ENGI 9627 - Environmental Systems

Engineering

LECTURE 7:
NONLINEAR PROGRAMMING
Instructor: Dr. Bing Chen
Faculty of Engineering & Applied Science
Tel: +1(709)737-8958
Email: bingchen@engr.mun.ca

1. Introduction
¾ Nonlinear Programming (NLP)
Min f(X)
s.t. h(X) = 0
g(X) ≤ 0
X≥0
ƒ Where some of the constraints, h(x) or g(x), or the objective
function, f(x), is nonlinear

¾ Much of the world is nonlinear

ƒ Biological systems ==> exponential growth
ƒ Trajectory ==> parabola (quadratic function)
ƒ In many contexts, the elements of a linear model are really
approximations of more complex relationship.
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1. Introduction – Cont’d
Example 7.1 – A manufacturing problem

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2. Local and Global Extrema

¾ Maxima and Minima
ƒ A point x* is a local (or relative) maximum of a function f if there
exists some ε > 0 such that f(x*) ≥ f(x) for all x with |x-x*| < ε. on a
graph of a function, its local maxima will look like the tops of hills.

ƒ A local minimum is a point x* for which f(x*) ≤ f(x) for all x with
|x-x*| < ε. On a graph of a function, its local minima will look like
the bottoms of valleys.

ƒ A global (or absolute) maximum is a point x* for which f(x*) ≥ f(x)

for all x. Similarly, a global minimum is a point x* for which f(x*) ≤
f(x) for all x.

ƒ Any global maximum (minimum) is also a local maximum

(minimum); however, a local maximum or minimum need not also
be a global maximum or minimum.
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¾ Derivative tests
ƒ First derivative test
ƒ Second derivative test

¾ Examples
ƒ f(x) = x2
ƒ f(x) = x3/3 – x
ƒ Etc.

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¾ Stationary Point
ƒ A stationary point is a point on the graph of a
function where the tangent to the graph is
parallel to the x-axis (in 2D) or the plane
tangent to the surface is parallel to the XY
plane (in 3D). An equivalent definition is where
the derivative of the function equals zero.

¾ Inflection Point
ƒ An inflection point is a point where the
concavity changes. A point of inflection is not
necessarily a stationary point. All inflection
points have the property of f''(x) = 0 but the
reverse is not necessarily true

¾ Saddle Point
ƒ An inflection point in two or more dimension is
called saddle point

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¾ Strictly Convex/Concave
ƒ A Strictly convex function is one
for which a straight line drawn
between any two points on the
function will everywhere
overestimate the function
between the two points

ƒA strictly concave function is

one for which a straight line
drawn between any two
points on the function will
everywhere underestimate
the function between the two
points
ƒHow to determine if a function is strictly convex or concave
9Check the second derivative or hessian
9Adding a constant or linear function does not change it
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3. Unconstrained NLP
¾ A NLP programs does not have a constraint for
the decision variables

ƒ It can still have decision variables belong to subset of

Real Numbers (such as integers)

Max or Min Z = f(X)

s.t. No Constraint

¾ Condition of Optimality
ƒ Functions of single variable
ƒ Functions of two variables
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¾ Condition of Optimality - Maxima

ƒ Necessary condition for functions of one variable to have a

local maxima at x = x* is

ƒ Sufficient condition for functions of one variable to have a

local maxima at x = x* is

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¾ Condition of Optimality - Minima

ƒ Necessary condition for functions of one variable to have a

local minima at x = x* is

ƒ Sufficient condition for functions of one variable to have a

local minima at x = x* is

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¾ Condition of Optimality - Maxima

ƒ Necessary condition for bivariate functions to have a local

maxima at x = x* is

ƒ Sufficient Condition for bivariate functions to have a local

Maxima at x = x* is (f11f22 - f12f21) > 0 and f11 and f22 < 0,
where

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¾ Condition of Optimality - Minima

ƒ Necessary condition for bivariate functions to have a local

maxima at x = x* is

ƒ Sufficient Condition for bivariate functions to have a local

Maxima at x = x* is (f11f22 - f12f21) > 0 and f11 and f22 > 0,
where

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¾Saddle Point

If (f11f22 - f12f21) < 0 then

it is a Saddle Point at
x1 = x1*, x2 = x2*

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Example 7.2 – Optimal Reservoir Size for Irrigation

Total benefit (TB) from irrigation water with water supply
requirement of q is estimated to be:
TB = 100q – 0.0005q2
Total cost (TC) of the reservoir depends on q, given by
TC = 44.42q0.90 + 0.098q1.45
Determine the optimal reservoir size (q) to maximize the
net benefit.

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Example 7.3 – Optimization of Sedimentation Process
The cost of processing industrial waste by sedimentation
depends on the retention time (t) adopted for the design of
the plant. The cost depends on flow capacity (q) and is
given by
1. A fixed charge of 3q cost unit
2. Plant cost defined as 0.8q2t3.25
3. A tax or penalty cost dependent on the quality of the
effluent and can be given by the exponential term 14qe-t
Minimize the cost of sedimentation process.

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4. Constrained NLP

¾ A NLP programs does have constraints for the decision

variables

Max or Min Z = f(X1, X2, X3, …, Xn)

S.t. g1 (X1, X2, X3, …, Xn) = b1
g2 (X1, X2, X3, …, Xn) = b2
…
gn (X1, X2, X3, …, Xn) = bn

¾ Solution of constrained problem

ƒ Calculus of Substitution
ƒ Method of Lagrangian Multiplier
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4.1 Calculus of Substitution
Example 7.4 – Best Hydraulic Section
For open channel flow, the Manning equation is commonly used:

where: Q = discharge (ft3/sec.); n = Manning roughness factor, a

constant that depends on channel material; A = flow cross-sectional
area (ft2) (assume rectangular section, width b and height h); R =
hydraulic radius (ft), = A/P, where P is wetted cannel perimeter (ft); and
S = slope of the energy grade line, also equal to channel slope for
steady, uniform flow. The cost of the channel lining is proportional to
total wetted perimeter (b + 2h).
To minimize the cost of the channel lining.

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4.1 Calculus of Substitution – Cont’d

Example 7.5 – Optimal Tank Design

A vertical cylindrical tank is open at the top which is
used to hold k m3 of liquid. It is known that bottom must
be twice as thick as the sides. To determine the most
economic design (with an optimal shape, diameter-to-
height ratio).

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4.1 Lagrange Multiplier

Max or Min Z = f(X1, X2, X3)

S.t. g1 (X1, X2, X3) = b1
g2 (X1, X2, X3) = b2

ƒ We let λ1 and λ2 as the Lagrangian Multiplier associated with the

first and second constraints respectively and form the new
unconstrained objective as

L= f (X1, X2, X3) + λ1 [ b1- g1 (X1, X2, X3)] + λ2 [ b2 - g2 (X1, X2, X3)]

ƒ L is the Lagrangian Function that can be optimized by simple

calculus by taking the partial derivatives

ƒ Please recall – we talked this method in Lecture #1.

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4.1 Lagrange Multiplier – Cont’d

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4.1 Lagrange Multiplier – Cont’d

Example 7.5 – Sheet Metal

Forming

We have a square of sheet metal

with side S that is to be cut and
folded into a topless box of
maximum volume. Shaded areas
will be cut off. To determine the
dimensions of cutting, x, y, and z.

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