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All ight reseed, Except os ‘pemied under he Une Sates Copyript Act of 1976, no ptf his ublstion my be epeduced or tbat nt) fom o by an) mers, or sore oa gute bane or vtieval syst, witht the prior writen permission ofthe pobliser. 34567 690BIE08 ISBN 0-07-041146- Leary of Congress Cataloping-tn-Pubiaton Data Mays, Lary W, vérsysems engineering a management / Lary W, May and Yeo Keung Tong, cm, = (McGraw series wate resources and ovine gineering) Tocloes nde ISBN 0-07-0846 1 Watersupply engineering Mathematical models. 2. Water supply -Managemert=Meratia ods 3. Openions research, LRelabliy(Enpncenng) 1 Tung, YeowKoong Il Te 1, Sees qosaMso 1992 eos 1-420 “Tis Book was set in Times Rosa by Bectonc Technical Publishing Senses. ‘The editors were BJ. Crk and Joka M. Moss Ihe production supereor wns Loise Kar The cnver wa designe ty sep Gas Projet supervision as done by Eectonic TeshiclPoishing Sevies When ordering his tie ase ISBN 0-07-112708-9. inte in Singapore.ABOUT THE AUTHORS Larry W, Mays is a Professor and Chair ofthe Department of Civil Enginering at Arizona State University, Procto August 1989 he was a professor of Civil Engineering and holder of an Engineering Foundation Endowed Professorship at the Univesity fof Texas at Austin where he vas on the faculty since 1976. "He aso served at Direcor ofthe Center for Research in Water Rosrirms gt Texas, He was graduate ‘au ten ‘visiung wesearch Assistant Professor atthe University of| "suis at Urbana-Champaign where he received his Ph.D. in 1976. He recived the BS. (1970) and MS. (19TI) degrees fram the Universiy of Missouri at Rolla, after hich he served in the US, Army stationed atthe Lawrence Livermore Laboratory in Calfomia, Dr. Mays has been very acive in research and teaching thoughout his academic career in the area of hydrology hydraulic, and water resource systems ‘alysis. He isthe co-author of the Book Applied Hydrology, published by MeGra- Hill and editor and the major contributing author ofthe book Reliability Analysis of Water Distribution Systems. published by the Ameccan Society of Civil Engineers. In sudition be has serve asa oasultant 10 various government agencies and industries. He isa registered engineerin eight states, a registered professional hydrologist and has been ative in committees withthe American Society of Civil Engineers and other organizations Yeou-Koung Tung is an Associate Professor of Statistics and a stantial hyéroloist with the Wyoming Water Research Cemer atthe University of Wyoming where he has been since 1985. Prior 10 that time be was an Assistant Professor of Civil Engineering atthe University of Nevada at Reno. He obained the B.S, 1976) in civil tngineerng from Tumkang College inthe Republic of China, and the M.S. (1978) {nd PhD. (1980) from the University of Texas at Austin, His teaching has Been in a wide ange of topics including hydrology, water resources, operations rxeirch, and probability and saisties. He has published exensvely in the areas of application ‘of operations research and probability and saistics in solving hydrologic and water resource problems. In 1987 he received the American Society of Civil Engineers CCotingwood Prize. He has been very active withthe comimiees in the American Society of Civil Engineers“This book is dedicated to the American Indian,CONTENTS Preface Part 1 Principles 1 2 3 a 22 Fy 24 Introduction Background Desertions of Hydrosystems The Synems Concent TAI Design vert Anais 142 Conventional vers Opimizaon Pocedires 143, Optimization Ad. Sigle-Obpestive venus Maple Obectve Optimization 145 Unceaioies in Hyarsystem Design and Analysis, 148. Applications of Opumizaton n Hydrosysems 143 Bulling a Mode! References Books on Selected Topics Problems Economies for Hiydrosystems Enginerng Economie Arsyls BenetCon Analyse ‘Theory of Consumer Behavior 231" Ualty 232 Maxmizaion of Uslty 233. Demand Functions Theory of he rm BAT” Basie Concept 2.82 Opin input Combinations 243 Comin tbe Shor Ronas 32 a as a6 42 a 24 Cot in the Long Ra 2.45 Elasties of Output and Substitution Demand, Sop. and Market Equilbeum Problems Linear Programming with Applications 10 Hydrosystems Linear Programming SI] Acsompton i Linear Programming Models 312 ome of Liner Progamming Solson Algorithms for Linear Programming 321 Grpseal Method 5322 Feauhie Euzeme (or Comet) Poins 323 Algom for Soking Linear Programming Problems 4324 Bane Agorth of Soking Linear Programming Problems Simplex Methoe 331 Basie Algebale Coneps and Setp 332. Algshr of Simplex Method 533 Summary ofr Simplex Method Arif Varitle Methods S41) BigM Method 342 Two-Phase Method Insp the Simplex Taieas 351 Optna Solon 352. Ste of Resouces 353. ParUah Won of Resources (Shadow Pies) Cases ofthe Simplex Matbod Applicaton 3661 Degeneacy 362 Unbounded Soluion 4363 Altemitive Optimal Solutions 364 Noneisting Feasible Solutions Dat of the Simplex Method 31” Definion of Dual Probe 372. Primal Dual Relsnst Mate Version of Simplex Tblese [New Metiods for Solving Linear Progamming Problems Reteeaces Problems Appenit 3A org ene Popa pi a a eer sia hase ines entero 2 e ° ‘0 106 107 108 03 0 ir Ho 80 124s 46 47 a 49 53 se ss 443 Monivarable Methods Contained Optimization: Optimality Condsions 451 Lagrange Malte 4452 Kahn-Tueker Conditions CConsrained Noaliear Optimization: Generalized Redvel Gradient (CRG) Metros et Bue Concepts 452. Genenl Algerians and Basis ane 463 The Reduced Gren 4464 Optmaiy Conditions for GRG M.tnod Cons. aed Nonlinear Optimization: Penly Function Methods CConsined Nonlinear Opinion: Projected Li -vnrvn Veto. ‘Nomiear Programming Codes Problems Uncertainty and Reliability Review of obaiity Theory S11 Teminology S512 Rules of Potaiiy Compotatons 513 Random Varsber and Taw Dssbaons S14 Suatsteal Proprues of Random Variables Commonly Used Probsity Disebutons 521 Bitomal Dierbaton 522 Poison Dison 523, Nomal Ditton 524 Logremal Disnibton Analy of Unceraitis Reliability Computasos Using Load Resistance Analysis S41” Duet Tegra Mets 542. Metis Using Safety Mazin and Safey Factor $43 FintOrder Send Moment Metods 544 Dynamic (Time Dependent) Reliability Mosel Relay Using Timeto ule Analysis 551 Fallye Deas Function 552. Failure Rate ard Hazard Function 553. Mean-Timeso fare ‘35.4 Repu Deasy Function, Repair Re, and Mean-Time- toRepair 555 Mean-Tmeteroen Fare and Mean-Time beeen Repair 536. Avalbiliy and Unavallbliy Relairy Anayss of Simple Systems Optimization of Ready S71 Relablty Design with Redundancy 5522 Reliability Appoionmest Chance-Constrained Models Si Righ-Hland Sle Cofcients Random 342 Teehtologial Coeffcents Random 583. Righ Hand Side and Tecnologia! Cotclens Random References Problems| lysis of Hydrosystems 165, 7 169 5. vs. ur re 181 rs iss 1s it i 1% 13 198 195 196 19 201 a as am 208i conte Pant 2 63 64 6s a 1 u 18 Water Supply Engineering and Management Water Demand Forecasting Water Use and Forscisting Foresaing Manca nd Industral Wer Use 621. Csieston of Methods 622 Gener For of Mocs 623. Data Avalabiity ‘Reresion Modes foe Wate Use Feasting (631 Regression Concept fr Wer Use Forecasting 632 Linea Regrestice 633 Accuracy of Repression Models 634 General Comments abou Repression Analyais CCatcade Mosel for Water Use Forecasting a1 Detending 642 Desesonlizaton 643 Autoregressive Fikerng 644 Climate Represion 1845 Appleton for Monhly Water Use Forecast sonomeme Models for Waer Demand Foresasing {651 Simllaeous Eguaions 652 Reduced Form Emmons 653. Estimation of Sins Parameters [WR—Main Water Ue Foreasing System References, Problems Surface Water Systems Surface Wher Retro Sytem Storage Fir Viele Anayee for Water Supply 721" Fine-Yed Analysis Procedures 122 Oprimiavn Procedure for Fi Viel Analysis Storage Fin Ene) Analysis 731. Concept of Water Supply fr Power Genersion 132 Detemiution of Firm Enery Reservoir Simulation 741. Operation Rules 142° Consevation Simlaon 143 HECS Simulation Mode! ‘Optimal Stang and Operation of Single Maliple-Pupose Reservoir ‘Optimal Sting and Operation of Multiple Purpce Reservoir Systems Reservoir Sing ard Operation under Hydrlopic Uncealy LP Mase 171 Chace Consrined Models Using Linear Decision Rules 332 Meld Mods Reserir Operation under Hydrologic Uncertain: DP Models Retermcet Probes oa me ne 2 ae 2s Bs 27 x ma 28 250 23 26 239 20 261 28 a6 0 x0 m m m 3 es ss 2s 20 mm waz 32 37 520 =82 ry 8a ot 92 on Part 3 10 ro 02 103 Groundwater Systems Basi Pncipes of Groundwater Systems RIL Groundwater Hyeology 812 Groundwater Movement 1813. Typer of Groundwater Quanty Management Models Simelaon of Groundwater Systems 221 Development of Covering Equations 822 Pinte Diference Equations ‘Hydraulic Management Models Embedding Appeoach 4871 Steady Sate One-Dimensional Problems Or Confined Ag.ifers 832. Stenly State Two-Dimensional Model fa Conned Aquifers $33. Transient One Dimensional Problem for Confnea Aguiers 834. Stendy State Two Dimensional Poles for Unconined Aquifers Polley ration and Allston Models Response Mautx Approach Groundmaer Management Model: Optimal onzol Approach References, Water Distribution Systems Description and Purpose of Wate Disibton Systems Water Disbaion System Componens Paps and Purging Hyéraulis Network Silaon D1 Conservation Lass 9.82 Netodk Equations 9443 Network Simulation Alprthms pinion Modes for Desa of Branched Systems ‘Optimization Modes for Dei of Looped Systems Sf Genel Problems 952 A Liar Progrsaning Mods Wav Distribution Sytem Design Medel ‘Water Distibrion Sytem Realy 981 Component Relsbity 982 System Relabley Problems Water Excess Engineering and Management Hydrology and Hydraulies for Water Excess fanagement Floodplain Hyiloge and Hydeatis Ansys Stown Hydropaph Determination: Rain Rolf Acalyis 1021 Hydologe Losses 1022 Une Hyerowaph Approach 1023. US. Amy Compe of Eaginers Hyéologic Engineering (Cntr, HEC-I 10.24 Cominvour Simulation Modes Hydrolgje Amljis: Reservoirs and Rivers 1031 Hologic Resevoir Rating = su 38 oe 20 x0 a2 st a ae 32 38. ut xe ast 3st 356 39 381 361 5st 365 8 m ms a m8 39 30 we x Fc ja 35 396 FS) 3 a106 u na us 16 2 ma m2 ns ns 6 19 103.2, Hydrologic River Routing Hydrologic Frequency Ansys fr Foodphia Determination 101 Flood Flow Fequeney Anayse 1042 US. Water Resources Coun Guidelines Floodplain Elevation: Water Swine Profle Deerminton Hydrate of Fld Foreasung: Datriboted Roving US Natal Wester Service Mosel for River Rowing References, Urban Stormwater Management Systems Urban Stormer Management System Stom Sewer Design 1121 Desig Palosophy 1122 Raton Metod Hyerograph Design Met ‘Minima Cost Design of Storm Sewer Sytrns Reliability Analysis of Storm Sewers 1S Relisbity Computation US2_ Risk-Satery Factor Reltonhip Storter Detesion ST Uraizaon fects and Stormwater Detention 1.62 Selestion of Deteaton Pod Size—Modiid Rational Methat 1163 Hydrpaph Design Method Minimum Cost Design of Regional Sommwater Detsation Systems References Problems Floodplain Management Systems Flod-Coausl Aematives ILL Structural Alemmives 1212 Neasmetral Messces Food Damage Estimation 1221 Damage Rettonhips 1222. Exposed Dumapes, HEC Food Damage Analysis Package Opimisation Mode or amning Fond Control (pina Selection of Foad-CentolAlteraves ise Based Design Risk-Based Design of Highway Drainage Suuctues 121 Design of Roadway Crosing Stnctres 1272 Expected Damages and Objcive Function References Prbiene 0 03 08 a3 45 a6 20 a a a 5 8 or 2 a 43 43 aes 450 s 456 457 488 458 a6 a6 466 am ry a5 05 a5 90 83 84B 3 Be Operation of Surface Water Systems for Flood Control ° Real-Time Food Foreetng aoe TL Coneeps ay [B12 Reak-Tme Data Colleton ystems for RiverLake Syems 336 1513 Rood Early Waring System fr Utan Areas wr 15.14 Food Forecasting Models 00 River Reservoir Operation for Float Consol so 132 Reverie Operation Movels 501 1322 Lower Colordo Rover Floal Foecsing System so ‘pinization Mode fr Developing Operation Pais in (Optimization Modes fr Real Tove Operation of Reservciss Pa Butt Optnizaton Model Usng Hytrologie Rowing rs 142 Optimization Mosel Useg Hysrute Rr Siz Reference sie Problems| sis Author Index. se Tota soPREFACE Hydrosystems is «term orginally coined by V. T. Chow to collectively desribe the technical azeas of hydrology, hydraulics and water wsources, Hydrosystems has also boon a term used for felereice 1 pes of water projects including surface water storage systems, groundwater syslems, distsbuton systems, Hood contol systems and drainage s9stems.Hydrosystems, as used inthis book, actually applies to both definitions, The intent of ths book is w provide a systematic framework for hhydosystems modeling in engineering and sanagemeat. The book has three major pans: Principles, Water Supply Engineering and Management, and Water Excess Engineering and Management. The part ov principles includes chaprerson economics, psimization, and probability and reliabity analvsis 1 provide the necessary back” “ound forthe water solv and water excess pas. The premise i that water problems “Can be subdivided into snus supply engineering and managemeus auc 27 excess Sngineerng and management. Wetersopply management includes chapters on demand forecasting, surface water systems, groundwater systems, and distibution systems, providing well-rounded teatment ofthe various topes eelated to water supply. In 4 similar nanner, the water excess management includes chapters on hydrology and hydraulics, urban drainage design and analysis, ood con systems, and floodplain management. These are topes which typically have not been covered in detail in previous books on water resource systems. First and foremost, his book is intended t be a textbook for students of water resources engineering aid management. This book isnot intended to be a review ofthe literature, but instead is an introduction tO methods used in hydrosystems for Upper level undergraiuate and graduate students, ‘The mata can be presented 10 "dents with no background in operations eeserch and with only an undersraduate background in hycrology and hydraulics. A major focus isto bring together the use of economics. operations research, probability and satisties with he use of hydrology, “hydrulies and water resources for the analysis, dtign operation, and management ot ‘various types of water projects. Tis book should also verve as an excellent reference for engineer, water resource planners, water resource systems analysts, and water managersyiytens Engineering and Management abo cote with he mah email moscingof problems n water poe desig malt, operon ard ma Sfunen. The quiave meh nce (ihe naan of aro hog Shr nolaule bosses pd © se ane of oprsonr rscch_ pbs and SEES ccaomiss pally ese mands Rive boon presented in se tig spr bak nd hve neve ten tend nso ramet trove tdi ook. An cxemve mane of ample poles se peered for ene ‘soncrsundng he mera Iain ae nan feo Snes ots tte pve oF ne honewoe sgrere The epost is tok i on watr{gunty naagemens ad does 6D) cover ur bul mazagenen. To ive bon wir quay and water al ‘Sinemet none et wl be avolunans ofl Through he eof eple Spotl example ao munfocunng waste teatent example he cones of Tee popanming we toured in Chair 3 Thic sae vapid Seton {Sew ilunteh gewrelnd reed pet meted of mine rogaening tot once nun in Seton 8 8 intoace he concep of chan setae po pening rs expected any bok eles te aur’spersnd esepton of he subject evoned ones many yeu tehing eearh, tn fearon eerie ye drosystems Engineering and Managemen: is aimed at a unified, numerical, rigorous, tx prota speach tothe soe. The sje mater is aay In are Tmrcing the Cone of peraonsrsrch md iy sayin ed i hyrsjerscoginecsing td angers. The uv of operations reset an testy snals i hyarsens eniering bas aged bende ein oer Sele of agmerng Teese many reasons for hs dascon of which beyond te pupore of ths preface. We have wen th bok fo cage the ws of pers serch ees ad te concep of ik and relay alysis STosing of hastens or enieeong sa manager The GAMS god CAMS- MINDS oftear galas for ines ant rola rooming, pth dard ote maj cece Trap te opumizaton problems. Hopetaly gh the sy aft bak the snl pain ape for ewe pan techniques aod vay aay ning hyo robin “The mamcri of the bok wa nly ated whe te fi ahr was a ste Une of Tous Austin, This mance wes sed ino pada coe, scours in wae sures pling sd tages # rnd ours Sater sou ems any Morerece ens of he mus were ed two wae naoue sms aaj cous a Ataona Sate Onveriy, Toe fil Cenioes of Be mamas were prpued soley for padi sents. Realising thereat to be se fo eet hs ail ode the ae veins echoed more fdas mati at peserted adel of ops sich #6 Tear reranmns,dranic popamaing, pes sels, mcecononie “pecslon malieandcomonetics Als sme of be hytloge and hydric Tendenenals fr Founder sens, ure wast seme, water mon ‘Sams orn dainage tnd dteon stems an 00d conte sss te reseed ie fal book forte abanae fe undergadate stent atonstns Engineering oe Manager! cul ve fo ere types cous nth he rpoune nd grade eves One eo oe wo Befor students with limited background in hydrology and hydraulics and no background in operations research. Such a course could he based upon material in Chapers 1,2 5, Sections $.1-57, 61-63, 71-76, 8.183, and 9.1-9.5, For students ima second ‘course, mater in Chapter $, 58, 64-66,7.7-T8, 8.