Questions tagged [nonlinear-programming]
For questions about mathematical optimization problems involving a nonlinear objective function and/or nonlinear constraints.
93
questions
1
vote
1answer
119 views
Non-linear optimization local or global solution
In an NLP, I have a constraint that I would like to formulate in a convex manner preferably without introducing binary variables and/or big M formulations if possible. The actual problem is non-convex ...
4
votes
0answers
61 views
How can non-polyhedral sets be investigated?
To derive problem-specific cutting planes for some given problem (think something like TSP problem), one common way is to study small examples. To this end, one can create small instances for the ...
4
votes
1answer
146 views
how to implement an optimization function with polynomial in Gurobi (Java)
I have the following problem:
I have an objective function with the optimization variable $x$, which looks simplified like this:
$ZF = (a+b)*(x+1)$
Here $a$ is simply a constant value.
However, behind ...
0
votes
1answer
76 views
How to linearise this nonlinear constraint?
I have a constraint in the form
$\sum_{n=1}^{N}x_{m,n}\omega_{m,n}\ge (t_u-1)\beta_u, \forall u, u=1,2,\cdots, U$
where $x_{m,n}$ is binary variable
$t_u$ and $\beta_u$ are continuous optimization ...
1
vote
1answer
86 views
How can I linearise this nonlinear proportional relation constraint?
My optimisation problem has a constraint in the form
\begin{equation}
\begin{array}{*{35}{l}}
\text{}\hspace{16.5mm}\text{ C4:} \hspace{2mm}\sum_{u=1}^U d_{u,1}L_{u}:\sum_{u=1}^U d_{u,2}L_{u}:\cdots:\...
6
votes
3answers
1k views
Is a mathematical programming problem with no objective function an optimization problem?
I have a "mathematical programming" (MP) problem that does not have an objective function. Namely, I want to find a vector that satisfies all constraints (no optimization involved, right?). ...
4
votes
2answers
125 views
Continuous water-filling optimization problem
Disclaimer: this question has been previously posted on Math StackExchange. I reposted it here since I did not receive any satisfactory answer there and a user suggested to re-post it here.
Let $x\in\...
10
votes
2answers
1k views
Trustful Nonlinear Programming
Is it possible for an NLP solver to claim that a knowingly feasible problem is infeasible?
Shouldn't the solver be able to provide a solution (of course not necessarily the global optimum but a ...
3
votes
0answers
55 views
Solving a nonlinear model with constraints of exponential functions and continuous variable multiplications
I have a nonlinearly-constrained model and wonder if a nonlinear solver like Ipopt or Knitro can solve the problem.
Briefly, my objective function is linear. I have the following variables with their ...
2
votes
1answer
72 views
Smooth approximation of $\max(f_1(x),f_2(x),\cdots,f_n(x))$
In the GAMS documentation concerning non-smooth optimization I found the following statement:
A smooth approximation for $\max(f(x),g(y))$ is as in the following example code:
...
3
votes
1answer
49 views
Maximize $\sum_{i=1}^n 1/x_i$ subject to an SDP constraint
I would like to solve the following problem: \begin{align}\max_{x_1, \ldots, x_n}&\quad\frac{1}{x_1} + \frac{1}{x_2} + \cdots + \frac{1}{x_n}\\\text{s.t.}&\quad\sum_{i=1}^n x_i A_i \succeq A_0\...
3
votes
2answers
84 views
Scheduling Problem With Identical Machines
I am working on a nonlinear scheduling problem that minimizes the electricity cost of a facility. This system includes a number of identical machines that consume power and produce a product. When the ...
1
vote
0answers
114 views
Doesn't Pyscipopt handle nonlinear objective functions?
I am trying to solve a large-scale nonlinear problem. Below is the objective function coded for pyscipopt. I have some loops over a list of tuples (r,p,s) in the list RouteTimeStop, and the only ...
3
votes
1answer
86 views
Ipopt (probably) fails to solve a nonlinear problem, what is next?
I am trying to solve a nonlinear problem with only a set of continuous variables (where the nonlinearity stems from negative inconsistent - across differently indexed variables - large powers), e.g., ...
5
votes
2answers
89 views
Solve nonlinear programming problems practically
In an exam, I studied Theoretical approaches to converting constrained minimum problems into unconstrained minimum problems. Specifically:
KKT conditions
Projection Gradient Descent
Penalty and ...
16
votes
1answer
592 views
Deep Reinforcement Learning for General Purpose Optimization
Recently, I attended a very nice talk given by someone at the place I work about applying Deep Reinforcement Learning (DRL) for a design optimization problem. It was particularly interesting to me ...
3
votes
1answer
77 views
Optimizing black-box finite element model
I'm trying to understand what my options are for optimizing a black-box simulation (output from a commercial, closed source finite element solver).
An example problem is the following. We have a ...
4
votes
1answer
105 views
Free solver for MINP problems
I have a mixed-integer nonlinear programming (MINP) problem.
