Non linear
programming
B Y: Y O U S E F A K R A M
YA S S E N
Y O U S E F E L S AY E D
Introduction
• Non linear optimization problem is any optimization problem in
which at least one term in the objective function or a constraint is non
linear.
example: F(x)=X2 +2x+20
Continuation
Many business processes behave in a nonlinear manner
For example, the price of a bond is a nonlinear function of interest rates , and
the price of a stock option is a nonlinear function of the price of the underlying
stock
The marginal cost of production often decreases with the quantity produced, and
the quantity demanded for a product is usually a nonlinear function of the price
These and many other nonlinear relationship are present in many business
applications.
Types of constraints
With equality constraints (lagrange’s method)
With no constraints
With in equlality constraints (excel solver)
Lagrange method
The method of lagrange multipliers is a general mathematical technique that can
be used for solving constrained optimization problems consisting of nonlinear
objective function and one or more linear constraint equation
In the method of lagrange multipliers, constraints as multiples of multipliers,
λ ,are subtracted from the objective function , which then differentiated with
respect to each variable and solved.
Example
Example
Example
Example
No constraints
Let us consider a revision of the parc, Inc.. Problem where they deicded to manufacture standard
and deluxe golf bags
In formulating the linear programming model for this problem, we assumed that it could sell all
of the standard and deluxe bags it could produce
However, depending on the price of the golf bags , this assumption may not hold
An inverse relationship usually exists between price and demand
No constraints
No constraints
As prices goes up the demand decreases
Let Ps denote the price charged for each standard bag and Pd denote the price for each deluxe
bag
Assume the demand for standard bags “s” and the demand for deluxe bags “D” given by
S=2250-15Ps
D=1500-5Pd
Profit contributions
Profit contribution of standard bags
Ps*S-70S
Profit contribution
Profit contribution for deluxe bags
Pd*D-150D
Excel solver
Constrained problems
Using a computer solution method, we find that the values of S and D that maximize the profit
contribution function are S = 600 and D = 375.
The corresponding prices are 110$ for standards bags and 225$ for deluxe bags and the profit
contribution is 52115$
Unfortunately, the company cannot make the profit contribution associated with the optimal
solution to the unconstrained problem because the constraints defining the feasible regions are
violated
EXCEL SOLVER
A production quantity of 600 standard bags and 375
deluxe bags will require 7/100 (600) +375 = 795 hours,
which exceeds the limit of 630 hours by 165 hours.
The feasible region for the original problem along with
the unconstrained optimal solution point (600,375) as
seen earlier.
Excel solver
As we can see the profit decreases as the constraints
are present .
In the constraint section, the value of 0 in constraint
1 means the optimal solution uses all the labors
hours in the cutting and dyeing section, but in other
sections there are slack hours
Optimal solution
The graph shows that the optimal solution is
49,920.55$ that satisfies every constraint in the
company and to produce 459.177 standard bags
and 308 deluxe bags.