-8.5,95-938, Chapters 10,11 12, and 13 could be covered. There are many different courses that could be taught ‘fom this book at the undergraduate and graduate level We express our sincere thanks fo Jan Hausman and Jody Lester a the University fof Texas and Judy Polingyumtewa and Sharyl Hayes at Anzona State University ‘who helped us prepare the manuscript. We also want to acknowledge the assistance provided tous by reviewers of the manuseapt including: Nathan Buras, University of ‘Arizona; Paul Cha, New Jersey Institue of Technology; Howard Chang, San Diego ‘State Universiy; Neil Gngg, Colorado Stte University: Ben Hobbs, Case Westem Reserve University: Kevia Lansey, Universty of Arizona; Bea Chi Yen, University of| linois a Urbana-Champaign: and our mary colleagues and students atthe University fof Texas at Austin the University of Wyoming, and Arizona State Univesity. ‘This book i intended to be a conbution toward the eventual goal of beter cnginecring and management practice inthe hydrosystems field. Because of this, ‘book there have been many unaueht rout in the streams snakes in Wyoming and ‘Arizona, We dedicate this book to the American Indian and to humanity and human ‘welfare, Larry W. Mays Yeou-Koung TungHydrosystems Engineering and ManagementPART I PRINCIPLESCHAPTER 1 INTRODUCTION 1.1 BACKGROUND “Hydrosystems is aterm originally coined by V.T. Chow to describe collectively the technical area of hydrology, hydraulics, and water resources including the application of economics, optimization, probability, statics, and management. Hydrosystems has also been aterm used for reference totypes of water projets including surface war ter storage systems, groundwater systems, distribution systems, food control systems, urban drainage systems, exc. Hydrosysems, a used inthis book, actualy applies 19 both definitions. The premise is that ydrosystems engineering and management can be subdivided into (1) water supply engineering and management, and (2) water ex cess engineering and management. Moder multipurpose water projects are designed for watereupply management andor waerexcess mangement ‘Witer ia renewable resource hat naturally (without human influence) follows the hydrologic cycle as shown in Fig. I-11. The hydrologic cycle is basically a continuous process With Ho beginaing or end which can be represented aa system, [A system isa set of interconnected pars or components that fam a whole, The com= Ponents that form the hydrologiccycl system are precipitation, evaporation, rune, {nd other phases, The global hydrologic cycle repersentod as a system canbe divided into thee basic subsystems: the atmospheric water system containing the preipta- tion, evaporation, interception, and transpiration processes; the surface water system containing the overland flow, surface runoff, subsurface and groundwater outiow, land runoff to sreanis and te ocean processes; and the subsurface waler system Containing the processes of inflation, groundwater rectarge, subsurface flow, and 34 svanansnis ere ae anna Vio on Ss S SSS see outon iGURE 11 dso ylewith ltl nm average wer bate given eis relaive 2 alu 10 te a of pectin sna (Chow. Maen nd Ms 198). roundwater ow. This division of subsystems within the global hydrologic system tre shown in Fig 1.12 1.2. DESCRIPTIONS OF HYDROSYSTEMS. Hydrosystems include srface water supply systems, groundwater supply systems, water distribution systens, urban drainage systems, floodplain management systems, tnd others. Tis seetion will present examples of varieus types of hydrosysems. SURFACE WATER SUPPLY SYSTEMS. An example ofa large comprehensive surface ‘water supply syste: isthe Califoria State Water Project (SWP), which consists of series of reservoir inked by rivers, pumping plans, canals, tunnels. and generating plants as shown in Fig 1.2.1. In northern California the Feather River flow’ into Lake Oroville, the SWP principal reservoir. Releases from Lake Orovile ow through the Feather and Saeremento Rivers 1 the, Delta. In the southern part ofthe Delta, the Harvey Banks pumping lant lls water into the Bethany Reservoir where water is _ssibuted to SWP's South Bay Aqueduct and tothe Governor Edmund G. Brown Califomia Aqueduct, the principal conveyance feture of the SWP. The California, Aqueduct is ested along the westside of the San Joaquin Valley and flows into the San Laie Reservoir about 100 miles downsiveam, The aqueduct continues south andsorcoucon 5 a ‘t Be apni fd nc t,he Mann 8) water is raised 969 fet by four pumping plans (Dos Amigos, Buena Vista, Wheeler Ridge, and Wind Gap) prior to reaching the Tehachapi Mouniains. The Edmonson Pumping Plant lit the water 1,926 feet to a series of runels and siphons. Afer ‘he Tehachapt Crossing, water enters the Eat Branch or the West Branch, The Esst. Branch conveys water to Lake Silverwood where it enters the San Bemadino Tunnel, and drops 1,418 fet through the Devil Canyon Generating Plant. pipeline then conveys water to Lake Pers atthe souther eno ofthe SWWP, 444 males from the Delta. The West Branch conveys water through the Wame Generating Plat ito Pyramid Lake and though Castaic Pumping/Genearing Plant into Castaic Lake, at the end ofthe West Branch, Both simulation and opimization techniques ae ust by the Califoria Department f Water Resouces forthe monthly operation ofthe hve iain SWP reservoirs (Coe and Rankin, 1989) URBAN WATER SYSTEMS. On a much smaller sale te urban water system is an- ‘other example of a hydrosystem. As shown in Fig. L22 urban water systems in- amide coms, project evens, operon and msinennse cos, nton projet lie and ther inane comand Beet tems. Constutonsamass nd operation smateance cous are all sie fo ancentes because ofthe Ructeton i te ‘neo ines of coninton material kor cost, ransporation cot, economic lose, renal diferences and many oer. The problem of ination tens 0 cattesunerainies and shouldbe scouted forint evaluation of economic mest of water reso projects. There are alo mayte conomie a soil uncertain ties that aze related to inconvenience losses. Xnceanse of this is the failure of a highway crossing caused by Aooding resuking intra relaed ones ia18 sommoryemer onennna so sana 1.4.6 Applications of Optimization in Hydrosystems (Optimization can be applied to many types of application to hydrosystems engineering jects and problems including: 1. Determination of operating policies for reservoirs 2. Design of reservoir capacities and location. 13. Operation of hydropower plants Operation of irigaton systems 5. Operation of regional aquifers to determine recharge and pumpage. 6, Design of aguifer dewatering systems. 17. Design of aquifer reclamation systems. 8, Parameter identification fr aguifers 9. Minimum cost design and operation of water distribution systems. 10, Replacement and rehabilitation of water distribution components 11, Aqueduct route determination, 12, Minimum cost design of storm sewer systems. 13, Design of dezenion basins. 14, Determination of food contol systems 15, Determination of freshwater inflows to bays and estuaries, 16, Determination of fir energy and firm yield 147 Building a Model Development ofan optimization model canbe divided into five major pluses 1, Collection of das to describe system. 2. Problem definition and formulation [3 Mode! development ‘4 Model verification and evaluation. ‘8. Model application and interpretation. ‘These phases are outlined in Fig. 1.3. Data collection canbe a very time consuming but extremely imporant phase of the model-building process. The availabilty and sccuray of data can have a grea deal of effect upon the level and detail ofthe model that is formulated andthe ability to evaluate and verify the model “The problem definition and formulation incdes the steps: identification of evision variables, formulation of the model objectives); and formulation of the ‘model constrains. In performing these steps one must 1. Identify the important elements tht penn othe problem, 2 Determine the degre of accuracy equied in the mode!smcuron 19 ‘Mat Beeopen Toa Iron 3. Determine the potential uses ofthe model. 44 Evaluate the sucture and complexity of the model 5, Determine te numberof independent variables, the numberof equations required to describe the system, and the number of unknown parunetes Model development includes th mashematical description, paramater estimation, model input development, and softvare development. The model development phase is an iterative process that in mary eases will equee returning to she model definition and Formulation pase. "The model evaluation and verification hase is checking ofthe model 352 whole. ‘This requires fret ofall testing of the individual model eloments which should be cried out early inthe model building procedure. In many ease the model builder must determine ifthe mathematical relationships are desribng the actual system properly, A sensitivity analysis should be performed ro test the model inputs and Parameter. ‘The prcess of model evaluation and verification isan iterative process20 syncs LONER ANE MANOEL and may require returning tothe problem definition and formulation phase followed by the model development phase as shown in Fig 14.3, Model validation consists (of valdution of the logic, validation of the model assumptions, and validation of the ‘model behavior. One important aspect of this process is that in most caves data used {the formulation process should nat be vsed inthe validation. Another point to keep in mond is that no single validation procedure is appropriate forall models REFERENCES Set Sic Mat a Res, ean Et ing Camm, Ne Ye, cnet ¥. dans Yaa Dae Mtg. Try an May Evi ‘cnom, WT MovimenB Rey sod Maye LW: Applied Hyolgy, McG i New York 1988 (G3 Q and & W Rakin “Caras Asaph Mode! fr Operon Pasig fr he ase Wer ‘etn Comput Deion Sapa Sysemfr Mate Managers Pre Sea Waer Resorts ‘purton Mangers Workop at Corade Sate Unt, Poli, Clr, une 7-30 {ists W taade LE Rai | Coy of L- & Jtmon Bib Aner Steg oC Exposes, Nee er Caton Ls Malte Poramming ond Pll, Arter Pres New Yr, 1978 Ear T- Fan. M,Hinneln’ Opens of Cheol Pree, Mere il New Yeh 108 Gn A'S Ue ine Ira amy Monee nd pr, be iy 8S Cywe, W-Frand Asis “Gstycgy Com, Sin Maco, a Heac Spring” Report 24 ta rn i Rec, Ati, ee anager Paliaion Cnt Federation Wo 4p. 343035, De 187 Mevinoer BB dK Sanaa CrowndeerPdoy ond bony, Woe esos PO BOOKS ON SELECTED TOPICS Water Resources BiswanA Ks fe) Sito Apps Water Mayen, MeCrewH New York, 1976 Burs Ws Site Alcan Nor Rus, can Eeier Panshing Company New Yo oni 8: rch Remar ei per Cah (CoEE NS. Un he farce. Panning Moajemens ae Opeatis J ey & San Dew Yr, 1965 Dine 9 Ys eri Anas of Wer Resource Syms, Mri New York, 17 HaILW, hod A Dc Woe Ress Sens Eyeing, Mera New Yk 190. Steg. Wate eure Poni ond Manages ey & Sn, Now Ye. 58, wl RA and) Pwr We esucesBnpnesng. Ho MeCrw 178, Lourte DP 21R Sedo sed DA, Ht Mae Rese Sper Planing ond Aas, Pranic a Egewond Cit, Na, 18 ajo, Ge Malinecne oe Resource laut, Weer Resouces Monograph 8 Am. Geophys ‘si Wahipon, DC. 157 jon DL and RL Loon Api War Rete Sms Planing, Prete al, Englewood Cie, 9esman Wd Wey Wer Managemen eh nd ners, Hae an Ro, New Yr Bs Groundwater Bet: Hydolisof Gouna. Mera New Yr, 18 Bea, 1 od A Wa, Moaaing Granivater Flow und Pon, D. Rie Ping Company, ‘arc Hong, 187 Bowwe, GrundterHyalogy. Meas New Yar. 1978, ene RA and) A Chany, roaster Pence Hal peso Ci Ny 1973 Kae, fr Geta Engievag, McCnuil, New Yor 1988 “al 8 K: Greater ree, Jo Wily & Sos. Nov Yor 1560 ‘i Rand. 9-6 oh Gown Syme Panis ond Monae, retell, ngewond Hydrology Bein 8a, € Hier: Hyd ond ody na, Aon Wey, Reding. Mss. Bra R Mplayer Hadi Sten, Aden Wesley Reng, Nas 1950 how, Vs BR Mien, oS LW. May: Api roe. McGraw il New Yk 188, ny ies ee MA Rate) LH Pala oy or npn, MeCrnl New Yon, isa, 6 Lewis, Kea: Iran Had, Hager Rom, New Yor, ro Hydraulics (Ci, VT: Oper Chane Hydra, MEG Hl New York NF, 198 Frei R fl: Open Choe! race MeOH New York, 1985 ogo. H- Compe sited Popa oy and Marnie, MEG i, ew Yok 1989 Fee NH coins © bt Pune of iran Eimerng Sens, Pence al. Egle FPrashe, AL Fundamentals of Hyaroie nynering, Holt, Riba. and Wisin, New Yor, 1987 Rote, Au 1 Caney Ch Hsdaie Eger Bexphon Deum, MSS. Beonomies etn 1. dR. Qs Mion Ther Matenal pach Mw ‘Optimization and Systems Analysis ‘Bima, B'Sand #1 Woter Sten Bnpeeing and tnt Price Ha, agewond Ci, Dray, PA. CHa, 2 TL Magma: Appl’ Matemae! Proranmie, Addon Ney Rendng Mss. 197. ena, EV: Dyas Programa: Model and Applicant Pravin Hal Explenod Ci 3 8 ge, TF and D.M Hina: Opinion f Cc! Process, MeCrait, New Yor, 98 GLP. Es W Mays and WH, Mriphe Praca Optnsavion, Acer Pres, London, 18)22 wroronerse mentie Ao ANE ic, A DR. Hae. Duck Mulictjecive Decision Anas with Enning ond snes dotcom Wey Sot, New Yo 192 bith F's aed G1 Libera: Inaction Operation Rech, Mera Hl New Yak, 1980 NeCoricks@:Nowlmear Programming: Theory, Ags an Apaton, abe Wey & So Reliability Analysis acon ant, Pl) Eni elon Ri i We Retr Mais st ay, Rta oe Deg al cri, Men, New Ye, 98 We Ca tata ng Ds, a Wy Sm Nw Yo Mi oe Ants of Mn Din Sts, Amsian Sec Chil Eien Ym) ed Sta nd RAs ia xe, Nr es, PROBLEMS 1B Sele» srfice water supply sytem inthe sate of repon ofthe coun tha 94 Te In and cesribe ts sytem in etal. What are te inputs an oupsof tis system? ‘ina were sme ofthe major eninerngscompisthimets egued i eign, Sul ing, and operating the sytem? What kinds of analysis were used inte hyeoogc Tyra, and economic wes fortis pre!” 1.32 Select an uran drinage eye near where you liv and deserve this ye in deta. Deseibe the ut nd output of is system. What ind of aalsi wee use inte yogic, hye and economic nies fr thie projest? What dein eile were 133 Selecta floodplain managemeot system and describe this sytem in deta, Deseret inputs sd ata of this syste, Wha Kinds of analyse wee used inthe hyoogs, rai and eerie ses fr this project? What desig cei were ose? 14 Desenbe in dei he water dsibuionsfsem that delivers Sater to your place of residence. What Kings of aly nd dain enna were used in he dep ofthis JAS. Sees 2 prounduater sytem nthe Wate orion ofthe country tat you ive in and scribe this system in dea. Describe the inputs and ous of the system. Describe ny problems tht exit wh ti ye”CHAPTER 2 ECONOMICS FOR HYDROSYSTEMS 21 ENGINEERING ECONOMIC ANALYSIS “ing various water resource projet aleratives and selecting the most economical one hie proces requires defining feacbe allematves and then applying a discounting technique to select he best ltemstve. In onder to perform this analysis, several basic concepts such as equivalence of kind, equivalence of time, and discounting factors must be undersicod, . (ne of the fst steps in economic analysis isto finda common value nit such as ‘monetary unis. Though the se of common valve units, alteraives of ater diverse Kinds can be evaluated. The monetary evaluation of alerratives generally occurs over a number of years. Each monetary value must be identified by the amount and the time. The time value of money resulte from the willingness of people to pay interest forthe use of money. Consequently, rioney at diferent times cannot be directly ‘combined or compared but most First be made squivalent though the use of discount factors, Diseount facts conver a monetary value atone date to an equivalent value st another date Discount facors are described using the notation: + isthe anqwal interest ates ‘is the numberof years; P is the preseat amount of money: Fi the future amount (of money; and Ais the annual amount of money. Consider an amount of money P 224 pronererur menasnns oo ACEMEST that is to be invested form years at percent