Is there a free solver for such a problem?
4
votes
1answer
91 views
Contiguous service area constraint
Background: I have a set of ZIP codes (e.g., all of the state of Wisconsin), and am trying to figure out an optimization-based approach to identify a subset of these ZIP codes for a logistics service ...
3
votes
0answers
64 views
“Rank 1” type constraint $X=vw^\top$: MILP representation? Convex relaxation? Other tractable approach?
Suppose $X\in\mathbb{R}^{m\times n}$, $v\in\mathbb{R}^m$, $w\in\mathbb{R}^n$ are variables from an optimization problem, which also includes the constraints:
$$0\le v\le a$$
$$0\le w\le 1$$
$$w_1+\...
1
vote
0answers
39 views
active set method guaranteed convergence
I'm using Active Set Method to solve a nonlinear optimization function minimizing a convex function over a polyhedron of 2 linear inequalities starting at an interior point $x_o$ At this point is it ...
3
votes
1answer
122 views
Using log optimization function in Gurobi
I'm trying to use Gurobi to model an optimization max function whose objective function is $$f(x)=\frac{r^Tx}{x^TQx}.$$
Thus maximizing this function $f(x)$ is the same as maximizing $\log f(x)$ and I ...
3
votes
1answer
78 views
What type of model is this
I was trying to find a name for the following model; is it mathematical programming, constraint programming, convex optimization, but as I can see, none of them has a continuous parameter $t$ like in ...
7
votes
1answer
147 views
Is the solution of a convex combination of the objective in simple problems a convex combination of the solutions of the same problems?
Let $\mathbf{A}=\left(a_{ij}\right)$ be a $n\times J$ matrix with $a_{ij}\geq 0$, $n>J$ and such that no row has all its entries equal to zero, and each column has at most one zero. Let also $\...
4
votes
2answers
106 views
How to deal with an optimization problem that have a sum of nonlinear functions of Z as a constraint when Z is the quantity to be minimized?
I have to minimize a quantity $Z$ subject to the following constraints:
$$ w_1 + w_2 + w_3 = 1 \tag{1}$$
$$ \frac{f_1(w_1 Z) + f_2(w_2 Z) + f_3(w_3 Z)}{Z} \ge k \tag{2}$$
where $k$ is a known ...
5
votes
0answers
69 views
Is there a way to use lazy constraints with Baron?
I am solving a non-linear mixed-integer programme with BARON. The objective function looks like $\big( \sum_i x_i \big) \cdot \big(\prod_i e^{-y_i}\big)$ (binary $x$ and real-valued $y$) and it has ...
2
votes
2answers
159 views
Pyomo + Ipopt. Speed Issue
I am using Pyomo + Ipopt as solver to solve a NLP problem. The problem is not extremely complex in terms of dimensionality and ...
6
votes
1answer
186 views
Linearizing a program with multinomial logit in the objective
I have a nonlinear problem as follows: \begin{align}\min&\quad\sum_{k=1}^{K}\left|y_k - \sum_{i=1}^{N} \frac{e^{x_{k}^{i}}}{\sum_{j=1}^{K} e^{x^{i}_{j}}}\right|\\\text{s.t.}&\quad x^i_{j} \ge ...
5
votes
2answers
316 views
Failing to meet a constraint in a NLP problem
I have a NLP problem at hand, which I am trying to solve via Pyomo + ipopt. I try to run several different instances of the optimizer with different conditions, out ...
4
votes
1answer
187 views
Trouble understanding a passage in Nonlinear Programming by Bertsekas
I am reading Nonlinear Programming by Bertsekas, and the chapter on duality starts like this: we define the primal problem as
$$\begin{align*}
&\min f(x)\\
&x \in X\\
&g(x) \le 0
\end{...
3
votes
0answers
64 views
Optimizing with a logistic function
I have a system in which I want to maximize the value of some function $f(x_T, y_T)$.
The time evolution of the system is described by some functions:
$$
\begin{align}
\frac{dx}{dt}&=\alpha \frac{...
4
votes
2answers
143 views
Constraint $x'Ax = 0$, where $x$ and $A$ are both optimization variables
I'm trying to solve the following optimization problem:
$$ \min_{x, \phi} x \quad \text{s.t.} \quad \sum_{s,t = 1}^n \left(m_{s,t} x -v_{s,t} \right)\phi_s \phi_t = 0 , \quad \lVert \phi \rVert = 1$$
...
10
votes
6answers
2k views
Nonlinear integer (0/1) programming solver
I have the following optimisation problem.\begin{align}\max&\quad\sum_i\sum_j\sum_k x_{ji}y_{kj} \operatorname{cost}(i,k)\\\text{s.t.}&\quad\sum_j x_{ji}=1\quad\forall i\\&\quad\sum_k y_{...
7
votes
1answer
103 views
Minimizing sum of functions with pairwise dependence
I have formulated a problem where I need to minimize the sum of $N$ functions, with only pairwise dependence between the functions (any single constraint involves only two functions having adjacent ...
