Transcript Document

Lecture 8 – Nonlinear Programming
Models
Topics
• General formulations
• Local vs. global solutions
• Solution characteristics
• Convexity and convex programming
• Examples
Nonlinear Optimization
• In LP ... the objective function &
constraints are linear and the problems
are “easy” to solve.
• Many real-world engineering and
business problems have nonlinear
elements and are hard to solve.
General NLP
Minimize f(x)
s.t. gi(x) (, , =) bi, i = 1,…,m
x = (x1,…,xn) is the n-dimensional vector of
decision variables
f (x) is the objective function
gi(x) are the constraint functions
bi are fixed known constants
Examples of NLPs
Example 1
4
Max f (x) = 3x1 + 2x2
2
s.t. x1 + x2  1, x1  0, x2 unrestricted
Example 2
Max f (x) = e c1 x1 e c2 x2 … e cn xn
s.t. Ax = b, x  0
n
Example 3
Min
 fj (xj )
j =1
s.t. Ax = b, x  0
Problems with
“decreasing efficiencies”
where each fj(xj ) is of the form
fj(xj)
Examples 2 and 3 can be reformulated as LPs
xj
NLP Graphical Solution Method
Max f(x1, x2) = x1x2
s.t. 4x1 + x2 8
x2
x1 0, x2 0
8
f(x) = 2
f(x) = 1
2
x1
Optimal solution will lie on the line g(x) = 4x1 + x2 – 8 = 0.
Solution Characteristics
Gradient of f (x) = f (x1, x2)  (f/x1, f/x2)T
This gives f/x1 = x2, f/x2 = x1
and
g/x1 = 4, g/x2 = 1
At optimality we have f (x1, x2) = g (x1, x2)
or x1* = 1 and x2* = 4
• Solution is not a vertex of feasible region. For
this particular problem the solution is on the
boundary of the feasible region. This is not
always the case.
• In a more general case, f (x1, x2) = g (x1, x2)
with   0. (In this case,  = 1.)
Nonconvex Function
global
max
stationary
point
f(x)
local
max
local
min
local
min
x
Let S  n be the set of feasible solutions to an NLP.
Definition: A global minimum is any x0  S such than
f (x0)  f (x)
for all feasible x not equal to x0.
Function with Unique Global Minimum at x = (1, –3)
If g1 = x1  0 and g2 = x2  0, what is the optimum ?
At (1, 0), f(x1, x2) = 1g1(x1, x2) + 2g1(x1, x2)
or
(0, 6) = 1(1, 0) + 2(0, 1), 1  0, 2  0
so
1 = 0 and 2 = 6
Function with Multiple Maxima and Minima
Min { f (x)= sin(x) : 0  x  5p}
Constrained Function with Unique Global
Maximum and Unique Global Minimum
Convexity
Convex function: If you draw a straight line between any two points
on f (x) the line will be above or on f (x).
Concave function: If f (x) is convex than – f (x) is concave.
f (x)
Convexity condition for
univariate f :
d2 f (x)
≥ 0 for all x
2
dx
x1
x2
Linear functions are both convex and concave.
Definition of Convexity
Let x1 and x2 be two points (vectors) in S  n. A function f (x)
is convex if and only if
f (lx1 + (1–l)x2) ≤ lf (x1) + (1–l)f (x2)
for all 0 < l < 1. It is strictly convex if the inequality sign ≤ is
replaced with the sign <.
f(x)
.
.
.
f(lx + (1l)x )
1
.
x1
lf(x1) + (1l)f(x2)
2
.
lx1 + (1l)x2
.
.
x2
1-dimensional
example
Nonconvex -- Nonconave Function
f(x)
x1
x2
x
Theoretical Result for Convex Functions
A positively weighted sum of convex functions is convex:
If fk(x) is convex for k =1,…,m and 1,…,m  0,
m
then f (x) = k fk(x) is convex.
k =1
Hessian of f at x : s2f (x) =
Used to determine
convexity.
d 2f
dx12
d 2f
dx2dx1
.
.
.
d 2f
dxndx1
d2 f
dx1dx2
.
...
d2 f
dx1dxn
.
.
.
.
. . .
d2 f
dxn2
.
Determining Convexity
One-Dimensional Functions:
A function f (x)  C 1 is convex if and only if it is
underestimated by linear extrapolation; i.e.,
f (x2) ≥ f (x1) + (df (x1)/dx)(x2 – x1) for all x1 and x2.
f(x)
x1
x2
A function f (x)  C 2 is convex if and only if its second derivative
is nonnegative.
d2f (x)/dx2 ≥ 0 for all x
If the inequality is strict (>), then f (x) is strictly convex.
Multiple Dimensional Functions
f (x) is convex if only if f (x2) ≥ f (x1) + Tf (x1)(x2 – x1)
for all x1 and x2.
Definition: The Hessian matrix H(x) associated with
f (x) is the n  n symmetric matrix of second partial
derivatives of f (x) with respect to the components of x.
When f (x) is quadratic, H(x) has only constant terms;
when f (x) is linear, H(x) does not exist.
Example: f (x) = 3(x1)2 + 4(x2)3 – 5x1x2 + 4x1
5 
 6 x1  5 x2  4 
6
 and H(x)  
f (x)  

