nonlinear programming

nonlinear programming

Nonlinear programming

The area of applied mathematics and operations research concerned with finding the largest or smallest value of a function subject to constraints or restrictions on the variables of the function. Nonlinear programming is sometimes referred to as nonlinear optimization.

A useful example concerns a power plant that uses the water from a reservoir to cool the plant. The heated water is then piped into a lake. For efficiency, the plant should be run at the highest possible temperature consistent with safety considerations, but there are also limits on the amount of water that can be pumped through the plant, and there are ecological constraints on how much the lake temperature can be raised. The optimization problem is to maximize the temperature of the plant subject to the safety constraints, the limit on the rate at which water can be pumped into the plant, and the bound on the increase in lake temperature.

The nonlinear programming problem refers specifically to the situation in which the function to be minimized or maximized, called the objective function, and the functions that describe the constraints are nonlinear functions. Typically, the variables are continuous; this article is restricted to this case.

Researchers in nonlinear programming consider both the theoretical and practical aspects of these problems. Theoretical issues include the study of algebraic and geometric conditions that characterize a solution, as well as general notions of convexity that determine the existence and uniqueness of solutions. Among the practical questions that are addressed are the mathematical formulation of a specific problem and the development and analysis of algorithms for finding the solution of such problems.

The general nonlinear programming problem can be stated as that of minimizing a scalar-valued objective function f(x) over all vectors x satisfying a set of constraints. The constraints are in the form of general nonlinear equations and inequalities. Mathematically, the nonlinear programming problem may be expressed as below, where x = (x₁, x₂, …, x_n) are the variables of the problem, f is the objective function, g_i( x ) are the inequality constraints, and h_j( x ) are the equality constraints. This formulation is general in that the problem of maximizing f( x ) is equivalent to minimizing -f( x ) and a constraint g_i( x ) ≥ 0 is equivalent to the constraint -g_i( x ) ≤ 0.

Since general nonlinear equations cannot be solved in closed form, iterative methods must be used. Such methods generate a sequence of approximations, or iterates, that will converge to a solution under specified conditions. Newton's method is one of the best-known methods and is the basis for many of the fastest methods for solving the nonlinear programming problem.