7 NLP
7 NLP
7 NLP
2
Possible Optimal Solutions to NLPs
(not occurring at corner points)
3
Possible Optimal Solutions to NLPs
(not occurring at corner points)
4
Possible Optimal Solutions to NLPs
(not occurring at corner points)
Nonlinear objective function
Nonlinear constraints
5
Possible Optimal Solutions to NLPs
(not occurring at corner points)
Nonlinear objective function
Nonlinear constraints
6
The GRG Algorithm
Solver uses the Generalized Reduced Gradient (GRG)
algorithm to solve NLPs.
GRG can also be used on LPs but is slower than the
Simplex method.
And it provides no sensitivity information.
The following discussion gives a general (but somewhat
imprecise) idea of how GRG works.
7
An NLP Solution Strategy
X2 C D
B E
objective function
level curves
Feasible
Region
A
(the starting point)
X1
8
Local vs. Global Optimal Solutions
X2
Local optimal solution
C
Local and global
F optimal solution
E
Feasible Region
G
B
A
D
X1
9
Local vs. Global Optimal Solution
Local optimal solution is a solution that is not worse than
its immediate neighboring feasible solutions.
Global optimal solution (true optimal solution) is a
solution that is not worse than any other feasible solution.
For NLPs, Solver always finds one of the local optimal
solutions, which may be much worse than the global
optimal solution.
Conclusion: Whenever possible, use LP models. Their
solutions are always globally optimal.
10
Comments About NLP Algorithms
11
Comments About Starting Points
The null starting point should be avoided.
When possible, it is best to use starting values of
approximately the same magnitude as the expected
optimal values.
12
A Note About “Optimal” Solutions
When solving a NLP problem, Solver normally stops
when the first of three numerical tests is satisfied, causing
one of the following three completion messages to appear:
13
A Note About “Optimal” Solutions
When solving a NLP problem, Solver normally stops
when the first of three numerical tests is satisfied, causing
one of the following three completion messages to appear:
14
A Note About “Optimal” Solutions
When solving a NLP problem, Solver normally stops
when the first of three numerical tests is satisfied, causing
one of the following three completion messages to appear:
16
Economic Order Quantity
40
30
20
10
0
0 1 2 3 4 5 6 7 8 9 10 11 12 Month
Inventory
60
Annual Usage = 150 Number of Orders = 6
50 Order Size = 25 Avg Inventory = 12.5
40
30
20
10
0
0 1 2 3 4 5 6 7 8 9 10 11 12 Month
18
The EOQ Model
D Q
Total Annual Cost = DC S C i
Q 2
Assumptions:
Demand (or use) is constant over the year.
New orders are received in full when the inventory level drops to
zero.
where:
D = annual demand for the item
C = unit purchase cost for the item
S = fixed cost of placing an order : Setup/Ordering cost
i = cost of holding inventory for a year (expressed as a % of C)
Q = order quantity
19
EOQ Cost Relationships
$
1000
600
21
The Model
D Q
MIN : DC S C i
Q 2
Subject to: Q 1
22
Comments on the EOQ Model
Using calculus, it can be shown the optimal value of Q is:
* 2DS
Q
Ci
23
Location Problems
Many decision problems involve determining optimal locations
for facilities or service centers. For example:
Manufacturing plants
Warehouse
Fire stations
Ambulance centers
These problems usually involve distance measures in the
objective and/or constraints.
The straight line (Euclidean) distance between two points
(X1,Y1) and (X2,Y2) is:
Distance X 1 X 2 Y1 Y2
2 2
24
A Location Problem:
Rappaport Communications
Rappaport Communications provides cellular phone
service in several mid-western states.
They want to expand to provide inter-city service between
four cities in northern Ohio.
A new communications tower must be built to handle
these inter-city calls.
The tower will have a 40 mile transmission radius.
25
Graph of the Tower Location Problem
Y
50
Cleveland
x=5, y=45
40
30
Youngstown
Akron
x=12, y=21 x=52, y=21
20
10
Canton
x=17, y=5
0
20 30 40 50 60
X
0 10
26
Defining the Variables and the Objective
Function
X1= location of the new tower with respect to the X-axis
Y1 = location of the new tower with respect to the Y-axis
MIN:
5-X
1
2
45 Y
1
2
12 - X
1
2
21 Y
1
2
17 - X
1
2
5 Y
1
2
52 - X
1
2
21 Y
1
2
27
Defining the Constraints
Cleveland
5 - X1 2 45 Y1 2 40
Akron
12 - X
1
2
21 Y
1
2
40
Canton
17 - X
1
2
5 Y
1
2
40
Youngstown
52 - X
1
2
21 Y
1
2
40
28
Analyzing the Solution
The optimal location of the “new tower” is in virtually the
same location as the existing Akron tower.
Maybe they should just upgrade the Akron tower.
The maximum distance is 39.8 miles to Youngstown.
This is pressing the 40 mile transmission radius.
Where should we locate the new tower if we want the
maximum distance to the existing towers to be
minimized?
29
Comments on Location Problems
The optimal solution to a location problem may not work:
The land may not be for sale.
The land may not be zoned properly.
The “land” may be a lake.
In such cases, the optimal solution is a good starting point
in the search for suitable property.
Constraints may be added to location problems to
eliminate infeasible areas from consideration.
30