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LECTURE SLIDES ON NONLINEAR PROGRAMMING

BASED ON LECTURES GIVEN AT THE

MASSACHUSETTS INSTITUTE OF TECHNOLOGY

CAMBRIDGE, MASS

DIMITRI P. BERTSEKAS

These lecture slides are based on the book:
“Nonlinear Programming,” Athena Scientific,
by Dimitri P. Bertsekas; see
http://www.athenasc.com/nonlinbook.html
The slides are copyrighted but may be freely
reproduced and distributed for any noncom-
mercial purpose.
6.252 NONLINEAR PROGRAMMING
LECTURE 1: INTRODUCTION
LECTURE OUTLINE
• Nonlinear Programming
• Application Contexts
• Characterization Issue
• Computation Issue
• Duality
• Organization
NONLINEAR PROGRAMMING

min f(x), 

x∈X
where
• f : n → is a continuous (and usually differ-
entiable) function of n variables
• X = n or X is a subset of n with a “continu-
ous” character.
• If X = n, the problem is called unconstrained
• If f is linear and X is polyhedral, the problem
is a linear programming problem. Otherwise it is
a nonlinear programming problem
• Linear and nonlinear programming have tradi-
tionally been treated separately. Their method-
ologies have gradually come closer.
TWO MAIN ISSUES•
•	 Characterization of minima
− Necessary conditions
− Sufficient conditions
− Lagrange multiplier theory
− Sensitivity
− Duality
•	 Computation by iterative algorithms
− Iterative descent
− Approximation methods
− Dual and primal-dual methods
APPLICATIONS OF NONLINEAR PROGRAMMING•

• Data networks – Routing
• Production planning
• Resource allocation
• Computer-aided design
• Solution of equilibrium models
• Data analysis and least squares formulations
• Modeling human or organizational behavior
CHARACTERIZATION PROBLEM

• Unconstrained problems
− Zero 1st order variation along all directions
• Constrained problems
−	 Nonnegative 1st order variation along all fea-
sible directions
• Equality constraints
−	 Zero 1st order variation along all directions
on the constraint surface
− Lagrange multiplier theory
• Sensitivity
COMPUTATION PROBLEM

• Iterative descent
• Approximation
• Role of convergence analysis
• Role of rate of convergence analysis
• Using an existing package to solve a nonlinear
programming problem
POST-OPTIMAL ANALYSIS
• Sensitivity
• Role of Lagrange multipliers as prices
DUALITY

• Min-common point problem / max-intercept prob-
lem duality
0 0
Min Common Point
Max Intercept Point Max Intercept Point
Min Common Point
S S
(a) (b)
Illustration of the optimal values of the min common point
and max intercept point problems. In (a), the two optimal
values are not equal. In (b), the set S, when “extended
upwards” along the nth axis, yields the set
S¯ = {¯ xn ≥ xn, ¯x | for some x ∈ S, ¯ xi = xi, i = 1, . . . , n − 1}
which is convex. As a result, the two optimal values are
equal. This fact, when suitably formalized, is the basis for
some of the most important duality results.

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NONLINEAR PROGRAMMING - Lecture 1 Introduction

  • 1. LECTURE SLIDES ON NONLINEAR PROGRAMMING BASED ON LECTURES GIVEN AT THE MASSACHUSETTS INSTITUTE OF TECHNOLOGY CAMBRIDGE, MASS DIMITRI P. BERTSEKAS These lecture slides are based on the book: “Nonlinear Programming,” Athena Scientific, by Dimitri P. Bertsekas; see http://www.athenasc.com/nonlinbook.html The slides are copyrighted but may be freely reproduced and distributed for any noncom- mercial purpose.
  • 2. 6.252 NONLINEAR PROGRAMMING LECTURE 1: INTRODUCTION LECTURE OUTLINE • Nonlinear Programming • Application Contexts • Characterization Issue • Computation Issue • Duality • Organization
  • 3. NONLINEAR PROGRAMMING min f(x), x∈X where • f : n → is a continuous (and usually differ- entiable) function of n variables • X = n or X is a subset of n with a “continu- ous” character. • If X = n, the problem is called unconstrained • If f is linear and X is polyhedral, the problem is a linear programming problem. Otherwise it is a nonlinear programming problem • Linear and nonlinear programming have tradi- tionally been treated separately. Their method- ologies have gradually come closer.
  • 4. TWO MAIN ISSUES• • Characterization of minima − Necessary conditions − Sufficient conditions − Lagrange multiplier theory − Sensitivity − Duality • Computation by iterative algorithms − Iterative descent − Approximation methods − Dual and primal-dual methods
  • 5. APPLICATIONS OF NONLINEAR PROGRAMMING• • Data networks – Routing • Production planning • Resource allocation • Computer-aided design • Solution of equilibrium models • Data analysis and least squares formulations • Modeling human or organizational behavior
  • 6. CHARACTERIZATION PROBLEM • Unconstrained problems − Zero 1st order variation along all directions • Constrained problems − Nonnegative 1st order variation along all fea- sible directions • Equality constraints − Zero 1st order variation along all directions on the constraint surface − Lagrange multiplier theory • Sensitivity
  • 7. COMPUTATION PROBLEM • Iterative descent • Approximation • Role of convergence analysis • Role of rate of convergence analysis • Using an existing package to solve a nonlinear programming problem
  • 8. POST-OPTIMAL ANALYSIS • Sensitivity • Role of Lagrange multipliers as prices
  • 9. DUALITY • Min-common point problem / max-intercept prob- lem duality 0 0 Min Common Point Max Intercept Point Max Intercept Point Min Common Point S S (a) (b) Illustration of the optimal values of the min common point and max intercept point problems. In (a), the two optimal values are not equal. In (b), the set S, when “extended upwards” along the nth axis, yields the set S¯ = {¯ xn ≥ xn, ¯x | for some x ∈ S, ¯ xi = xi, i = 1, . . . , n − 1} which is convex. As a result, the two optimal values are equal. This fact, when suitably formalized, is the basis for some of the most important duality results.