Lecture 8 – Nonlinear Programming Models

1. Lecture 8 – Nonlinear Programming Models Topics • General formulations • Local vs. global solutions • Solution characteristics • Convexity and convex programming • Examples

2. 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.

3. 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

4. … c x c x c x Example 2 Max f(x) = e e e 1 1 2 2 n n s.t. Ax = b, x³0 n å fj (xj) Example 3 Min Problems with “decreasing efficiencies” j =1 s.t. Ax = b, x³0 fj(xj) where each fj(xj)is of the form xj Examples of NLPs 4 Example 1 Max f(x) = 3x1 + 2x2 2 s.t. x1 + x2£ 1, x1³ 0, x2 unrestricted Examples 2 and 3 can be reformulated as LPs

5. NLP Graphical Solution Method Max f(x1, x2) = x1x2 s.t. 4x1 + x2£ 8 x1 ³ 0, x2 ³ 0 x2 8 f(x) = 2 f(x) = 1 x1 2 Optimal solution will lie on the line g(x) = 4x1 + x2 – 8 = 0.

6. 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.)

7. 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.

8. Function with Unique Global Minimum at x = (1, –3) If g1 = x1³ 0 and g2 = x2³ 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), 1³ 0, 2³ 0 so 1 = 0 and 2 = 6

9. Function with Multiple Maxima and Minima Min { f(x)= sin(x) : 0 x 5p}

10. Constrained Function with Unique Global Maximum and Unique Global Minimum

11. Convexity condition for univariate f : d2 f(x) ≥ 0 for all x dx2 Convexity Convex function: If you draw a straight line between any two points on f(x) the line will be above or on the line. Concave function: If f(x) is convex than –f(x) is concave. Linear functions are both convex and concave.

12. Definition of Convexity Let x1 and x2 be two points 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 <. 1-dimensional example

13. Nonconvex -- Nonconave Function f(x) x

14. 2 2 2 d f d f d f Hessian of f at x : s2f(x) = . . . dx dx dx dx 2 dx 1 2 1 n 1 . . 2 d f . . . dx dx . 2 1 . . . 2 2 d f d f . . . dx dx 2 dx n 1 n Theoretical Result for Convex Functions A positively weighted sum of convex functions is convex: if fk(x) k =1,…,m are convex and 1,…,m³ 0, then f(x) = å ak fk(x) is convex. m k =1

15. f(x) x1 x2 Determining Convexity One-Dimensional Functions: A function f(x) ÎC1 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. A function f(x) C2 is convex if and only if its second derivative is nonnegative. d2f(x)/dx2≥ 0 for all x If the inequality is strict (>), the function is strictly convex.

16. Example: f(x) = 3(x1)2 + 4(x2)3 – 5x1x2 + 4x1 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.

17. 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.

18. Multiple Dimensional Functions and Convexity • f(x) is strictly convex (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 negativedefiniteandnegative-semi definiteare 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.

19. 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: Testing for Definiteness , where hij= 2f(x)/xixj LetHessian, H =

20. 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. • His 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.

21. Quadratic Functions Example 1: f(x) = 3x1x2 + x12 + 3x22 so H1 = 2 and H2 = 12 – 9 = 3 Conclusion f(x) is convex because H(x) is positive definite.

22. Quadratic Functions Example 2: f(x) = 24x1x2 + 9x12 + 16x22 • 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.

23. Nonquadratic Functions Example 3: f(x) = (x2 – x12)2 + (1 – x1)2 Thus the Hessian depends on the point under consideration: At x = (1, 1), which is positive definite. At x = (0, 1), which is indefinite. Thus f(x) is not convex although it is strictly convex near (1, 1).

24. What You Should Know About Nonlinear Programming • How to identify the decision variables. • How to write constraints. • How to identify a convex function. • The difference between a local and global solution.