e.g., x = (27, 2) is not possible (not enough supply!)
Example 1 (Decision Variables)

A production plan is representable as x = (x1 , x2 )


Example 1 (Objective Function)

Profit: f (x1 , x2 ) = x1 + x2 (in 1000 $)


Example 1 (Feasible Set)

Amount of A produced is non-negative: x1 ≥ 0


Example 1 (Feasible Set)

Amount of C produced is non-negative: x2 ≥ 0


Example 1 (Feasible Set)

x1 tons of A & x2 tons of C require 2x1 + x2 lb of X


X is limited to 11lb/week: 2x1 + x2 ≤ 11
Example 1 (Feasible Set)

x1 tons of A & x2 tons of C require x1 + 3x2 lb of Y


Y is limited to 18lb/week: x1 + 3x2 ≤ 18
Example 1 (Feasible Set)

Cannot sell more than 4 tons of A/week: x1 ≤ 4


Example 1 (Feasible Set)

To obtain the overall feasible set,


intersect the feasible sets of all individual constraints
Example 1 (Feasible Set)

• The feasible set is a convex polygon

• The corners O,P,Q,R,S of the feasible set are termed


extreme points or vertices
• Each vertex is given by the intersection of two blue lines;
its coordinates can be computed by jointly solving the two
linear equations defining the blue lines
• We obtain O=(0,0), P=(0,6), Q=(3,5), R=(4,3), S=(4,0)
Example 1 (Summary)

The best production plan is obtained by solving the following


linear program:

maximize x1 + x2 : objective function


subject to 2x1 + x2 ≤ 11 : constraint on availability of X
x1 + 3x2 ≤ 18 : constraint on availability of Y
x1 ≤ 4 : constraint on demand of A
x1 , x2 ≥ 0 : non-negativity constraints
Example 1 (Graphical Solution)
Example 1 (Graphical Solution)

All feasible points satisfy f (x1 , x2 ) ≤ 8


Q is the only feasible point (x1 , x2 ) with f (x1 , x2 ) = 8
Linear Programming

• A Linear program (LP) is a mathematical program that


• optimizes (maximizes or minimizes) a linear objective
function
• over a polyhedral feasible set described by linear
equality/inequality constraints.
• The feasible set has finitely many vertices.
• One can prove that every LP (with a bounded nonempty
feasible set) has a vertex solution.

⇒ To solve the LP it is sufficient to examine only the vertices of


its feasible set!
Variants of Example 1

• minimize 3x1 − x2 over feasible set of Example 1

O=(0,0) P=(0,6) Q=(3,5) R=(4,3) S=(4,0)


0 -6 4 9 12

⇒ P: x1 = 0, x2 = 6 is optimal.

• maximize 2x1 + x2 over feasible set of Example 1:

Any point on the line segment QR is optimal.

⇒ points other than vertices can be optimal, but there is always


an optimal vertex
Simplex Algorithm

• The number of vertices of the feasible set is always finite,


but it is typically exponential in the problem dimensions.
• The Simplex Algorithm is an efficient method for finding an
optimal vertex without necessarily examining all vertices.

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