intrest rate, The future sum F at the tend ofr yeas is determined fom the following progression: Le SRo ng 0 1 RNR GI Th in Pemasit ean sh Slept como ae ri & we lZ, @. an) ain “Tis factor defines the number of dollars which accumulate after m year for each olla initially invested at an interest rae of «percent. The single-payment present vworth factor (P/F,.n) is simply the reciprocal of the single payment compound [mount factor. Table 21-1 summaries the various discount facies. ‘Uniform annual series factors ae used for equivalence between present (P) and annual (A) monetary amounts or between future (F) and anual (A) monetary mounts. Consider the amount of money A that must he invested annually (at he end fof each year) to accumulate F atthe end of r years. ‘The las value of Ain the nth {years vithdroun immediately upon deposit soi accumulates no interest. The fare Sale F is F [Equation (2.1.3) is multiplied by (2+), and subtract Bq. (21.3) from whe result to fain the uniform annual series sinking fund fator, FU 494 AP ACEO @13) e14) “The sinking fund factor isthe number of dollars A that must be invested atthe nd of each of m years at + percent interest ro accumulate $1, The series com- pound amount factor (F/A) is simply the reciprocal of the sinking fund factor (lable 21:1), which isthe number of accumulated dollars i SI is invested athe end fof each year. The capitl-recovers factor can be determined by simply multiply- Ing the sinking fund factor (A/F) by the single-payment compound amount factor aardty rl (Sos) E 5 ens)scones toe ninaieras 28 cccior ($a) fA ro cee AAR AL AG oro NAY seemamentne (Ea) a stem Se Sr Faas “Sees p deoradenten Fetal ‘This factor ic the number of dlls that can be withdrawn at the end of each of years if Si italy invested. The reciprocal ofthe eapilaltecovery factor is the Series present worth factor (PA), which i the umber of dollars iially invested 10 withdraw St atthe end of exch year, ‘A uniform gradient series factor isthe number of dolars intl invested in ‘order to withdraw $1 at the exd of the fst yea, $2 atthe end ofthe Second year. $3 st the end of the hid year, ‘Example 211. A wate esouces project has tenets hat equal 20.00 at heed of the fist year and incre on unform grint seis 0 SIGD000 at the en he Bh yet The Heft renin constant $100,000 each year ut the ed of the year 3, er whic hey deomae 10 SO ona uniform grace a the en of year 0. What i he resent value of thee benef wing a percent net ate?26 rose ONEERN AND HABE foe x neo riGuRE 21 - ast How caren Solution, Toe present value of dhe uniform gradient Series for years hough $i 20. ( 73) = 01n02181) = 5292902 “The presen ve of he ann series for year 6 bough 30 - seo (2 6.28) (2.68.8) = onannsare0.07472) 5985250 Preset vale of the uniform gradio series for yees 31 though 40 if made by ¢ sere of enna investments of $80,000 pr year fr yes 37th 29 and sohracing ‘anitorm paden sens forthe same yar, a shown in Fig. 2.1. The preset valoe {s determines by applying be single payment preseni-worh fate, a) soot (2.%,8) (2.08.20) ~ 2000 (2.05.8) ( = 8,006 80170,0.17411)~20-00025.0513790.16425) =59189 “Te otal present wort valu is 5242822 + 955.252 $9,159 = $1.207238 22. BENEFIT-COST ANALYSIS ‘Water projects extend overtime, incur costs troughout the duration of the project, and yield benef. Typically, costs ae larg during the nal constrtion and starup peved, followed by only operation and maintenance costs. Benefits typically build {Upto a maximum overtime as depicted in Fg. 2.2.1. The present value of benefits (VB) and costs (PVC) ae, respectively,cconoancsonsvomirets 27 riguRe 221 (PVB) and costs (PVC) are respectively. perme MM e2n Usp ie TIF and PVC ost ee Te e2n “The present value of net benefits is PVNB = PVB—PVC. ae) bn = om) -a)+ bot 223) ma) sa ee Gear O79 In order o carry out benefit-cost aralyss, ules for economic optimization of he project design and procedures for ranking projects ae needed. Howe (1971) points out thatthe most important poin in projet planing isto consider te broadest range of ieatives. The range of altematives selected are rypically restricted by the respon Sibi ofthe water resouree ageney andlor the planers. The natre of the problem to be solved may also condition the range of altematives, Preliminary investigation bf atematves can help to rule out projects because of technical infeasibility or onthe bass of costs Consider the selection ofan optimal single-purpose project design such asthe constuction of & Rlond-conrl system or a water-supply project. The optimum size fan be determined by seletng the alternative such thatthe marginal or incremental present vale of cost, PVC, is equal to the marginal or incremental present value fof the benefits, APVB, pve = PVC “The marginal of incremental value of benefits and costs are for a given increase in the sizeof «project. apve= 20, Sb Abn Wey Tee OF @24)28 sronoserns ENEELNG AND wenacEMEsT = Aa | Ae arves _ +” +e 225) When selecting set of projects, one rule for optimal selection isto maximize the presen valve of net benfis. Another ranking enterion isto use the boneteont ratio (BIC), PVBPVC. B_ pve c" Ave ‘This method has the option of subractingrecurent cass from the annual benefits or inciodng all costs inthe present value of cost. Each ofthese options will recat ing Afferent BIC, with higher B/Cs when neting aut annusl cost, i the B/C is greater than one. The B/C is frequently used 10 seeen infeasible aleratives whose BIC | for futher consideration Selection of the optimum alemnative is based upon te incremental benefit-cost ratios, AB/AC, whereas the B/C at is used for ranking sltematives The incremental benefit-cost ratio is 226) AB _ PVB(A,) ~ PVB(As) ean AC Pvc.) = PVE) on where PVB(A,) isthe present value of benefits fr altemative A,. Figure 222 ig a ‘lowchar iasrating the benefi-eost method. Example 221. Decne the opti sale of developmen for shywelecine project ‘sing the benei-cost analysis procedure. The various aerate sae poet an car ‘eiponing bes ae listed in Table 221 Sotation, Asconting to Fig. 222, te bne-com analysis pocedre fs comps the BIC ofeach skertive and ras he procs wih BKC > | orcer af neaeng com tants 221 Determination of optimum seale of development of a hydroelectric Plant for Example 2.2.2 (Source: Sewell et al. 1961), 7 7 =] ferent ‘Cos | aie ‘Coat | Benes cv la Benet vac. | ap tse) | eee) | 3000" | we | iso) | som) | apse ism | iam [am 3 =| — nase | zion0 |) 3600 | 13 | Saw | Som | aa zim | 270 | so | 13 | deo | som | 1 pan] mae eam 713 | da | Sto | 43) ism | sam | oe | 13 | dao | 2e00 | 1 nso | susco | somo | 13 | és | Sam | 09 sro | eo | so | 1 | Som | som | on xvate | somo j somo | | ta | Soo | Samo | ts pam aeVv ( ‘sconenacs rom nronnssTEms 29) t ep ateoaines ‘FawesT t 1 Ficume 222 Refering to Table 22 1h BC forthe alternatives ae te incremental teneft-ont rx fon pen neotune ¢ Comparing the S000 and 60,000 XW ateratives he ABAC is 28 3005 e720 > ote st he ncenenal tenes! ao etree he 100600 a Mg oe cel ate i ee TER nee cen ager pene: nh ret oes The eptinum sl of Seiden he 100000 KW projet wch se hs be ae et ee 23. THEORY OF CONSUMER BEHAVIOR 231 Utility |A consumer is assumed to choose among alternatives in a manne o gin satisfaction. ‘Ths anomes that the consumer understands the avalable lteratives [Utility func:30 syonoeyTeUr SERN No Mana {tionsontain the information peraiing othe level of satisfaction of each atemative. ‘uly function with m commodities, w), 42, tim EXPESsed as Ue fly, ean Consider the utility function for + simple case in which a consumer has two com ‘modi to choose from, the utility function is expressed as Lows 232) where ty and ware the quantities of two different commodities. A. utlty function is assumed continuous with frst and second derivatives, and strictly postive fest ‘erivatives so that a consumer will always desie more ofboth commodities. The uiility function is defined for consumprion during a specified period of time. ‘A particular level of wilty w can be defined as w= flwy,s) 233) ‘here us constant and defines an indiference curve which sth loeus of combi- ‘nation of commodities fr which the consumer hs the same lve of satisfaction, Its impossible fora single combination of commodities to yeld two levels of satisfaction Which is to say that indifference curves cannot intersect. Ulity function shapes te concave which restricts the shape of indifference curves. Fortwo points, (v9, u3) and (w}, tf) om an indifference curve where a = f(9, 2) = flv! the following is sstseg (oud + (1 — eno} eu + = ead] > ut 34) for all 0 < @ < 1. Equation (2.3.4) says tht all interior points on a line segment ‘connecting wo points on an indifference curve are Iecated on indffeence curves of higher levels of sasfuction (see Fig 23.1), An indifference map se system of Indiferece curves of differen levels of wily or satisfaction as shown in Fig. 23.2 Another propery of indifference curves is that they fend 10 appreach the anes ‘symptotically, tht is, less and Jess of one commodity is consumed, the sacrifice ‘of parting with an adcitional unit becomes greater. Many more units ofthe second ‘commodity must be subsiued to minain the same level of satisfaction, The tol Aitferenil of a uiity function is F oy OF tue tan + FE ty 235) where 0/0 and @/Ows ae marginal ues, MU ‘Moving along an inditference curve subetuing oe commodiy for the ober, and by rearranging 235)Economie romans em the (ee tH which defines the marginal rate of substitution or the rate of commodity substi= {ution (Henderson and Quand, 1980), The marginal rate of substitution is he slope fo an indifference curve dhr/dwy that defines the ate tata consumer substtes 21 for ws per unit ete of tf maintain a specified level of tly, 2.32 Maximization of Utility Consider the following consumer tadget constraint BP =p tps aan where epresents the consume income and pan pare the pices of 1 and ws, respectively A consumer wants to maximize the uty funtion Eq. (2.3.2) subject {nest oop.32 sromorvon escnennne oo nanan to the budget constraint Eg, (2.3.7). This consrined maximization problem can be approached through the use of a Lagrangian fuse (see Section 4.5 for moré deus) tp) + B® = pian — pa 238) which combines Eqs. 23.2) and (23.7) and using 2 which is « Lagrange mutti- plier. The unknowns in the Lagrangian function are w, uy and A. For optimality (rmaximizaion. the folowing conditions must be sassfed from simple principles in ferential calculus: apieo 2390) eas 390) Combining Eas (2.3.9, 6) resin aL ou (2.3.10) which say that, whem the manimum utility is reached, the rato of the marginal uslties must equal the rato of pices. The optimal points for income allocation for ttvee budget levels B®, B!, and ? are illustrated in Fig. 223.3, FIGURE 233 Open! name tein,rooms son onan 33 By Bq, 2.3.6) the lefthand sie of Eq, (23.10) isthe marginal ate of subst tution (-Ou/Ou, 50 that a the maximum uty, the marginal rate of subsituon is equal the price ratio, Equations (23.92, 6) can be written for af Duh, Be = y aun) PO pe cubic says thatthe marginal sity vided by the price of the commeity must be NSS Second-onder conditions forthe maximization of Lagrangian fret on Eq. (2.38) requires thatthe Hessian detenminant is positive (see Section 4.3 for more detail) a of | | et Bod ay yoo es Sno Oe “nm ich Wa He Oe s(s2ha)om- Bet hive aa From Eas, (39a, 6) pr = (Bf/Ou1) (1/2) and pe = (Of/OusX1/2), which are substiuted into Eq, (23.13) and multiplying by 3° results in 2 (ash) (3h) (a) ~ 54 (ie) - ($5) (FE) >0 eam hich isthe strict inequality for astict qusi-concave function (Section 4.3). 233 [Demand Function, {A consumer's demand function describes the quantity of a commodity thatthe con ‘sumer is willing 10 buy a5 a funetio of prices and income. Demand curves are generally assumed to be negatively sloped (Fig. 234), that i, the lower the price the greater the quant; demanded. Demand functions are single-valued functions of prices and income, as shown inthe demand cure for water in Fig. 234. If all prices nd income change in the same peoponion then the quantities demanded remain un- Changed, This isto say that demand functions are homogeneous of degree zero in prices and income (Henderson and Quant 1980 “Two forces aton the consumer when the price ofa commadity changes: (1) the exchange of commodities or substitution effect; and (2) the ineotne effect in which income increases if price decreases and decreases if price increases. The substiuion effect alnays occurs such tat an increase in price of a commodity resus in less of24 roncrysrans tonne Ane anc Paeeot Gag of Wa ad ‘he commodity being consumed. A price decrease result in more of the commodity being consumed ‘The elasticity of demand isthe proportionate rate of change in quantity de. ‘manded divided by the proportionate rate of change in is own price, = unl. 9190 a eT Commodi with igh lscies (> 1 ae nce, Lane laces ply Share quay denuded ey epost ae sage ZA sone eens ort Commodi ey so te change with reesio pies “ e315) Sow) oP 1 +71 a wy (6252) Pa) OT a py wa +e) 2316) This clears indicates tha if ey > =I, consumer's expenditures on w will increase with ps. Fey << —1, a consumer's expenditures will decrease and if ej) = 1, ‘expenditures will remain unchanged, Price elasicity of demand is 4 propecy of ‘he demand curve so that the elasiciy is influenced by those factors which in flwence demand. Typically. the more elastic a commodity, the more substitutes there are avsilable, the wider the range of uses and the larger the proportion of Gonsumes’s income that it spent on the commodity. In summary, demand it rela. lively inelastic when quaniky changes less than proporionately with pice and is ‘elavety elastic when quanity changes more than proportionately with piceconcn on wrens 38 “Te ers prce elastic of demand celts the papoose change in unity of «commodity to te proportionate change in pic of anther commodity, Our y= On 2317 "a Op eam which may be positive oF negative \/ Brame 231 igs sn Ate 980) devtops he twing water ema fe sia for Tucson, Arizona InQ) = 736 0.2671 P) +161 a) ~ 0.123iD) +0.0897 7) where isthe motly water consumption ofthe serge houseeld i 1001s P is The magia price facing the average Mowsehod inane pr 100 #1 Ds the ference tween th actu water and sewer bill minus what would ave ben pad ial wae tres sold atthe marginal ate (S) 1 the persona income per Rosen in Simon td ithe evaporanspration minus sill ocbes). Deemine tbe pce easy demand foe wate Solution. Tis demand function fr the coma, water, canbe writen 8 = 0.0063427-2" 16h y-01D 0.007 ‘The pce clastic of demand according © Ey (23.15) is 49 5 g? > ‘The rate of technical substitution (RTS) isthe negative of the slope of the inoquam, as = 24, ers = -2 246) Whi isthe rate a which one input most be substituted for another to mts theseomnecronwonceyens 39 same ouput level, The ttl diferent ofa production function is Oftar2) 4. Ot t= PEt gs, Me (2.470) Pade, + MPs am) ‘To remain on an isoguant for changes in dey and di, then = MP,.dey + MPaglz2 48) 0 that he rate of technical substitution is the ratio ofthe marginal products RTS = 249) a “The isoguant map ofthe prodetion proess in Table 24.1 is shown in ig. 2.43. IEMP., or MP, becomes negative, then 0 much ofthe int 2) of, respectively, is used in the production process and the RTS would be negative. The production process in Fig. 2:43 illustrates the aea of rational operation where bth MP, and MPz, are positive and are enclosed by th ridge lies Rand. Poin B is prefer- ble to point A because much less of 72 is used at B to produce the same ouput. Similarly, point 5 is preferable to point © because less of 2 at point B is eequied te produce the same-output level. At point D too mich of both 2, and > are require, In more general form for n variable inputs along an isoquant te following relation holds, 0 24.10) where40) ronanerois BONEN Ao MAKAOOMET TS a, FicuRE » 24.2 Optimal Input Combinations Consider the following linea cost function for the two-variable input production process nyt ean where and raze the prices of inpus 21 and x, respectively. For C fixed at © then a Hocost Tine is the Tocus of input camBinatons which can be purchaed for the fixed cost. Rearanging, an expression for zis ean Fig. 244 ilusrates family of isocost lines superimposed on 2 family isoquants, The optimal input combinations ae a input combinations fora