Linear Optimization

Samir Meramo Hurtado, MSc., PhD. (c)

Quantitative models II
Industrial Engineering Program
UNICOLOMBO
Introduction to Mathematical programming
Problem statement

Model formulation

Model solution

Model validation
Solution
implementation
Introduction to Mathematical programming
A Typical Mathematical Programming (Optimization) Problem:
min/max 𝑓(𝑥)
subject to 𝑔𝑖 (𝑥) ≤ 0, 𝑖 = 1, … , 𝑚,
(ℎ𝑗 𝑥 = 0, 𝑗 = 1, … , 𝑘)
(𝑥 ∈ 𝑋 ⊂ 𝑅𝑛 )
𝑓, 𝑔𝑖 , ℎ𝑗 : 𝑅𝑛 → 𝑅

• If 𝑓, 𝑔𝑖 , ℎ𝑗 linear function → linear programming problem

• If solution set (or some of the variables) restricted to be integer points →
integer programming problem
• If 𝑓, 𝑔𝑖 , ℎ𝑗 (or part of them) nonlinear function → nonlinear programming
problem
 Optimization Problem Structure
There are 3 main parts that forms an optimization problem:

• Decision Variables: Variables that represent the decision that can be

made.

• Objective function: Each optimization problem is trying to optimize

(maximize/minimize) some goal such as costs, profits, revenue,
flowrate, temperature
Optimization Problem Structure
• Constraints: Set of real restricting parameters that are imposed in real life or by the
structure of the problem. Example for constraints can be:

• Limited budget for a project

• Limited emissions to atmosphere

• Limited sulfur content

• Limited thermodynamic irreversibilities

• Limited manpower or resources

• Being limited to choose only one option out of many options (Process synthesis)
General Form of LP
(1) is the objective function
(2),(3) are the set of constraints
X: vector of decision variables (n*1)
C: vector of objective function coefficients (n*1)
A: Technology matrix (m*n)
b: vector of resource availability (m*1)
Solution of LP
• Constraints define a polyhedron in n dimensions
• If a solution exists, it will be at an extreme point (vertex) of this
polyhedron
• Starting from any feasible solution, we can find the optimal solution by
following the edges of the polyhedron
LP Example 1
LP Example 2
Formulation of the LP
 LP Solution
• To find the solution of LP problems, the line for
• The red line represents the line for (2)
objective function should be plotted and the point
• The green line represents the line for
in feasible region which maximize (minimize) the
(3)
function is the solution.
• The region with blue line represents
• Dashed parallel lines are representing the objective
entire feasible region of the problem
function line for 2 different values.
 LP Solution
• Solution of LP problems are always at the
extreme points of the feasible region: Solution for LP Example 2
X1 X2 Revenue
0 0 0
10 0 150
0 10 200
6.66 6.66 233.33
Computer Aided-Tools for LP model
LP Example 3
LP Example 3 𝐴 ≥ 0.8(𝐴 + 𝐵)
𝐴 ≤ 100
max 20𝐴 + 50𝐵
2𝐴 + 4𝐵 ≤ 240
𝐴; 𝐵 ≥ 0

𝐴 = 80; 𝐵 = 20
Multi-objective optimization model for multi-
feedstock biorefinery synthesis considering
environmental and economic parameters
Lignocellulosic Raw Material
Source Annual Production (t)1 Surface (ha)1 Yield (t/ha)1 Wastes(t)2

Corn 167,455 104,876 1.60 236,112

Rice 70,044 24,805 2.82 178,612

Banana 42,514 5,157 8.24 261,416

Cassava3 397,270 41,445 9.60 397,270

Cocoa4 2,914 6,433 0.45 2,623

1. From Agronet.
2. Own estimation.
3. Modified from Niño, Acosta, y Gelves, (2013)
4. Modified from Igbinadolor y Onilude (2013)
 Fermentation Ethanol

Dark
Hydrogen
Fermentation

ABE Levulinic Acid

Fermentation
Technologies Products
Acid Catalyzed Butanol
Dehydration

Succinic Acid
Anaeronic
Digestion

Pyrolysis Biogas

Gasification Bio-oil
 Model Formulation
Mass Balance Objective Function

𝐹𝑂 = max 𝐸 ; min 𝐼𝐴

𝑘 𝑘 𝑘
(𝐽𝑏𝑝 = 𝛼𝑏𝑝 𝐹𝑏𝑝 ൯ 𝑘
𝐸 = ෍ ෍ ෍ 𝐽𝑏𝑝 𝑘
𝐶𝑘 − ෍ ෍ ෍ 𝐹𝑏𝑝 𝑘
𝐶𝑏 − ෍ ෍ ෍ 𝐽𝑏𝑝 𝐶𝑘𝑏𝑝
𝑘 𝑝 𝑏 𝑘 𝑝 𝑏 𝑘 𝑝 𝑏
Products demand