2
12
x

5
x

5
24
x
2
1 
2


Properties of the Hessian
How can we use Hessian to determine whether or
not f(x) is convex?
• H(x) is positive definite if and only if xTHx > 0 for all
x  0.
• H(x) is positive semi-definite if and only if xTHx ≥ 0
for all x and there exists and x  0 such that xTHx
= 0.
• H(x) is indefinite if and only if xTHx > 0 for some x,
and xTHx < 0 for some other x.
Multiple Dimensional Functions and Convexity
• f (x) is strictly convex (or just convex) if its
associated Hessian matrix H(x) is positive definite
(semi-definite) for all x.
• f (x) is neither convex nor concave if its associated
Hessian matrix H(x) is indefinite
The terms negative definite and negative-semidefinite are also appropriate for the Hessian and
provide symmetric results for concave functions.
Recall that a function f (x) is concave if –f (x) is
convex.
Testing for Definiteness
Let Hessian, H =
 h11
h
 21
 .

 .
 .

hn1
h12
.
.
.
h22
.
.
.
.
.
.
hn 2
.
.
.
h1n 
h2 n 





hnn 
, where hij = 2f (x)/xixj
Definition: The ith leading principal submatrix of H is the
matrix formed taking the intersection of its first i rows
and i columns. Let Hi be the value of the corresponding
determinant:
H 1  h11 , H 2 
h11
h12
h21
h22
, and so on until H n is obtained.
Rules for Definiteness
• H is positive definite if and only if the determinants of
all the leading principal submatrices are positive; i.e.,
Hi > 0 for i = 1,…,n.
• H is negative definite if and only if H1 < 0 and the
remaining leading principal determinants alternate in
sign:
H2 > 0, H3 < 0, H4 > 0, . . .
Positive-semidefinite and negative semi-definiteness
require that all principal submatrices satisfy the
above conditions for the particular case.
Quadratic Functions
Example 1: f (x) = 3x1x2 + x12 + 3x22
 3x2  2 x1 
2 3
 and H(x)  
f (x)  

3
x

6
x
3
6


2
 1
so H1 = 2 and H2 = 12 – 9 = 3
Conclusion  f (x) is convex because
H(x) is positive definite.
Quadratic Functions (cont’d)
Example 2: f (x) = 24x1x2 + 9x12 + 16x22
 24x2  18x1 
18 24
 and H(x)  
f (x)  

24
x

32
x
24
32


1
2

so H1 = 18 and H2 = 576 – 576 = 0
• Thus H is positive semi-definite (determinants of
all submatrices are nonnegative) so f (x) is convex.
• Note, xTHx = 2(3x1 + 4x2)2 ≥ 0. For x1 = 4, x2 = 3,
we get xTHx = 0.
Nonquadratic Functions
Example 3: f (x) = (x2 – x12)2 + (1 – x1)2
 4 x2  12x12  2  4 x1 
H ( x)  

 4 x1
2 

Thus the Hessian depends on the point under consideration:
At x = (1, 1), H(1,1)   10  4 which is positive definite.
 4
At x = (0, 1),
2
 2 0 
which is indefinite.
H(0,1)  

 0 2
Thus f(x) is not convex although it is strictly convex near (1, 1).
What You Should Know About
Nonlinear Programming
• How to develop models with nonlinear
functions.
• The definition of convexity.
• Rules for positive and negative definiteness
• How to identify a convex function.
• The difference between a local and global
solution.