pancalat ‘soquant where the cos is a minimum. These are at points A, B, and C for ouput levels gg? and g respectively. Differentiating Ea. (2412) with respect to 2) 8 dean e--8 2413) earsecneniceroninemcsros at Fanly of co ines superimposed on family of Soquans 1 a producer is either to maximize output subject to a specified cost or to mini- mize cost subjet toa specified cuput, then the producer wil avays use inputs 30 as to equate she RTS and the inpu price ratio. Equation (24.14) can be rearanged 10 MPs, | MPs hich states that the optinnl input combination is found where. the marginal product, ‘f-each input pe dolar of is cast equal forall inp “The locus of tangetey points detines the expansion path of the frm as shown in Fig, 2.44, Rational operation ina production process oaly selects input combinations that are on the expansion path. The expansion puh canbe stated mathematically 38 gtnm)=0 e4.16) e419 for which the first-and second-order conditions for constrained maxima and minima sare satisfied (Henderson and Quandt, 1980). Example 242. Using the production fection a Table 241, producer bas acost outlay [Of sloae for inputs, water and felize. The cout of hee Laps re S106 en42 pronanerne etanne Ato Manso for water and S2.Sobcre for filize. The peodkcer is operating 50 thatthe rate of| lethal subsition is 19s of fener per inch water pe stead te eel production 20 bathelsee Ite producer operating a pt? Solution. The proces is operating such ht the rte a echnical substi i 1% however te opuial RTS iby Eq. (2414) arse R= 202, ‘Basically this says that to much elie i being Wied and hat wate an be subsite for ferlizer. A produce mus se Ths pe inch to be at optimum. By subsaing one inch of water fr 19 Th of eile. the producer could sve the folowing amt Yor 19 hs 4825/1 — 1 in x S10/in «$3750 and sl produce 20 bushels per acre. This avngs could be applied 0 the purchase af ‘ore water in overt tease ouput beyond the 20 buses ‘This nly for masiniing ouput sito at oa can be ered fro te Lagangan ncn snc Lee fen29)- Cnn =r) eam where 3 the Lagg maith paral devas of (247) re 21, Br, ot oe 211 co ions 2.418) and 24.9) canbe wed 0 deve 2418) Ako Es (2418) tnd 2d) an be ed wot ere Lapnge mp eas) 24.19) 2.420) aeea) 2 nated aan Another approach may be to minimize the cost of producing a specified level of ‘utp, which case Eq (2.4.11) i minimized subject to Eq. 2-45) The Lagrangian funsion is Eeeriatrans+ ale? — fiz1.22)) earn where the panial derivatives of Za with respect to 2). and Aa are a ar SB an yA aa, Ban-ngt=o 2.423) oly of ee 2429 ageconcern noncrsTons 43 os Fee fanny Equations (2.6.25) and (2428) can be used 0 derive Eq, (2.4.15) Profit maximization i the ultimate goal of the fin in which the levels ofboth cost and ausput can vary. Profit, Py, is the diference hetwzen cota revenue (pq) and total cost (C). ears, Pram-C fly 22) nny ry 24.26) In order to marimize, sot the partial derivatives BP; /dz and OP; /2zy equal 1 220 2 an x Fea ph ny a0 eam ar _ at Se a poh e428) which can be used to derive Ba, (24.15) Example 243. A methodology for etimsing the cost of cooling postion fro ‘bun sonar wae developed by Heaney et. (1978) 1 determine he opin co ‘ration of storage and weateat The iets are the storage volume and te exment rae and he ouput forthe producon Tain ste maxuum lve of ent. The Soqunts ar expested at Tan ease? shee T i te wetweather tetmen rat ia aces per Nou.) 5 he eaten ae at ‘THch te uoquan i stymploeothe orate, in inches per Hou. Ti the weazent ‘ae at which oguans rect he abscissa i hes pr hour Sis he storage vole ln inces and ea ons pe inch. Theat cost of weaeat ss rp ad the anit fost of somge sr. Beene an equation forthe optimal mount of torage i hes tnd the optimal treatment inches per Dou fo minnie te cost Solusion. The wetsweaereptaizaton problem is 6 minimize the cst, Minimize 2=r5S-+erT © bjt othe consint aguas) Tene mee ® with 7, $2 0, Te Lagrangian fanten ie LaesStrnP + MIT =T) -ct5 ~ Tye} © then the stad conditions for optimality ae on ten Enders M-TH ® a on ©444 wroosyeane toners ab ence aL Ds TT Tye¥* o From (d) hen p92 KT = THe BS @ and earanging o @ Fern (e sobttoe r= 1 igfetacn no) ke [zacn—n) Breas $ cn eae he optima srg, 5 wold wm in gen} “The optima amount of eaten is renen-me" 243 Costin the Short Run “The production funtion Eq. (242), the cost Eq. (24.11), and the expansion path Eq, (24.16) form a system of equations. Now consideration is given toa short run snalysis. This type of analysis is bated on a short enough perio of time such that, fone or more variable input quantities are fixed. Consider ashort run so that inpat 2 SS fxed and 23 is variable, then Eqs. (24.2), (24.11) and (24.16) become a= fn) Cangtne tay, 22)=0 ‘This system of equations is combined into a single equation C= elarmite 2.429), where i the fixed cost (€= 7:2). Over the shee run, the costs of fxed inputs is the fixed cost, Assuming that input prices are marian, then Ca e@ee 430) Which i associated with points slong the vercal line in Fig. 2.4.5 with 2, fedcomnts oninonesma 48 Total variable cost (TVC) isthe money spent on she variate inputs. Total fixed cost isthe money spent on the Axed explicit cost (for Axed inputs) and the ‘implicit costs of production. Total cost (TC) isthe sum ofthe tot Bxed cost and the total vanable costs, The average total cost (ATC), se average variable cost (AVC), and the average fixed costs (AFC) are defined, respectively, as atc = Mate 2431) aves 4 (24.32) 7 AFC = © (2433) where c = ruth. a6 before, The marginal cost (MC) isthe change in roa cost Sibutable fo one-unit change in ourput ac _ ate a a Figures 246 and 2.4.66 depict a produstion proces inthe short run in which the total cost is «cubic fonction of ouput. It an be shown that the MC curve passes through the minimum points of the AVC and ATC curves “The average variable cost Eq. (2432) Wena : and 2.435) aa AP 439) where AP isthe average product (g/13), The marginal cost from (2.6.4) can be efined furher Mc= a3) ave (2.436) Shr Rn Egon Pah a FIGURE 24546 ronorarne enuzane snp nascent croigive ate (Citic at eneton ° (ey Comparion MC, ATE ANC and FIGURE 246 rt pes or where MP isthe marginal produet 2.4.4) This shows that MC will decrease with an increase in MP and increases with s decrease in MP. ‘The total revenue (TR) from sale of a product is TR = pa so thatthe prof is Py =TR—TC. To maximize profit 0 that io maximize 437) ‘The unit price, pis als the margins] revenue in this case and dé isthe marginal cosk, $0 that profit {§ maximized when the marginal revenue is equal to the ‘marginal cost. 244 Costin the Long Run ‘Lag ran refers 10 period of time of such length that ll inputs are considered «8 vardble. Referring to Fig. 245, long-run cost are associated with the optima! pots along the expansion pa gtei.z2) "0 2438) whereas shor-run costs are associated with points along the verical line with 2) fixed. Matiematicaly. the long-run average-cos uve is the envelope of short-run average cont curves.ccoomcs rn motores 47 24,5. Elasticities of Output and Substitution “The elasticity of output wih respect 0 a change inthe jth input is “2, fix) Tos or, in which x = (2),235--.a) an n-dimensional vector. The elasticity of production isthe sum ofall easticies of output with respect othe varius inputs, Sow ou 600 eho 2439) on ty at ston ene tee ih sting of ps cake ie e's operate ae af ange of be nt Sd By ie rope fue oh TS UP dela an ae easy where ax, ay in wish can be ded io Henderan an Quant 1980) af (Of af __ anne aes) a aL eas) 2443) sty ‘ie; [az By ~ Ora 921 using the definition of the total derivative of @(za/r1)/OF. The elastic of substi= tution i postive ifthe preducton function has conver isoguants. Some production functions have constant elstities of substitution: however, for most production func- tions, © aries from point to point. US5_vemano, surrty, AND MARKET EQUILIBRIUM Te con of ema ad spl hve en ind inh prev sto tian of canon ad ony ft mT eon ig oar coep of py al Gonnd ne vpn demain of eat fees cone dh wal uy ed in aes ‘XSsconers eman or conmodiy oy pense is ie aye pes oft aber omens ans me 87 ona non forse Di= DO. P.-~.2m 5° asp Forall prices remaining constant excep ps and a constant income the demand function reduces 0 D.= Die) esa)48 prorosmse Hones Apa “The market demand function for 3 commodity isthe sum of the demand functions af individual consumers, D=SDi)= Dw) esa we isthe ageepe demand. This agg demand assumes ial pres and te commen? nce cone "htm wl vevenoe ie TR py, The marginal revenue ste reat wich tea veme Incense a @ esl of cal nctetes in le expressed as CTR) _ oP “The marginal revenue curve fora firm isthe demiand curve. 'A supply function defines the quantity that a frm will produce as a function of market price. Supply functions fr individual ems can be defined for (a) very Shor periods of time when ourput level cannot vary () short run daring a ime that ‘wtput level can vary and some inputs are fixed; and (c) long run duting whieh all Inputs ae considered variable. Supply functions can be derived from the first-order conditions for profit maximization. A fim’s short-run MC isa function of the ouput, MC = f(g). A fis shor-run supply curve is the short-run MC care which les above the average variable costcuve (se Fig. 2.5.1). An aggregate supply function isthe sum of the individual supply Tunctions, s=DSw= se ess) MR= @s4) and an aggregate supply curve is the horizontal sum of indivitul supply cures. ‘The second-order condition for profit maximization requires tne MC curve to be rising. MC and AN canes fo hon, A few rn my ce canine NComesconenceson noacevemns 49 ‘ean appt and mare ifr (Sehe et 1978) Tete cares fr spt (5) ant ‘ei te Seps woud inp omtnalowering of yew pa Ie pe fab pe gly sortage. Compciiee Masi Anodgit comuners slong wih mcesed ouput By sellers wil increase A fiem’s long-run optimal ouput results when the long-ran MC is equal 10 the price, Fig. 25:2 shows the supply and demand curves fora commodity. These cures intersect atthe equilibrium price, p., and the equilibrium quantity where ‘he quancity demanded and the quantity supplied se equal REFERENCES in Bd, ae "es nr Na AC reg ck Rae Land one Ir HS id BR Beste “Un Resse Dera o Wer te Ue Ste” LandSi syonosyses neste a MASA eke, 5, H-and L.de Maré: “Musil Wer Demand” Madeling Water Demands) Kine eae) By Sl Nand MP Map "Stare Tsien Me f Sanne Conta” JE "Er, Dy ASCE, vl 108, 0. BEL. pS", Angst 1978 een, 1 ML and RE Quan, Micretonmic Theory A Mather! Appasch, MG Howe. €° and Liswene, “Te nga Prien Reset Water Demand ais Relation fo Spat Design tnd ce Sowse aw fer: Reeth vl 3.20 ep /2 23 198 Howe, € W. Bee Cut Aas fr hae Sytem Ping, Waser Rest Moog 2 Amarean ‘cepa Union, ahinpon DE. le seh) E-M Hin andes, Nana Rete come Coe Noes Wier Reus ‘rvs US. Godbpeal Survey. ue 197 Ser RDB, WR: Gu Bee Rep Rees PROBLEMS LLL. Solve Brample 21.1 using mn interest ae of 8 percent 2112 A water resources projec Bs prosiced benefte of $40,000 athe en ofeach of 20 fears, Determine the preset vale of dese benefits using ¢ 6 peoen ineres re Determine the vale of the Benois a he end of the 20 ea RUB A water resoures project has produced beefs of $20,00 athe ead af he es year {direst ona uriform graient sere io $100.00 athe end ofthe fh year. The enefts rman constant a $100.00 each year nite end year 2. Deemine she “ose! vale ofthese berets wing 46 petentinerest ae 249 A wate resourses projec has produced Benes of $10.00 athe end of theft yar Sd inreave on Uniform groin! srs to SS0000 atthe end of the BED yer, The ‘ees ten decease to zero on + uniform gradient series to $Date end of year 10 Detemine the vue ofthese berets in yea O and year 25 using an ines ate of | Seren. \/ 223 se the benefivcot analysis procedure to determine the optima sale of developmen forthe follwing aeratives for 3 smal bydroelecie oy “Tiara — Cases, (Sale) Stet set vwon09 220000 ‘00.00 ‘sap000 ‘s0000 2mgan.0 2122 Fou aleve projets presented hee canbe wie fr developing wae supply foe 1 commit forthe nest 40 yea. Use the beefios rato method 1 empae and Select an aerate. Use a6 perce ines raast scncuecs ox eerons SI Tope Bat apt Pr very 1 "mt ~ rin Cot ‘3 weno seowe —s9penm0 tom » bm saoatco —2na090 inpw000 % babe" aoo inom Operon ad Wasi Cot Tn ema tommy —oaIHD AMEN oa apansne —ihme0d9 90000 13800000 sow ome Ianomoo wotma00 “e000 ie [somo somo Is00mn90 om > (RYE (PE) (BE 88) FAY Find the, pial combination of cormedies for» consumer with wit fanction, th lug. and budget constant, Su, ay = 100 (om Hendeson and Quan. 1980) “The near demand model eve by Hanke ade Mar (198) for Malmo, Sweden is Q= 647 0.0017 (ne) +476 (Ad) +392 (Co) ~ 0406) +2903 (Age) ~ 642 (P) wher euro mere! ne ef i ed She eal poor ume pre pert See rowel ales ‘Sore pr mrad ier aes te mie er) At manera pre, per se sm! eo GS Ramtron yr hae pr semi pera. 1 lta yersentan pod a) ‘ge Sd rare we of fo owe Noes ul 1968 an 196. Intnl ef forte his ul een 198 nd 96. P= al prc i Sedu crowns fer no wt ber sen anal prod Gale ran ever sommoaty csp ba wefan of Sw hing eee ae P 72a Q #752108 fr Mai ero or tabncpa Sona ipa aeons ee Dec hte of ed rth wend lin Prem 22. ig SESS Sara Tae eateries ae ad pata ge we cae es day of we dana its et wae ded fe eee ac Sa A toma we sae ly re macnn ie ore Q2206-13R, 43.472 whee isthe average annual auantit demand for domestic purposes in gllons per Geelling uit pr day. Pi the sm of water and sewer charges tht vary ih water Ute (vaunted xing» lock rte appeable to the average domes wie i ech ty Sesh and is the she vale ofthe dweling unit in howsands of dollars, Conse aetna of 206 plan and hee) pe of 4 en D 2.246 Foster and Beste (1979) developed demand {tion for uran residential vate ‘Semand for applica in the U.S, Te demand incon is InQ= =1 3495 ~ 0 1278Fy +0.4619%n (1) ~ 0.169 1n (F) + 0.4345 a (H) where Qi the quantity of water demande per meter (1,00 cub fet per yea) Pas is the average water pice (ola per 1,000 eb et, she medi hosel ince (dollars per yeas Fis the preipiain i inches ring the growing season; a #1 Inthe sverige numberof resident per mete. Detemite the pace elas of demand Caleta athe mean price. 