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Nonlinear Models:
Dynamic, Goal and
Nonlinear Programming
Resource allocation,
Equipment replacement,
Reliability.
A Concave function
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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
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12
Types of NLP
Constrained
Unconstrained
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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
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SOLUTION
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
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20
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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
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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
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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
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
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SOLUTION
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
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SOLUTION
SOLUTION
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
F1(5) = 290; D1 = 0
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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
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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
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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.
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An Advertisement Example
(Goal Programming)
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.
An Advertisement Example
30,000
10
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An Advertisement Example
An Advertisement Example
The goal programming model
Subject to
Expresion of the goal Equation
Functional Constraint
Non Negativity Constraint
Minimize
ST
E1 + 5U2 +100 U3
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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
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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
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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.
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NECC - SOLUTION
Decision variables
X1 = The number of B2s to be produced next month
X2 = The number of S10s to be produced next month
Seats
Gear assemblies
Tires
X 1 ,X 2 0
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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 $1000)
Priority 3 (goal 4) Use a maximum of 1600 labor hours
2X1 + 3X2 + U4 - E4 = 1600
Priority 4 (goal 5) At least 200 leftover tires
2X1 + 2X2 + U5 - E5 = 2200
Priority 4 (goal 6) At least 100 leftover gear assembly
X2
+ U6 - E6 = 900
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NECC - SOLUTION
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NECC - SOLUTION
Using
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NECC - SOLUTION
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Minimize U1
below
ST
X1 = 400, thus
U1 = 0, and
priority 1 goal is
fully achieved.
2X 1 X 2 2000
Seats
X 2 1000
Gear
2X 1 2X 2 2400
Tires
X1 + U1 - E1 = 400
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X1 + X2 + U2 - E2 = 1000
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Unconstraint Models
Single Variable
Necessary & Sufficient Conditions (df/dx = 0 , D2f/dx2 <> 0))
Multi Variable
Partial Derivative
Constraint Models
Single Variable
Shadow price
Optimality Criteria
Multi Variable
Kuhn Tucker Condition
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Price
P ($)
100
150
200
250
300
350
Estimated
Demand (X)
350,000
300,000
250,000
200,000
150,000
100,000
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TOSHI CAMERA
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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
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TOSHI CAMERA
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FF11
0;
XX11 0;
FF22
0;
XX22 0;
FF33
0;
XX33 0;
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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
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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
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PBI INDUSTRIES
PBI INDUSTRIES
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PBI INDUSTRIES
Resource usage
Resource availabilty
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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
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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)
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A contradiction
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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
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