6
votes
1answer
91 views
Does strong duality hold when I dualize only a subset of the constraints?
Suppose I know that for some non-convex program:
\begin{align}\min_x&\quad f(x)\\\text{s.t.}&\quad g_i(x)\leq 0, i \in C\end{align}
strong duality holds for this problem. Now, suppose I form ...
3
votes
0answers
47 views
Linearisation using SOS2
I am trying to linearise the following expresssion.
$C(k) = B(k) e^{-d(k)}, B(k) \ge 0 , d(k) \ge 0 $
I am trying to do this by using SOS2 sets.
I set $X(k) = e^{-d(k)}$ and I get $C(k) = B(k) X(...
7
votes
2answers
159 views
Find Euclidean sub-distances for a given distance matrix
Assume I have a matrix $(d_{ji})_{ij}$ of distances between points $i$ and $j$. These distances could be anything fulfilling the triangle inequality.
Now I would like to find coordinates $(x_i,y_i)$ ...
2
votes
0answers
131 views
Gurobi is unable to give an optimal solution even when it exists
I am trying to solve Logarithmic Fuzzy Preference Programming (LFPP) for criteria weight evaluation, based on fuzzy comparisons between criteria, and I am solving it with Gurobi in Python 2.7. It is a ...
1
vote
1answer
82 views
Simple nonlinear programming using convexity analysis and KKT
I want to solve the following two-variate nonlinear programming using KKT conditions:
$$ \begin{align} \begin{split}
\max \quad & 15 \sqrt{x_{1}} + 16 \sqrt{x_{2}} \\
\text{s.t.} \quad &...
1
vote
1answer
150 views
How do I solve this Optimization problem?
Optimization of a simple expansion problem
minimise:
$$
\sum_{t=1}^{5}\left[\sum_{i=1}^{2}x_{i,t}CC_i\left(\frac{1+EIC}{1+r}\right)^t+UE_t*C_{UE}\right]
$$
subject to:
$$
0 \leq x_{i,t} \leq 5 \\
...
2
votes
1answer
103 views
How to detect unbounded problems
How can I algorithmically detect whether an (MI)NLP problem is unbounded or not?
Finding a source for this has proven tricky, because people in the literature seem to talk a lot about what to do if ...
4
votes
2answers
153 views
Is There Another Way To Code The Idea of a MAX Constraint Without The Use of Binary Variables?
I have a constraint of the following form that describes the growth of trees, where the population of trees in period $t$ is the previous period's population minus some trees infected with a virus:
$...
4
votes
0answers
53 views
Identifying saddle point in constrained optimization
Suppose we are minimizing $f(x)$. The first order necessary condition of $x^*$ being local minmum is:
$$\nabla f(x^*)= \mathbf{0}.$$
For sufficiency, we check if also $\nabla^2f(x^*) \succ 0$, i.e., ...
6
votes
3answers
998 views
Is it abnormal for a model to take 8+ hours to solve?
I am building my first optimization model, it is quite large and also a non-linear problem. I have had my model solving on the NEOS Optimization Server and after 8 hours of trying to solve, the server ...
3
votes
1answer
121 views
Rolling Horizon Methods in Knitro
I am trying to solve an NLP using the Knitro solver, but I am beginning to think that I will not be able to solve the model because it is too complex. I have heard that "rolling horizons" can be used ...
5
votes
2answers
124 views
Minimizing $x_1/x_2$ over a simplex in the positive orthant
I need to solve the following problem
\begin{align}\min&\quad x_1/x_2\\\text{s.t.}&\quad Ax \leq b\\&\quad x > 0\end{align} where $A$ is a positive matrix.
The best thing I can think ...
4
votes
1answer
114 views
Software for multi-objective optimization
I am looking to solve a multi-objective chance-constrained blending problem. Are there any suggestions about the software to use to try and solve a problem like this?
4
votes
1answer
88 views
How to convert non-normal probabilistic constraints to deterministic ones for mathematical modelling?
I am working on a chance-constrained optimisation model that takes into account uncertainty. I am aware of how to convert constraints that are of a probabilistic nature into the equivalent ...
6
votes
1answer
77 views
Nonsmooth constrained convex optimisation: convergence results?
I am working on a projection problem on a very large set of highly related constraints:
\begin{align}
\min_x & \quad\|x-x_k\|_2^2 \\
\mathrm{s.t.} & \quad\max_{T\in\mathcal{T}} \sum_i \frac{...
12
votes
1answer
93 views
Benders subproblem feasible region dependent upon solution master problem
Suppose I want to solve a naturally MINLP problem of the following form:
$$
\min_{x,y} \{c'x + y \mid Ax \leq b, Dx + Ey \leq f, G(x)y\leq g, x \in \mathbb{Z}, y \in \mathbb{R}^+\}
$$
Here $G(x)$ ...