8867/1000 gallos For ie proucion proces in Table 241 determine and plot the ttl. average, and ruuginal product curves for nitogen ferzer piven that sipation wiser is aed 3 2442, Ditemine and plot the optimal ingu combination (expansion path) for the prods: tion proces in Table 2.4.1. The spt pices are S207 for niosen ferler and S10.Dicreinch for inigaton water, 243 Determine ar plot he long rn tl cs, verge cost, ad margin cox curve forthe produc process ip Table 21 sing the optimal np combination fer the expansion uth determine Poem 2.42 ‘244 Using te prodcton process in Table 241, determine and plot te shor nun ol fxd 246 Foralinear prodction fnctin ofthe form cost total variable cos, tl cos average faod cox (AFC) average varale cost (ANG), average tal co (ATC), and magna cost (MC) Assume thatthe ington ster is aed at 7 ice in he shor ran. USE input prices of $2 0b fr nitogen Ferilze and SIOere inch for rigaon water. Pio te cues for APC, AVC. ATC. apd MC on ove pat Discus the fetta the MC cure inersets he othe eee [ing te production pres in able 24.1, determine the shor-rm prot for various Tevels of the tal produt. Assuring that cor sal for S1ABRuthel ipa pices ae SLSGnb for aivoge fenlzer and $1000 acrefich for iigaton water. Te aout of iigation wae is Sted at 7 arenes. Use real of Proem 28.4 10 work ts problem What ithe rol product hr maximize pct inthe shor fon? 121+ 7; detemine the easy of producto, elas of sutton, nd marginal oduct ofeach np \/ 247 Beemie the esi of cua and te elas of eto fo the foowing production fnctin - onbyshat 251 Consider the llowieg demand funtion fo domestic demand of wate (Qq) and ik “ing Geman of water (Qe) spectively ona 7520214087 od hop 121 +1Slogpenone ron emcevrans $3 where Quand Qs aia illo pe owachol yan isthe pice of water in cents pe ‘Gowsand alos, Domes dean ovis 12 ont of the yea and spnktng demand ‘rer four month ofthe year Fi, dceie the demand curve for domestic ané “printing hen the gargs demand care fo population of one milion households TE ater pcs ae st $0,37000 gallos, can a supply f 309 lion gallons per dy IMCD) meet demands? A hate woul ly fave to charge so atthe average tend guaniy demanded woul equal 300 MCD?CHAPTER 3 LINEAR PROGRAMMING WITH APPLICATIONS TO HYDROSYSTEMS 3a LINEAR PROGRAMMING Linearyrogramming (LP) models have been applied extensively to optimal resource allocation problems. As the name implies, LP made have two basic characteris, that is, both the objective function and consrants ae linear functions ofthe decision varabies, The gener form of an LP model can be expressed as Max (or Min) z0= Sees one) sve . Soouyehy rset Qa ou 520, for 21, Ao ite where eis the objective function coefficient, cis the technological coefficient, and he right-hand side (RHS) coeticient in algebraic form, ths LP model canbe expanded as Max (or Min) x9 = e121 + 6x22 4-4 Cate G10subject 10 zt + ansey 40+ cnt Su y Hagze t+ dant Sha 6.125 Att Pamat2 + eta SO Fy 20g BO. ty 20 Ateratively, in matrix form, an LP model can be concisely expressed as Max (or Min) = x 6.130) subject 19 acs 1%) x20 G30) where € is an n by 1 cohimn vector of objective fun, soeficiens x is an m by L eolumn vector of decision variables, A isan zm by 1 matrix of technological Coeficiente bis an by {column vector ofthe RHS coefficients, andthe superscript {T represets the transpose ofa matrix ora vecor. Excellent rexbooks on LP include Gass (1985), Taba (1987), Winston (1987), acd Hillier and Lieberman (1990) Example 3... Consider a system composed of a manufacurng factory and a waste trestmen plat owned by the manfaeures (Feige aly 1971). The manag fn produces finshed goods tat sell aunt pce of SIO K. However, the Sishes [ons cost $3 K per ant wo produce. nthe manufacturing process wo wns of wate ‘Eo generac for cach unt of fied good produce. In nition co deciding bow ‘any unis of gods to grdce, he plat manager mus also decide How muEN waste Srl b dchsged without eaten tat the tal et beet ote company can Be Tnatized andthe water quality sguement of the watercourse is met. The teatment plan has ima capacity of xing 10 nits of waste with 80 percent mast removal rviney at a weareat cost of S06 K pe uit of waste. Ter s also an effluent ax rpm on fe wane dschagd tthe receiving water body (52 K foreach sot of Stnt charged) The water polision congo auoory has stan upper Ht of four ie on he enourt of waste any anufaeraer ay cicharge. Format an LP mee! fortis pate, Solution. The fw sep ic model development is 1 ieny the system components involed an the itenaecvons. ta ths example, te system components ae the ‘manag factory, esate eaten plat, and th watercourse. From the pob- Sto emt, the two decison valet the problem: ati (1) mabe of wis tf finshed gods ro he produce, ys md (2) quaniy of waste 10 be dacarged di telly to te watereaune witout eament > can be immediately tenia. From the escrito of te intreltonhip of Balsied ands, waste georate, and trestent Plt ciency a sthematc condgurson of the sem under ay ean be const UNthown in Fp S11. The amount of wage in exc thie detained by De asta peice orhernure, before the model costo it i essential 0 identify the problem bjecve snd eosin Un this example, be ejecive of he problem is profit mast Tzwton, Te contains ase mary from he instaions on retest capt and6 snoroero nas 9 MASH? (Unis of gots be odes vats eseen FIGURE 31 Sematc dram of maniocurngte eaten sen on te allowable waste discharges set by the water pllion consol autor. Reco: ‘izing the problem objective andthe contains imposed, the model eortton sep {rascal involves the wanton of verbal esepions ofthe objective ad cosas into mathematical expresions lo tems of decshn vaabes and pruners, The net revenue ofthe manufrs deerme by four Hes: () sls offs gods (i 5K), Izy; @) eas of praducng gods (in $ 0), 3}: (2) ost of weaing the wae (in 3K) generated from the profaction process, 6(22, ~ 22), and (een x in 'SK) chara on unseated wast, 22 102122, ~ 2). The promt the manulstrer i egal ote ttl eles ris the foal cos. The abctve faction ote problem is vo maximize de ost which i 10x; ~ (32) +060, ~ 22)* 2129 +0222 ~ )}) S55) = 2p The objective i then expressed a Max 29 52) ~22 Refering o Fig. 2.1.1, the conse onthe limiaton of wesiment plan capacity ‘can be exprested mathematically a 2x2 S10 “Tis consrint estat he amount of waste to be tea, 25) 23, anna exceed te plan capacity of resting 10 unis of waste. Similar, the consraat associated ‘tthe aroun of ll wae hat can be charge othe watercourse canbe express’ 240202) —2) <4ney ocean ws amucaens To onorve 57 where he lefthand side (LHS) of he consi i the oral waste oe charged (ie Fig...) andthe RHS of he oe allowable wae unis set by se water polation eno auton, 'n aldton 1 te 10 obvious consis ineted ere, tere exists a rather sible consiant hat mur be icorperated inthe model. A corsa sage 10 re tat 2 postive amount of waste ss texted. In eer words, the model shold ila a constant imposing the soanegatviy onthe guary, 2, ~ 1, wih en be xpesed muemacally a Finally the two decison variables physically cnt be les tan 200. Therefore, an eptiviy conaits of the two decision varabes, 2 > O and x2 2 0 mus be ince in he onstsict. ‘Th hal version of the makeraticl programming del forthe problem. afer sme agers maniuations. canbe smmarzed a Moczy Sei snbject 0 satin sd -n20 12 0and22 20 Examining the formulation ofthe developed optimization model, one recognizes thatthe esting model is an LP medel. However, src speaking, the motel presented may not be considered as an LP mode if he decision variables, pariculary i, an only be integer values. If tat is the case the model is a mixed integer ‘programming model that requires special algorithm to solve it Ip fact, there are Several assumptions impli bul into an LP model ferolation. ‘These assumptions are discussed in more detail n the ‘llowing sections. Daa Assumptions ia Lier Programming Models Tete bse spi np at no LP mde 1. Proportonality assumption. This implies thatthe contsbution ofthe jth decision arabe tothe effectiveness measure, cj2;, and is usage of the various resources, 1432), are directly proportional to the value of the decision variable. 2. Additvity assumption. This assunprion means that, ata given level of activity (Gu, zo, ta) te fol wage of eSources and contribution tothe overall measure of effectiveness are equal 0 the sum ofthe comespoading quantities generated by each activity conducted by isl. 3. Divisibility assumption, Activity units can be divided into any Fractional level, 0 that nonineger values forthe decision variables ae pexmisaile44 Deterministic assumption. All parameters in the model sre known constants without uncenaint. The eect ofthe uncenainty of parameters onthe result can be investigated by conducting sensitivity analysis Because LP odels canbe presented in variety f forms (maximization, minimiza Bion, >, =, <); it is necessary to modify these forms to ft a panicular solution procedure. Basically, two types of linear programming model formulstions are use Standard form and canonical form, The standard for is used for solving the LP model algebrically, Is ba sic charecteristics involve the following: (1) all constraints aze equality except for the nonnegativty constants eesociated withthe decision variables which remain equality of the > type: 2) all the RHS coefficient of the consrast equations are ‘onnegaive that i, > 0, (3) all decision variables are nonnegatve: and () the ‘objective function can be either manimized or minimized, An LP rode having a Standard form can be expressed as Max (or Min) 21@ 32625 (14a) Fa , G14) 20, for j#1, pose ‘Example 3.1.2, Convert the LP motel forthe manufacturing wise treatment example fomalated i the previous subsection it the sada frm. Solution. Since the obecivefantion in sandr frm canbe ether maximo or unumization, there so ned to modify the objective function. However, the standard fom ofan LP model segue tha all constants ae i the fra of equations, which torte cae for al vee consti inte mode, Therefore, madifcaton ate equred [Nose tha since te fit constraint i of te < ype, 2 nonnegative slack warble 0 te ade to the LHS ofthe consnt which ten becomes 2x46) 10 Simi, the secon inequality constraint can be ranformed to 042,408 +n a4 where ois pomepsive slick variable associ with he second cantant. For the ‘hte constrain, sine iis of the > type a slack variable 6 2 O cane subst for the LHS andthe este aey-a-9 0sat rccnsnano wreamucarons onvonceremae 59 “Tee orignal devision varables , £2 andthe thre slack varies 1. #2, nd sy Tal aonegtve, ten condion 3 fstised. Farbermore he RHS coefient of Me Loosing ase nonnegative. The suing sandard form ofthe LP model fore Imanaacuring wae eament example is Mas sp « Sj — 23 #08) +08) 055 ssbjec 0 dey -ntn=t0 daye depend dyon-ned All xa se nonnative “The canonical form, on the other hand is wef in presenting the duality theory ofthe LP model I possesses the following thee features in model formulation: (1) Air decision variables are nonnegative; (2) all constrains ae ofthe < type: and) the objective function is ofthe maximization ype. An LP model having a canonical form is 6.150) subject 10 6.135) Note that negative RHS exefclent, bin the canonical form is permissible \Vesampe 31. cose the rial LP lo emanate went amb Sno fom Solution, Since te erga objective function sof the maximization pe a rosie bythe canoe form 0 modest is ended. Wit eg oe constaits the rt (ho consis ae ofthe © type wach sts the gurement of a canonical form, Hiwevex the hind constraint i of te = type whieh ean be convened to S 1p by ruling on bth sis of he consti resign onegativty urement of the decison variables 5 algo sti, The resuing LP ‘de ia the canonical form ca be stated 38 Max 29 252) —2(6 sroncevrs sno Asp MANACEMEST subject vo ay-n<10 Bary + Rep St cinen so 2 2 0and 23 >0 Moce often than not, the LP model originally consnited does not siti the characteristics of a sundard form or a canonical form. The folowing clementary ‘operations enable one to transform an LP rodel ito any desirable form, 1. Maximization of a function f(z) is equal 10 the minimization of is negative counterpan, that is, Max f(2)= Minl—f(2]. 2. Consirants of the > type can be converted tothe © type by multiplying by ~| on both sides ofthe inequaly 3. An equation canbe replaced by rvo inequalities ofthe apposite sign. For example, ‘an equation g(z) = 0 can be substituted by g(2) b ‘4 An ineqatity involving an absolute expression canbe repiced by ro inequalities without an absolute sign, For example, (x) < bean be replaced by g(2) < 8 and giz) > ~b 5. Ifa decision variable x is unresricted.n-sign (ie. it ean be pasitive, 220, oF negative), then it ean be replaced by the diferene of mo nonnegstive decison vatables, z= 2" — 2", where 2° > O and 2” > 0. 6, To transform an inequality into an equation, nonnegative variable canbe added or subacted, 32, SOLUTION ALGORITHMS FOR LINEAR PROGRAMMING. aree ‘One simple way to solve an LP problem is by using the graphical method. However, ‘this metiod js limited to LP problems involving at most two decison variables (ex. ‘luting any ofthe slack variables). To lay the foundation for geometric interpretation ‘of the algebrc algorithm described later, the graphical method will be used to solve ‘the manufactur waste tyeatment problem in the following example Example 2: Solve the manufacesng nate etme problem to find the optimum umber of units ised goods ob produced = andthe aroun of waste peered be discharge witha seatment zs the net benefit to the manufac is maximize Solution. Refeing © Ge LP made} conscted forthe problem (i Example 3.1.1), it ivolves two decision variables and tree constants (excusing he tone) ‘requirement om the decision variables), The faible space can be define by ll beusesrrcctme sot nucirons romans 6 const ia te model including the nnaegaivity of cision varisles. Beene she ‘uo darsonvanables cannot be neti he feasible space is contained i the notes issue Toe feanble sce (he iss Need aa) forthe exaple ober i stows tne S22 ah sil line on Fig. 3.2.1 dened by he corespndng consi {lke an cquton ad be two pica tes eptesen ihe nonnegaviy of = and = ‘Toe stow by cat line atts te a-plane in which ll ont ais the soins ‘Hostin. The fesblespce steer the strsection of ales hal-laes ans Sry pole inthe Feasible spce ais all contains smulaneusy. whichis te feasible solaon to the opimzation mode. “Show the value ofthe manunim net bene ot yet known, a aban enor procedure must be sed. Fs, sine ras fo 29 = 0 30 thatthe comesponding Mjestve function equation pases tough te origin, Mathematically speaking. all trans (29 fling o the ine Sy 23 =0 wil ela value ofr othe tl net inci. Ofcourse, one sony stro nose potest al within the cos-achad {Ses which represens te feasible repon “f imgat wher te ‘oa net tenet ca be uter improved the objsive tunction ins can be moved backward or forward gral 1 the cial ne 568 Now the objecting funtion vue varies The objective Fenton Kneis moved 10 the left and (Tue ofr and. abitaily chosen from de line. ae sed ro compute the vale of {pe sine fonction: One wool nd tha th x Yalu associated with any Tine 0 he ict of ine $2) ~ ry =O ad prll tit negative, As the line is moved fer to ‘Shek oeite ce of matcuriag wise eamen ean(62 rons rice a8 vache? he Hel the value of za becomes moe an mote negative, Thi indicts ta th search is mae in th wrong decion sie the robem rasan ‘ye: te Bip =o value the beter Accordingly, fe search diction sould be alered by ang the bse function linet the rig of $2) ~=2 = 0. Immediately, te vale of he et ‘ene becomes positive and is ead inereasing the ine is tved farther 10 the eh However, the ine eanat move 1 the righ indefinitely ven fit comsuousy Increases the net tenet. As canbe seen, ser passing pin Cine cbjeive faeton in ortans no feast point In ts example. un be conclu ta he combination of 2 and represented by point C. thar (6,2) te epimum sot te problem, ‘The maximum achievable net bere othe menace is 56) "2 = $28 K ‘The graphical method is applicable only to prblems involving two decision ‘arabes. For problems with more than two decsin variables, the shapes of the objective function and constraint equation of constant value are called hyperplanes, inthe n-dimensional space. 32.2, Feasible Extreme (or Corner) Points Inthe preceding illustration, the resoling optimum solution tothe LP problem using the graphical approach happens to Be atone corer point in the feasible space (ealed the feasible extreme point), I should be emphasized that there is nothin special ‘oincidenal aboot the example that leads 0 such a result In fac, forall LP problems the optimum solution wi aways fall on the boundary ofthe feasible space, “There are thee import properties of feasible extreme pons in antP problem ‘Their implications +0 the algebraic solution technique will be described later, The {olfowing properties will only be stated without proviging any mathematical proof ‘hat canbe found in LP or mathematical programming books (Danis, 1963, Bradley, ax, and Magnani, 1977: and Taha, 1987), Property 1a. If there is only one optimal solution to @ linear progranoing model, then if must bea feasible exreme point. 1b. If there are multiple opinal Soltis, then a least 39 mst be adjacent feaxible extreme point ‘As demonstrated in the graphical approach, for any problem having only one ‘optimum solution itis always possibe 1a rise or lower the objective function line (9 hyperplane) unit just touches that point, the optimum point, comet of the feasible space. As can be imagined, multiple optimum solutions would occur when the abective function line (or hyperplane) is parallel to one of the boundaries ofthe feasitle space. For a two-dimensional problem, when makiple optimum solutions ‘xis, 40 opsimal feasible extreme points are adjacent to each other. For higher m. For such indeterminate systems of simultaneousLose ocean uen marion orotate 63 ‘equations, the number of possible solutions is .C =nl/ontin — m)! which is Site However. this number provides the upper bound on the numberof feasible extreme points because many of these solutions are infeasible or nonexistent. Tis propery Tigh suggest that the optimum solution canbe obtained by exhaustive ewumeration of {Ul feasible extreme points. However its generally imprar” ... cause the ‘numberof feasible extreme points may sill bet Large ro be enumerate, =Aicienty. Furthermore, the optimum Solin cman be identified before a! possible feasible extreme points ar ener, ropes + ij a feasible exreme point is beter (measured with respect 100) tie tits adjacent jeasible pints, then itis beer than all other feasible extreme points ie, 88 lobal optinun). From this property, one does not have 0 exhaust ate a extreme points (0 obtain the optimum solution of h> problem. Instead, the stats of ‘one feasible ext point der investigatic “rained by simply comparing it adjacent feasible exteme points. If Property . satisfied, the feasible extreme point under investigation isthe global optimum to she LP problem. Te should be emphasized thatthe basic requtement for this propery to hold fa tha the feasible space is convex. Otherwise, ptimum solution cbxsined is fot guacanced to be the global optimum and is caved the local optimum. This Phenomenon is especially prevalent in nonlinear programming problems. Fortunately, the feasible space is almom always coavex for LP problems. 