Exact solving of nonlinear optimization problems
by Aleksas Domarkas
Vilnius University, Faculty of Mathematics and Informatics,
Naugarduko 24, Vilnius, Lithuania
aleksas@ieva.mif.vu.lt
NOTE: Program Nopt solve exactly nonlinear optimization problems.
This is Maple 7 Worksheet.
Introduction
Program Nopt solve exactly (where possible) nonlinear optimization problems.
This program employs the function extre ma, which is based on method of Lagrange multipliers.
Calling Sequence:
Nopt(expr, constraints);
Nopt(expr, constraints, min);
Nopt(expr, constraints, max);
Parameters:
expr - expression whose extrema are to be found
constraints - set of constraints
Program Nopt
Example 1
From http://www.mapleapps.com/powertools/optimization/worksheets/markowitz.mws
Problem: Minimize function
with constraints
Solving problem:
Solution:
Example 2
From vec_calc Package -- Version 7.0, extrema.mws by Arthur Belmonte and Philip B. Yasskin
http://www.mapleapps.com/powertools/vectorcalculus/worksheets/vec_calc7.zip
Extremize the function:
inside or on the ellipse where
Absolute maxima occur at the interior points (1,2) and (-1,-2), and the absolute minima occur at the interior points (1,-2) and (-1,2).
We replace ellipse by .
Then
Absolute maxima occur at the boundary points ( ) and ( ) , and the absolute minima occur at the boundary points ( ) and ( ) .
Example 3
Problem
From Calculus and Analytic Geometry III, Fall 1997, M.Kawski
ftp://math.la.asu.edu/pub/kawski/MAPLE/272/f_optim/optim.mws
We now want to find the maximum and the minimum value of z as x and y range over this polygon (its interior, edges, and corners).
Construction set of linear constraints
Solving problem
Example 4
From: IMSL MATH/LIBRARY, Fortran subroutines for Mathematical Applications, vol. 1 and 2,
Chapter 8: Optimization (math.pdf 4.9 M file)
Example 5
Example 6
Note: If expression or constraints has abs function Nopt program may give false results.
Example 7
Example 8
Example 9
Example 10
Example 11
We minimize and maximize distance between plane and ellipsoid .
Example 12
Example 13
Example 14
Example 15
Example 16
While every effort has been made to validate the solutions in this worksheet, Waterloo Maple Inc. and the contributors are not responsible for any errors contained and are not liable for any damages resulting from the use of this material.