𝐼𝐴 = ෍ ෍ 𝐽𝑝𝑘 𝐴𝑘 + ෍ ෍ 𝐽𝑝𝑘 𝐴𝑘𝑝 + ෍ ෍ 𝐹𝑏 𝐴𝑏

𝑘
෍ ෍ 𝐽𝑏𝑝 ≤ 𝐽𝑘𝑚𝑎𝑥 𝑘 𝑝 𝑘 𝑝 𝑏 𝑝

𝑘 𝑝
Developed objective function equations
𝐼𝐴
= (𝐹1 𝐴𝑏1 + 𝐹2 𝐴𝑏2 + 𝐹3 𝐴𝑏3 + 𝐹4 𝐴𝑏4 + 𝐹5 𝐴𝑏5 ) + (𝐽11 𝐴11 + 𝐽22 𝐴22 + 𝐽13 𝐴13 + 𝐽44 𝐴44 + 𝐽55 𝐴55 + 𝐽37 𝐴73 + 𝐽66 𝐴66 ) + 𝐽11 + 𝐽21 + 𝐽61 𝐴1

+ 𝐽52 + 𝐽12 + 𝐽72 𝐴2 + 𝐽13 𝐴3 + 𝐽44 + 𝐽54 𝐴4 + 𝐽55 𝐴5 + 𝐽37 𝐴7 + 𝐽66 𝐴6 )

= − 𝐹1 𝐶𝑏1 + 𝐹2 𝐶𝑏2 + 𝐹3 𝐶𝑏3 + 𝐹4 𝐶𝑏4 + 𝐹5 𝐶𝑏5 − 𝐽11 𝐶11 + 𝐽22 𝐶22 + 𝐽13 𝐶13 + 𝐽44 𝐶44 + 𝐽55 𝐶55 + 𝐽37 𝐶37 + 𝐽66 𝐶66 + 𝐽11 + 𝐽21 + 𝐽61 𝐶 1

+ 𝐽52 + 𝐽12 + 𝐽72 𝐶 2 + 𝐽13 𝐶 3 + 𝐽44 + 𝐽54 𝐶 4 + 𝐽55 𝐶 5 + 𝐽37 𝐶 7 + 𝐽66 𝐶 6 )

Glucan, Xylan and Xylose flowrate

𝐹𝑞𝑏 = 𝐹𝑏 𝑛𝑞𝑏
ε-Constrains method
If a multi-objective optimization problem is addressed, we have a
objective function as
Maximize or minimize 𝐹 𝑥 → 𝐹1 𝑥 , 𝐹2 𝑥 , … , 𝐹𝑥 (𝑥)

subject to 𝑔𝑖 (𝑥) ≤ 0, 𝑖 = 1, … , 𝑚,
(ℎ𝑗 𝑥 = 0, 𝑗 = 1, … , 𝑘)
(𝑥 ∈ 𝑋 ⊂ 𝑅𝑛 )
ε-Constrains method
The decision makers choose one objective out of n to be
optimized, the remaining objectives are constrained to be less
than or equal to a target value.

Maximize or minimize 𝐹1 𝑥 Maximize or minimize 𝐹2 𝑥

s.t. s.t.

𝑔𝑖 (𝑥) ≤ 0 𝑔𝑖 𝑥 ≤ 0 𝑎𝑛𝑑 𝐹1 𝑥 < ε

An ε value is obtained
Summary of the model
A linear optimization system with objective function of
minimization of 𝐼𝐴 and maximization of 𝐸 was obtained, with 35
unknowns 𝑋𝑝𝑏 subject to non-negativity restrictions 𝑋𝑝𝑏 ≥ 0 ,
market demand (𝐽𝑘 ≤ 𝐽𝑚𝑎𝑥𝑘 ) and availability of raw materials
𝐹𝑏 ≤ 𝐹𝑏 𝑚𝑎𝑥 . This mathematical programming problem was
solved using LINGO software.
Optimal Pareto Solution
2D-PARETO
0
A Minimal Environmental Impacts
Mimimal Profits

50
Annual Revenue USD$/Year (1e-6)

100

150
30,0 % Maximo Impactos Ambientales
85,3 % Maximo Beneficios Economicos
50,0 % Maximo Impactos Ambientales
200 94,04 % Maximo Beneficios Economicos

250 B Maximal Profits

Maximal Environmental Impacts
D
Non-Feasible Region C
300
0 200 400 600 800 1000 1200
Environmental Impact, PEI/year (1e-6)
Synthetized case of study B
Synthetized case of study D
Summary
Main advantages of LP over NLP:
• Robustness
If there is a solution, it will be found
Unlike NLP, there is only one solution
• Speed
Very efficient implementation of LP solution algorithms
are available in commercial solvers
Many non-linear optimization problems are linearized so they can
be solved using LP
• Piecewise linear cost curves
• DC Scaling-up plants
Efficient and robust method to solve such problems