32.3 Algorithm for Solving Linear Programming Problems ln tis section, the thee importan: properties of feasible extreme points previously discussed are applied to an LP problem and solution algorithm is devised 10 solve it Again, ofr to the manufacturing waste treatment example given previously. As ‘iusrted in ig. 32.1, the LP model has four feasible extreme points. Fist. one has to determine where the search for the optimum solution begins, In fact any of the feasible extreme pointe can be used asa staring point, Naturally. ifthe stating Solution is close tothe imum point, one would expect ro reach the solution faster However, knowing a baer string point a poor is generally difficult, especially for motile dimensional problems. Therefore, itis reasonable 0 start with a pont atthe tigin (ry, 13) = (0,0) since the origin isa feasible exteme point. Note that, in the fourse of seirching forthe optimum solution, i is always desirable. start with feasible solution. Having deermined the starting feasible extreme point, the corresponding value ofthe objective function zy is computed 6 the Dais for further comparison, In this fase, at (00), the comesponding 2y is equal fo zero. The next step is t find an improved olution by comparing the objective function values associated with the adjacent @asible extreme points. The two feasible exreme points adjacent t0 point {040} ae B at (24) and D at (5.0) withthe conesponding objective function valves 6 and 25 respectively, Tis result indicates tat moverent from point A to D yields a(64 ryonos tous nentaanc No Hance beer improvement than from 4 to B. Therefore, D becomes the new base feasible ‘exreme point At point D. the comparison process is repeated by identifying the adjacent feasible extreme points of D. In this case, points A and C are te two sjacent points, However, the value of te objective Function at, fom the previous eomparcen, ro better than the current point. Therefore, no comparison is needed for pois This leaves point C as the feasible extreme point yet to be compared against D” At pont (62), the value of x9 is 56)— 12) = 28, Since this value is higher than 35 poi ‘the base fesibie extreme point wil be updated to point C. At the base fesible feveme point C, there ae no new adjacen feasible enteme points lo be considered (point £5 has been compared and eucast by pint in the previous step). The value of zo at point Cis beter than al its adjacent eaibleexteme points. that a, points B and D. From the third propeny of the feaibe exteme points discussed above, ‘one can conclude thatthe optimum solution to the manufscturing-waste eatment example is to produce 6 units of finished goods and in discharge 2 units of waste to the watercourse without treatment, tht isto eat 2(6) = 2= 10 unis of waste. The ‘comesponding optimal net benefit i $28 K. ‘The seps described above (utilizing the tee propeies ofa feasible extreme point to solve an LP mode!) form the underlying concept of the ‘well-known algo. rithm called the simplex method. The method isa general procedire fr solving LP problems. I is very efficient method which has been employed io solve large prob. Jems involving thoussnds of decision variables and constrains on tlay's computers Computer codes based onthe simplex method are wiely available for we, Example 222. Algebicaly solve she manufacturing wase-teaiment problem of Es ample 3.12. Solution. The objecvefnstion a consis cn be writen on Objectives ay Se a0 4040552 0 Conse dey~ ge sre +055=10 Consraint > OT, 4 082340,+ sp +0ss© 4 Consent: 2a + a0 40q+ = 0 “i instep wil be o sara he feasibeexreme pont of (21 = 0 and za = 0, erative Step 1 ‘The iterative step tegns by selecting which variable) or 10 inrease from zr, Because = as the les negative coetciet of —5, i bas the greet eet apon increasing the sjective Function. Te nest desson Now nh 2 soul be inteasce Remember the sick variables must never go negv, Fit check Contain soln for with sy = 03ndnese roaanune Mica ToMoRCSTONS 68 ‘Ten sbi = ino the ther costraint and ove for ter sack variables Consrant 2: 0.45) 080) + 04, +52 +06) = consi 3 5) 04s, Oss 83 sto Because the slack variables remain ose == 5. Now consider Constraint 2 and save for zy, with 23 =O and 2 =0 Contin: 048) +080 +00, +0+ 05) =4 0 Now chek Comstraigs Land 3 Contin 2410) —O4 +052 +053 = 10 as Consent = -2(10) +0406, +085 +8) #0 According to Cant 1, 21 = 108 to singe Because the Slack variable 5 would be ezave (= =10, ‘Nex cinder Cont 3 and se for =, with zp =O and ss #0 Cosi 3 25, 49m +022 +0=0 a0 “This bselly doesnot move fro be ma “Aste ofthe above analysis the lngest vue at 2 cane masse 2 is se) 2Swhere 20, Toto) = 10. Refering to Fig, 3.22 is i at point 1D. The ebjeve futon value 29 corespoding this she soon st point D is 2-85) 6005, +022 +085 a2 is substinted ino te objeive tune ad consrais eve cies 2-5 (5+ -8) 42208, r0m 400 20 Sas 20502 Ccoaseaot say Sant Say 0826055(66 ernoeyeee NEERING No MANA igure 322 comamin 2: 04(5¢ 32-2) +080) 2005201406508 05; +2 ~025,++005 #2 Cons 5: 2(8+2- 2) +200 +02 20 02,4023 +6) 400245 © 10 erative Step 2 ‘he second trie sep begins by defining whic variable shoud be increased frm 0, “The objective function from above ie 3048, a 20~ eat $a) +0 +00 025 3 ‘The largest neptve coefficient 6 —3/2 for 3 40 it shouldbe increased fom 010 Increase the objective faction The nex! question is how much 2; ean Be ies Consent zy 2251-10 both 2) and zp > Othen«) =0 Cons 2: zy 224024 =m Hy and zp > Othen <0 ne Conseaint 3: 02 4053204 0s 48near meonsnme wmunmucaringonvoacewtens 67 Subsite solving an LP mode: 1. Initiation Step—Start ata feanbe extreme point. 2 Iterative Seep —Move to a beter adjacent feasible extreme pit. 1, Stopping Rale—Stop iterations when the curent feasible extreme point is better than all ts adjacent exteme points. Ass simmex weruon S31 Basie Alene Concepts and Seap [As previously demonstrated, an LP problem using the graphical method as well 35, the heursie approach can be easily performed when only two decision variables are involved. The purpose of such an ilusvation is to demonsrate the geometric concent ofthe simpler method and its basic algorhm. To solve a problem of a larger sale in terms of numbers of decision variables and constrains, the methods previously employed cannot be implemented practically or feasibly. Furthermore, co implement 2 solution algortim on computers, the problem must be expressed algebraically. ‘sing algebraic procedures for problem solving, it is generally ove convenient to deal with equations than inequality relationships. Hence, t solve an LP moss! sing the simplex method algebraically the model sist transformed int the standard form svhich is given in Example 3.12. The LP peoblem involves five decision variables (Gy, 2y. sd ad 33) and three equations. linear algebra, the sp8tem of equations is called indeterminant if there are more unknowns than equations. For problems with n unknowns and m equations, tnhete n> ma ther s no unigue Solution tothe problem, The posible solions to an Tndterminant sytem of equation canbe obtained by Teng (r—m) unknowns equal “ero and solving forthe remaining m unknowns. The solucions so obtained se called(68 ronerers EoNEtHN: As ANAC the basi Solutions. In teory here wil a ts maximum, a total of Ch base 50 Iusons to such problems if all exist. Fr the example under investigation, the problem Ins at mst sCs = 51/213) = 10 basie solitons. Geometrically. each bese solution ‘epresents the intersection pont ofeach par of constraint equations, an estreme pont, including positivity of 2; and 22 axis. The example shown in Fig. 3.21 bas six basic solutions. Furthermore, among the six existing basic solutions, only four are feasible ‘Tese are represented bythe four feasible extreme point. Nos. let us examine the bs sic solutions associated with the four fesibie extreme poins 36 shown in Table 3.3.1 Every feasible extreme point has exacly two variables (Out of 5) which are set equal 'o zero (indicated by 0). The additional zero associted with feasible extreme points ‘A and B arises from the thied constraint in which is RHS coefeient is ze, In te preceding exercise the (rm) decision variables se (0 2er0 are called !nonbasic variables while the remaining m decision variable, whose valves are ob- tained by solving a system of m equations with m unknowns, are called the basic ‘variables. The solution ofa basic variable that is nonnegative is called ie Basie eas sible solution and identifies the corresponding feasible extreme point inthe feasible ‘space. Therefore, in solving an LP model algebraically, one only needs to examine the performance of each hase feasible Solution 1 the model with the standard form, 33.2 Algebra of Simplex Method ‘The simplex method solves an LP model by exploiting the thee propenies of fessible extreme points previously discussed, The algorithm searches forthe optimum of an LLP model by abiding by two fundamenal conditions: (1) the optimality condition st) the feasibility Condit ‘The optimality condition ensues that no inferior solution (lative to the cur. rent solution point) are ever encountered. The feasibility condition guarances tha staring with abasic feasible solution, only basi feasible solutions are enumerated uring the course of computation, ‘To solve an LP model algebraically the sandard form ofthe mode! canbe placed ‘imo a tabular frm asin Table 332 in which the objective function is expressed as 2) ~ $2142} 05, — Os; ~ O52 Feasibe extreme points for rmanufacturing-waste treatment exampleLoaar noesone mnt amicaron 0 oan 6 ante 332 Simplex tableau of manufacturing-wast treatment ‘example me [aTa = [= a a | se nts bye TO nope pe a pee | 5 io kd 1 [Lo “The LP problem now canbe solved follwing the three steps of the algorithm outlines in Section 324 “ntalization Step—The simplex method stars from any basic feasible solution. Obviously, slack variables yield a starting feasible solution because, refering to Tae Sle 33.2, G) thelr constraint coefcients form an identity matrix; and (b) all RHS oefiients are nonnegative (property of standard frm). Iterative Step--This step involves two operations according tO the optimality condition and feasibility condition. The fist operation determines a new basic feasible “SSlution with an improved value of the objective function, The simplex method does this by selecting one ofthe curentnonbasi Yarables tobe increased above 20 pro= viding is coefficient inthe objective function haste potential improve the cure ‘Value of. Since a feasible extreme poi in an LP model must have (nm) nonbs Sie variables at zero level. one curent basic variable must be made nonbasic,provid= ing ine solution fs feasible. The cutest nonbasc variable to be made basic is called the entering varlable while the cxrent basic variable to be made nonbasic called the leaving variable ‘For « maximization problem, an entering variable is selected, based on the ‘optimality condition, as the nonbasic variable having the most negative coefficient in the zp elation of the simplex ablea. Tis i equivalent ro selecting a variable with the most postive coefficient inthe orginal obietve fun as. 2 magnitude ff the objective Smetion 20s! represents the rate of change ofthe objective function due to a unit change in the decision variable “The one with the hrgest negative value is chosen because it has the preatest potential to improve te objective function value, On the other hand, the rule of FEtccing the entering variable fora minimization problem is reversed, that i, choose the nonbasie vanable with the largest postive coefficient in the objective function {ow ofthe simpler tableau as the euenng variable. Once the entering variable is ‘Grermined, one ofthe curtent basic varahles must be chosen to become nonbasc ‘The selection ofthe leaving viviable is governed by the feasibility condition to ensure that only feasible solutions are enumerated during the course of the iterations. The leaving variable i selected using the following entering, be wth oy being the constraint coefficients associated with the entering variable =. for all ase > 070 wonoera nena Ne MANAGES “The curenttsic variable sssocinted withthe ow having the minimum @ is aeected asthe leaving varble. nin x) Example 33.1, Based on Table 331 selec the entering and leaving variables forte fist eran Solution. Refring 1 the implx bla in Table 3.3.2. the decison variable canbe ‘hosen =the ering varable The dieton associated wih the entering vate ind {ots the dieton along which te improve roltion i sought. Refering Yo Fig. 3.21 ths reprsens wove from he current bse faible sluton a point A along the po. itive detion of he 2 ahs. Moving slong the potve 2 au to exten pons 1 (50) and at (10.0) ean be enonterd. In fc, 5a 10 are the inreei of he fist and second conan equations on the postive zy ais. Refersng to Fig. 3.2.1, 's known hat point E at (100) s nfeasle tothe problem. ‘Therefore sis indicses thar the move slong the postive us fom poit A ean ony be made sf pot _ witoa iting feasty coations. The intercepts of constant equtions onthe is inccaing he serch dretion canbe obined fom the imple ans by com ‘Putin the ratio of he element inthe solution cola othe consi elements une the columa coresponing ithe enering variable. Relerag othe example lsat in Table 3.3.2. the two columns used lo compute the intercepts ae thaw below in Table 233 and following nig ee neha daw ‘The minimum aio is B= min.) = min (5,10) = 5 Note tat thera fr the ast ena sot determined bees the oeficient =2 for he 2 cou indies a sears along the negative =) an, which i fesse since al! eesion variables are required to be nonnegative. Campa the vales ofthe osivelnrep, the baie variabe asia wih the sles nerept, tha rin (5. 10,-)= 5.184), This willbe chose asthe leaving variable and bore nonbasie 0 that he feasilty cndion i anise, Fr the sake of dacoson if ss chosen 15 the leaving variable the deision would ed ws to pnt E whith les tie ofthe feasible space andthe soation wool become infest, Once the entering variable is selected based on the optimality condition and the leaving variable is chosen according 10 the fessbilty condition, the status of ‘asLe 333 Computation of @ for iteration 1nese oceans wemeamucanonsronyacsesmis TH the variables in the base and nonbasic variable lists must be updated. Using the new variable lists. computations are made 1o yield a new simplex tableau. tn the Computation, one should keepin mind that, referring 10 Table 3.32, the etments in fe column under each curent basic variable have a nity right atthe intersection Df the leaving variable ow and all oher elements are zero. The following algebraic ‘operations are made to satisfy such a requirement "The valucs of elements in the simplex tableau sssocated withthe new basic and oabatie variables can be computed by row operations (or Gauss-Jordanelisinaion method), ‘The consirsne ow associated with he leaving variable auld the pivoting equation and serves asthe basis forthe OW er=r~" re clement located atthe fmerscion of he enters conn ana pivoting row is called the pivot element ‘The piv equation and pivot element play central role inthe computation. In the row operation, the objective is transform the tableau into one which has unity at the pivot element and zeros elsewhere inthe column asocated with the new basic variable Example 332, acteing fo Table 332, petnn we pivot opaton to update the Simple blew se sand sy afe sls as Se exerng and leaving variables, spestvely Satuton, Knowing tht 2) isthe eneing warble and sy is the leaving vil, the Pino cleven iTable 33.462, which sored by acl. The row erespening to fhe pivot clement is he ist row, The ato operation by te GassTordan elimination trend leing to Table 3.3, vole he flowing two steps: 1, Divide alt element in the piot equation associated with ox by the value ofthe pivot element 2. Apply appropiate mpi tthe mode pvoing ow of tp (1 f other rows ‘nth bleu (oe Table 3.34 3 a al cements ert the pvt element in ‘he ena clan hae 2 vals, “The esuinguptned simplex ale is shown in Table 3.3.5 jn wich the mem ership lat updned where si eeplaced by 2 The values in he solution column ovvinted with te tes cosine are the valor comesponding 1 the cut bale “rablsThe ve in the soliton clue inthe 9 row the value of objective pare sabes goa te 8 te eked72 wrmortso co SD MANGOES ramus 935 Results of eration 1 a) [eps ea ps function a he caret slation point Given by the came simplex aba, the new solitons =,= Sandy = 0 (ecsuse of te nobase as) wth the sociated ojetve function vale p= 25. Values of slack varies are arimporant in the peso context ‘because they do aot afet the vale of te bet function |In aca computation, elements in the columns of basic Variables do not need to be calculated. Infact, not every single element in the bleau has tobe calculted uring every iteration. The row operation described above es be modified to increase flexibility of being able to calculate the values of any éesived elements in the fableau. Suppose shat, in any iteration of the simplex method, element a inthe §th row and jth column isthe pivot element. The valve of the clement located at the intersection of the ith row and the ftp column, shat is, er an be ealeuated by ay = (ant ~ axag)/ayy ean here oi isthe new valu replacing the old a inthe previous simpiex tableau. The required information used in Ea. (33.1) is shown schematically in Fig. 33.1 (Once the new simplex beau is generated, i is examined to se if te opium ‘is reached. This is done by checking the values ofthe current nonbasic variables in the ‘objective function row ofthe simplex tableau. Using the same argument as employed in the frst iteration, one wants see if any of the remaining nonbasic vanables have "he potential to forthe improve the current zo vale. For maximization problems, any nebasic variable associated witha negative coefcient inthe za row ofthe simplex tableau is candidate for th entering variable inthe nent iteration. Tf sucha situation isidetifed, the curren simplex tableau is reoptimized using the same procedure as described shove, If all the objective coefficients inthe zp row ofthe simplex tableau are aonnezative, the optimum solution i reached because no variable has any potential to funher increase the value of a, [Examining the current simplex tiles, one observes that the objective coff- cient associated with 2: (a nonbasie variable) in the zy row is —1.5. This indicates ‘hat an increase ie the valu of fom the zero level would fuer improve the eur. ent value of zp = 25. Therefore, za is selected asthe entering variable. To choose the leaving variable, ratios ofthe solutions of eurrent basic variables (ry, #3, sy) thee {ements inthe tableav ure the entering column aze calculated. The current basic at se associated with the smallest postive ratio is chosen as the leaving variable. Thatnest ooumenc emt arecscans omar 73 A 1 \ i riauRE 3. isthe curen basic variable, 4, corespoading 1 min (2/1, 10/0) = min(~ 2,2) 2 yins leaving vale inthe secen tration ofthe simplex method, The pivot ow {othe es row and the pivot element is I. After the row operation, the new simplex tablenn is updated as Table 3.36. The feasible exreme point associated with tis tableau is (ay 2) = (6, 2) and the coresponding objective function value, 20 is 28 tahich is higher than the previous valve of 25. Examining the objective coefclents ‘the zp row of the tableau one observes that all coefficients are nonnegative, For 4 maximization problem, which isthe casein this manufacturing waste eeatment ‘ample, this indicates tit no nonbasc variables (sy and s) exist which have the fotetal to further improve the cuent valve ofthe objective function. With tis one ‘TaBLe 334 Results of iteration 2 ime = [= aa = a] ve Zep eps 3 Ls74 wyooryeone eanmane 80 Nace ‘concludes thatthe curen solution, (x7, 25) = (6,2). i optimum and the waximum achievable net benefit tothe manufacturer is 23 = 328K, 333 Summary of the Simplex Method From the descriptions of te simplex algorithm for solving an LP problem, the so- lution procedure follows two basic conditiens. that i. the optimality condition and te feasibility condition. More specifically on the algebraic operations, these 10 conditions can be phrased as follows, ‘The optimality condition dictates the selecion ofan entering variable which has ‘he potential 1 further improve tha value of the caren bjecive function, Given the {zp fow reexpressed in terms of the nonbasic variables only. ne selects the entering “arable in maximization (=inimization) fom the nase variables having the most, regative (rst positive) coefficient inthe zp row. When all the LHS coefficients of ‘he zo row inthe simplex tableau ae nonnegative (nonpostve). the optimum solution to the problem Is reached, ‘The feasibility condition dictates the selection of 4 leaving variable so tha oluioas obiained during simplex serations always reman feasible. "The leaving ‘aviable i the basic variable corresponding 1 he smallest postive ratio of the current Value of the basic variables 10 the postive constraint coefisients of the entering variable regardless of whether the problem is a maximization or minimization type “The following steps summarize the simplex metho for maximization Step 0: Expres the problem in standard form sith a staring base feasible solution and then develop the tableau format. The iia tableau must always contain basic feasible solution (check for an identity mata). Step 1: Sean the 2p row; if al elements are nonnegative, stop; the optimal solution has been found: acherwise, go 0 step 2 Step 2. Select the entering variable 35 the one comesponding 10 the most negative 34 coefficient, This identifies the pivot column or the key column, Step 3: Scan the pivot key) column coetcient ial ae nonpostve, tp; the solution is unbounded (see Section 3.6), If at est one element i positive, go to sep Step 4: Calevlate bilo forall au >0 ‘where aie i the ith element ofthe pivot column, Then find B= min(@). The variable defined in sep 2 replaces the vaable ofthe pivot row i the next soliton, ‘Step S:_ To get the next tableau divide the pivot row by the pivot element, Now use this row to perform row operalios (addition of multiples ofthis row) on the ether rows to et all eros inthe rest ofthe pivot column (including the» row). Retr to step 1 oot equation New pivot equation = old pivot equation + pivot elementLent moc wir rons ronan 7S ‘other equations: wees) (SE (O34 ARTIFICIAL VARIABLE METHODS , The simplex algorithm described inthe previous section is dry applicable 0 prob- lems whose intl baste variables are immediatly available ster the iiialization sep ‘rid be the case all cone Yrare © nm= where slack variables an be added to make them equalities, The mainx of technologie coeficients of Slack variables atthe iiialzation step form an identity matrix. However, some modi fications tothe model formulation wil be needed fr problems where the starting bsie feasible solution cannot be realy found. This freatentl occurs for models involving ‘constants of » or = types. The thind consraine the manufacturing-vaste treatment ‘xample, orginally, is ofthe > (ype. By simply subtracting the slack variable, ss, from the LHS of the standard form of the constraint results in az 2p 9y 20 “The resulting matrn associated with he slack variables (5 3, and 5) is T ° ° which is not an identity matrs. Thus, $5 cannot be used as one of the stating basic variables. Inthe earier illustration ofthe simplex method, both sides of the third constrain are mutiplied by 1 making it a < consrint so thatthe techno- logical coeficientastecated with sis +1. This is permissible because the RHS ofthe third constants ero and manipulation ofthe sign does not violate the re- (quirement of a nmnegative RHS of the standard form. However, ifthe RHS of the third contains positive, ay are the ther two coastaints, the change of dree- tion of inequality would violate te nonnegative RHS requirement of the standard form. “The sttifcal variable method is simply a mathematical ck that, through addition of socalled artificlal variables, enables one to solve an LP model sing the regular simplex algocitim previously deserted. Basically. aificial variables ae bused mo situations: (a) fof coastaints ofthe = ype, the constraints are writen Dave stn abe Gaya 116 wroneesvow sONeERNG SO MACHMENT wile (for constrains of = type, the constraints are writen as “ohere rs the nonnegative aril variable. "Note tat the coefficient associated with the artificial variables inthe constrains isalways +1. The main purpose of inroducing aificial variables i 10 use them the Nrting basic feasible vanables for applying the regular simplex algorithm. Another feason for introducing arificial variables is thatthe adiion of these might cause a Violation ofthe coresponding consvaint, unless they are zero. Arificil variables tan be used as indicators 0 tll whether oF not the model formated has feasible Soliton, If ll the arfcial variables in the problem are driven to the nonbasic atthe Zero level when the simplex slgoritim stops, the problem has at least one feasible Solution On the other hand, if one or more artificial varables remain in the asies when opsimum is reached, the feasible space ofthe problem does not exist and the problem is infasine Using ariel variables as the starting basi solution in th simples iteration, ‘one should realize tht the stating solution isnot feasible to the orginal constants (ofthe problem, To find the optimum feasible solution to the origina problem, all aril variables must be driven to 22, if posible. Tere are many ways 10 40s. ‘The following subsections describe two commonly used methods of solving an LP model when anil variables ae present, The same manvfacturag-waste treatment ‘example wil be ustd 9 illustrate these methodologies, & G42) 34.1 Big-M Method ‘Without manipulating the sign ofthe third constraint oF te orginal manufacturing: ‘waste tetment example, the contain set can be writen In the following standard form wen ts =10 4z+ 8 tn os Qe 2-8 ans 0 (All 24.25 81 8185 andy are nonnegative) where ry is an anifeal variable which willbe used, along with 5; and 6, a5 the Starting basic variables. "As mentioned above, one should try to eliminate all atic variables from the basi variable set. Fora maximization problem, this canbe done by assigning a large negative coefficient, say —M, 10 the srficial variables in the objective function, ‘Since the problem i maximiastion type, the association of a large negative coefcient ‘wih anifiial variables imposes 2 sff “penalty” 10 the existence of any positiveustamocramno un nucarone inane 7 astficil variables. Therefor, inthe couse of maximization the algorithm would ‘utomatially attempt io avoid using any aril variable asthe basic variable. By the Same token, if the problems aze of the minimization type, a large pesitive coeficint (GEM) would be assigned fo each ofthe artificial varabes in the objective function. Soe San Min 29 “This big:M can be consideet 2s te unit penalty for any violation of model con strains. The ober. function forthe example canbe formulated as Max 2y = 52) — 3 +0) +09; +055 ~ Mra “There are two basic shoncomings ofthe big- method. They are 1. The fait step has 10 be reached before discovering thatthe problem has no feasible solution, that i, some aifcial variables are postive 2 In computer imperenatis vie wag We, OE NAS 0 ads erica value of 3, In doing this, computational ors and instability could occur during the course of ieration due primarily to 3 saling problem, “Therefore, the second method, calle the two-phase method, which circumvents the two drawbacks ofthe big- method is used in LP computer software packages. )342 Two-Phase Method ‘The method ges its ame from the fact that computations proceed in wo phases The first phase of the computatons simply atempts to drive the anfcial variables ‘ou ofthe solution using the sinplex method thus forming a starting solution, without the anifcial variables, for the second phase. The second phase merely moves © the ‘optimum solution using the simplex algoritm. Inthe Phaze I computation, the model o be yolved has an objective funtion described as Min = Sor oan) where KC is the total number of anificial variables in the model, subject tothe con- ‘Hzants in the standard form aftr the necesary arial vasables are added. The objective function ofthis phase isthe same fr bth maximization and minimization problem. Sine al artificial variables are nonnegative itis obvious tha the minimum Schievable ry is 28f0 which occurs only when all artificial variables are zero. Th a ‘case where the vale ofr» #0 when optimality i Sched, the problem doesnot have feasible space 'Upen the completion of the Phase I, Phase II optimization follows, provided that all artificial variables become nonbasc variables atthe 22t0 level. In Phase TT ‘compustions, the final tableau of the Phase T computation is modined by dropping18 roe NERD AND MANNE all columns associated withthe arial variables. Further, he ry row ofthe tableau tare by the zp row of the orginal objective function. Before checking the atzalty condition, one must check tha the tableau sass the equiement hat he Sreow ean ony bea function of nonbasic variables. If te condition isnt satisfied, Faoperations must be performed to satisfy the requirement. Once this condition is ‘Etsfed. the simplex algorithm is aplied to optimize me problem. 35 Example 41 Solve the mansfcsuring waste resent problem using the two-phase eto. Saluton, The Phase {formulation ofthe manuficring-wase extment problem can be capresied a Min ro="s ayo ot dey tn ta 4 ayo nee tne Allej.eiea.4 dh 7 ae nonnezave “The simplex tablas comepanding 1 this madel formulation is shoe in Ta be 34a) Agsn before prceding withthe simpex eration, the objective Tanction row in the inplex tableau mu be expesea only ar fancon of tb nonbasc variables [Fay and ss, This can be socomplted Dy asfing he ry vow fo the rp rN. The fesling able is shown ie Tale 4.10), "Fe Phase I rode! cin row be optimized by selecting yas the enero variable cording othe optimaiy condon for minimization problems, Te zleion af te Teaving sare ie the sme at beloe acorn 10 the feasbity conton. Aer foe Herton, the ptt soliton to Phate ve this example is tacked based oo ‘Fable 3410). Based on the fra bleu ofthe Phase I procedure the sting bens Phase lp shown in Table 34.2). Note tht the original masimiation protien is Considered in he Pate I computations "Nate that Table 3.4104) does no satsy the requirement that the xq row ean only be function of onbasic vce The basic vanable 2 has a pnzeo efit ine sq rom Again row operons ae applied o emi the~Sascciated wih ine z9rom. Aft the row opeaons, tering sempiexhlea can berewrien at Table 24 Ie Obviously he optimality condion (nt stisied because te objective function coficients eset with none varies zp and sae epsive. Afer tne more seraion he opium slaion reached withthe final tbls shown in Yate 3410), INTERPRETING THE SIMPLEX TABLEAU From the final simplex tableaw one is able o bss information regarding the optimal solution andthe corresponding objective function value. Is here anyother information [provided by the simplex tableau? The answer is yes. It is imporant to be able toata nocenamnc umeamcanotsrontnosyrent 79 ‘ABLE aa “Manufacturing-waste treatment problem solved by two-phase method Met a ee Bie as olan 5] se wprl eo ef @v-4| e Slo 2 a +] oo 1] 0 apo] o 1 alos ? loft -s -s; 00 ° plo, eo 3 2s] 0 0 zio[ t -s -3| 0 0 ° wo ape vpa 0 Bio} e 9 oft 2interpret the information contained in the simplex tableau because, in practice, the Computation aspeet ofa simplex algorithm is taken over by computers. One should Know how to interpret the final solution and possibly how to perform sensitivity analysis. Consider the final ablau, that is, Table 34.1(), ofthe manufacuring-waste treatment problem solved by the tvo-phase method in Example 34.1. Much useful ‘information can be obained from the ableau as described inthe fellowing subsections. 35.1 Optimal Solution “The optimal basi feasible variable ae sted in the first column ofthe final tbleas andthe corresponding variable values are given inthe ast column ofthe tableas, Tye ‘optimum abjctve function value i given in the solution column associated with che tjectve function row, For example, the optimum solution ftom the tableau shown in Table 34.1(@) 8 Ghzhe= 00.2.0 with 25 =28 All other decison variables are zero because they are nonbasic variables In ine terpreting the colon, values of the opsimum feasible slack variables are ignored ‘because they do not yield any information regarding the optimum course af action to be determined by the analysis 352. Status of Resources In many LP models, the RHS coefficients represent the imitation of sources or ean te viewed as such, especialy for < type constants. Although the values of slack ‘arabes bear no direct significance regarding the optimal level ef sciviies to the problem, thet status does revel the sus of resources or consists atthe current ‘optimal soliton, a slack variable is in the basic feasible solution set at optimality, she cor responding constraint is nonbinding and the corresponding resource is abundant Otherwise, the consusint is binding and the resource is scarce. Referring to Te ble 3.4142) in Example 3.41 notice thats; and s2a1€ nontasc while sy is basic. ‘This implies that constraints 1 and 2 are binding and the coresponding availble “resources” are used up. To put this interpretation inthe problem context, the ot capacity ofthe testment plant and the limitation of allewable untreated waste are both consumed atthe optimum deision level. Since the LHS of the third constraint represents the amount of waste tobe treated, the slack variable 5§ = 10 is actualy the ‘optimum amount of waste to be treated. 353. Per-Unit Worth of Resources (Shadow Prices) Knowledge concerning the per-vnit worth of a wesoutce enables one 10 prioritize future funding allocations to various resources. Mathematically, the per-unit work of resources (ie the RHS valves) can be expressed as 29/00, for i= 1,2,...ym™, For nonbinding constraints where the comesponding resources af abundant. an increaseuse noses emi amucanostrnasstens BL or decrease of one wnit will ot have any effect on the curent optimum allocation ‘cision, For binding constraints whose coresponding resources are sare, the per bnit worh of resource would no longer be zero. Refer agsin to Fig. 32.1, By imereasng the capacity ofthe teatmet plant b, or the allowable Smit of untested ‘vaste inthe watercourse ba, the domain of Feasible space will be expanded othe right. “The conesponding optimum objective function value would also increase accordingly Similarly fy or bs ae decreased, the optimum zy value wouldalso deerease, Hence, any adjusment ofthe RHS coefcients of binding constrains would result in changes inthe optimum objective function value, for beter or worst, This implies thatthe ‘peranit worth of resource for a binding constraint is nonzero. The values of per-nit ‘Noth of a resouree are given inthe ial tableau under the stating basic feasible Vanables, Inthe example considered, the staring basic variables are si 2 andr, tnd the coresponding coefcients i the zp row are 2.2, 15, and 0 (sine rs in Phase {can be seated as a nonbasic variable). Therefore, the perinit worth of resource To the constrains 1, 2 and 3 in the example are 22,1.5.0) “The values mean thet an increase of one unit weatment capacity by would increase the optimal zy value by $2.2 K while an increase of one unit of allowable limitation ‘on uneated waste would intease the value of zp $1.5 K. With this understanding, {nformation on the perunit worth of a escuce ean be used to prontize the allocation fof additional funds used for expanding te operation 36 CASpC YF SIMPLEX METHOD “Tere are several unususs ations that could happen during the couse of a simplex iteration, Each has different mpisac- ‘he 0) intersect at point . 36.2 Unbounded Solution ‘An unbounded solution occurs when the solution space is unbounded so thatthe ‘vale of the objective function can be increased or decreased indefiniely. Fo example, ‘without the second constraint nthe manufactring-waste weatment example assoclated ‘wth the Fimitation of allowable waste amount inthe sream, the resling Feasible spate Would appear as Fig. 3.6.1. The feasible space is made of the strip bounded by consrsints 22) ~ 2 > 0 and 2r, ~-z) < 10 but unbounded on the top. Using the lrgument presented inthe graphical method, one can push the objective Function line indefinitely 10 the sight andthe objective function value would incase continously ricuRe 344nese octane amcamearans To Hones 8B without limitation, However, it isnot necessary that an unbounded soliton space ‘Would yield an unbounded value forthe objective function "Applying the simplex algorithm to the modiied model using the big-M method. the simplex tableau is shown as Table 3.6.1(c)- One ean immediatly observe that resuls in Table 3.61 have not reached te optimality of he probiem, The choice of 22 [Sthe enerng variable leads tothe smallest ato being equal ro 10/0 = 0. ln general Sn unbounded solution can be detected if, at any iteration, any ofthe candidates for the entering variable has all negative ot zero coeficinss in the constraints, 363. Altevnative Optimal Solutions Alternative optimal solutions occur when the objective function is parallel © a binding constraint (ie, a constraint which is satisfied in equality a the optimum Solution) In tis case, the objective funtion may asume the same optimum value St more than one basic solution, The ease of alemative optimal solusions can be Seteced when the optimal tableau is reached and the nonbasi variable has a zero coefcint inthe 19 70 3464 Nonexisting Feasible Solution “The nonexistng feasible solution case ocrurs when the feasible solution space oes. rot exist that is thee 3 no single poi that canbe satisfied by all de constrains Solution of manufacturing-waste treatment problem Baie | = = * [sore @ “alo aT] wo pepe ap) a] nfo] i -s -s}o os] 21 roosyema ERNST We discussed this concept when the artificial variable method was demonstrated, To re-iterate, a nonexising feasible solution canbe deteced when the calculation satises the optimality condition and there sill exists one or more atiical variables in the tse varinle set at positive level 37 DUALITY OF THE SIMPLEX METHOD. Every LP problem has 1wo problems associated with it One problem is called the primal and the other is called the dual, The two problems are very closely related that the optimum solution for one problem yields complete information about the ‘optimum solution to the other. In cerain cases, this relationship can reduce the ‘ompuational effort needed to solve an LP problem. Further, its more important to use these relations to perform sensitivity analysis regarding te variation in the ‘optimal solution due to changes in the coefcients and formulation of the problem. In summary, the main peposes for exploring the primal-dual relatonship are: (a the ‘computational effo for solving LP problems can be reduced in cen cases; and (6) to perform sensitivity analysis Definition of Dual Problem ‘This subsection describes the mechanism of translating prim LP model tots dl form, DUAL PROBLEM WHEN PRIMAL IS IN CANONICAL FORM. The procedures in volved at: 1 Each constraint in one problem corresponds toa variable inte other problem, 2 The elements ofthe RHS of constants in one problem are eqtal tothe respective coefficients of the objective function i the oxer problem. 13. One problem seeks maximization while the oer secks minimization. 44, Maximizaton problems have contaits of < type andthe minimization problems axe ofthe > type ‘5, The decision variables in both problems are nonnegative. ‘Mote specifically, consider the primal problem having the canonical orm Max 20= S565; 710) subject to, = ” Douche taht any 520, EMR ene ‘The coresponing dual problem cin be fied st Min w= Soh 72nse nocenamo emesis einpacstees 8S subject 0 . Yaguze debtor en 20, Is she dual formulation, the nonnegative decision variables y are called the dual variables. As can be seen, the number of decison variables and the mumber of Constraint in the primal snd dual problems are interchanged, 12cm 720 DUAL PROBLEM WHEN PRIMAL IS IN STANDARD FORM. Formulation of the thal peoblem with the primal problem in standard form can also be made using ‘modifcations of the procedures outlined inthe previous subsection. A primal problem in standard form is writen as Max = 62) 6730) subject 10 . Yaysyehs beh Qovm 6735) 220, Jeb doun e730) “The comesponding dual formulation when the primal has the standard form, can be expressed 38 sino Sob one subject to “ Soawu Se n 6348) y's we meni si oda In summary, the form of the pimal-dual problem can be presented by Tie ble 3.71. Computational etfore for solving an LP model is largely dictated by the number of constants. Therefore, foe linear programming problem having m deci- Sion variables. m constraints and m > nits more computationally ecient to solve its dual coumterpart. Since there exists a close relationship between primal and dual problems, the solution of the dual can be used to find the solution of the original problem 3412. Primal-Dual Relationship Js subsection discusses afew important primal-ual relationships that enable us to find the optimal solution of one problem given the solution ro the other. The primal problem of a maximization type will be assumed,186 eynonyrs ONES AND MONACO Primal-dual table See a = mas » ee rs Bon oe Eh Gaticens neve Contin of Objesne Fenn in) Pal 1. For any two feasible solutions of the primal and dual problems, the value ofthe objective function uf the primal is always less than or equal fo that of the dul, that is, 20 < w. 2. At optimality, both the primal and dual problems have ideal values of the ‘objective fonction, thats, 23 = ‘3. Optimal solution to the primal problem directly provides the ogtimal solution to the dual problem and vice versa, ple 3.7.1, Formule and solve te dua problem of be maufcurng east wat ren example anders compute the ial sinplex abeas ofthe two problems Solution, Recall har the erga problen formoltion is 04x + 08a: <4 as 20 20 mt 20 te fil spn tabla sing he tw fase meahod given in Example 341 The onesponding dal formulation ofthe erga model = Gp n= 1095 490 bject ays 4n-2n 25 Amt 8+ wet 2040 20m 20nen Roce em amiareNs TOMER 87 “to slve the dual formulton, te problem ss convert is sand frm as Min y= 101 #2 subject Dnt t-tn-m oH ine p tm st 20 m20 20 20 EQ HBO “where ny 8 ck variables an oan est webs, Using the ewo-pse Ith and and 3 the = se vanabe, the alga of solving the above (Kal preven it Table 323. From the bless, He optimal soution 1 the Sha problem is (ynas.of) = (22,150) Exsmiting che fal tables of the pmsl robin, one observes chat te opal slaion yf and yf which conespond othe Fis two consi ae given inthe prow under the arin basic vases (si fhe sume consi). The optimal valve for yf i aso ven inthe 9 row ofthe ful pial abla under ry, the waring base vane forthe did constant, Recall the deussion onthe per unt worth of resources afm LP ble, ope recognize thi the pert noch of resource ofthe rial bl i be optimal souton oF the dl protien 1a the eter han he pina olton he primal problem can be found tom the fn vblen ofthe dua pole, thats, Tale 3721) Agsin, fous (sof he effets athe djctinefencion ow under the sani bse variables. The stating Basic varbles of the dl problem are and ay where v san aia variable. The Cptinaltalue of, corespending foe frst dua const given i he yy 0% Unde oy wl the Spinal comespndig othe second contain dtl proble. ‘soe in the same fow unde yy ignoring tbe sign of he coeiens. In summary, the following rules can be used to bua th oovimum solution to the dual variable fom the optimus peimal tableau, 1. Uf the dual variable conesponds oa slack starting variable in she primal problem, Its optimal vale is given drelly by the coeficient of this slack variable in the ‘optimal row 2. IF the dual vaiabtecoresponds to an artical stating variable in the primal problem, its optimal value is given by the coefficient ofthis anfcial variable in the optimal» row ater ienorng the sign 38. MATRIX VERSION OF A SIMPLEX TABLEAU “This section lays he notational foundation 1 some ofthe important algebraic manip~ lations of nonlinear optimization algorithms desenbed in Chapter 4. Consier the rnatrx version of an LP formulation in standard frm Max (or Min) zp =e" 8.10) subject to ADxeb 685) x20 e810)nate 332 Solution of dual formulation of manufacturing-waste treatment problem Paw Minoo wef lon oe mw [ mo | Sole spe, 2 0 a). ays v fol 3s -§ -) a} oo 4a @ = [t]e « « «|4 «fe = oye sp Spas Pas TE Min = 1a o » ['[-» = ¢ «| eje o» [sles e-» «|e = Piel?) 2 al: ae where His an identity matrix and (8): =) Wek eke oe ee et es ca the stating nonbasic variable vector xy and the staning basic variable vector xy. respectively. The expansion of Eq (3.8.1) leads to Max 29 ~ ¢7x ~ xu =0 6.820 subject to Ax +g ©b 6.825near mocene wim AmTENEooMTENS 89 [At any iteration ofthe simplex method, the problem ean also te expressed in terms of abasic variable set xg, and a nonbssc variable se, xy, a8 Max 29 = chee +ehxw (3.830) subject to Bee +New 3.835) where ep and ey are the vectors of objective function vales associate with the current basi variable set tg and nonbasc variable set, respectively B and N are matrices formed by the elements in contain: equations “sociated with the curent basic variable xg And noabasc variable xy. respectively The marx B is called the basis matrix, Because at any iteration ofthe simplex metho sl nonbasic variables are 20 gs (38.30 and b) can be reduced 10 Max xo 6840) subject to Bay = easy) FY (9)-(GES) oa “The simplex tableau corresponding 1 the cient solution can be obtained by com- bing Eqs. (3.8.2) and 3.8.5) which yields 1 BBA egB-t~ ef) (22) _(egaw B) (2) = (BB, ass (Bos ar )(S)-(GRY) oss Hence, at any terion of te simplex metbod, the beau can be expressed as in Table 3.8.) " an ‘ne important item sat can be observed in Table 3.1 that at any tration, the simplex tableau can Se completely genemted from the orginal LP model given tha the base variables are ietfed. This implies tha there Is 0 need to sore all he cements ofthe simplex tableau danng the course of computation. Fare, Tamte 381 Matrix version of simplex tableau Bue | | a at | gees | ga90 sonore NEN ANE MANAGE the inverse of the basis matrix B appears everywhere in the tableau, In te simplex Computation, itis worthwhile 10 employ the most efficient numerical sigorithm 10 ‘oblan the inverse of B whic, in mast eases, represents the most time easuming part fof the computation, The term ¢B~?, calle the simplex multiplier, also plays an important role in determining the per-unit wort ofthe resources. 39_NEW METHODS FOR SOLVING LINEAR PROGRAMMING PROBLEMS “The simplex algorithm searches fr the optimality ofan LP problem by examining the feasible extreme points. The path of optimum seeking is made along the boundary ‘ofthe feasible region. The algorithm, ince its conception, has been widely used land considero as the most efficient approach for solving LP problems (Dante, 1963). Only recently have two new methods for solving LP problems teen developed which have an entirely efferent algorithmic philosophy (Khatchian, 1979: Karmarkar, 1984), In contrast the simplex algorithm, Khattin’s ellipsoid method and Kar rmarkars projective scaling method seek the optimum solution fo an LP problem by ‘moving through the itrior ofthe feasibi region. A schematic diagram ilostating the algorithmic differences between the simplex andthe two new algorithms is shown in Fig, 39.1. Khatchian’s ellipsoid method approximates the optimim solution of LLP problem by creating a sequence of ellipsis (an ellipsoid isthe multidimensional ‘analog of anelipse) that approach the opial solution. Both Khatchian’s method end Karmarkar’s method have been show tobe polynomial ime algorumms, This means thatthe time required to solve an LP problem of size m by the (wo new methods ‘would take at most an® where @ and bare two positive numbers. ‘On the other hand, the simplex algritm is an exponential time algorithm in solving LP problems. This implies tha, in solving a9 LP problem of size n by a Simplex algorithm, thee exists fosiive number © such that for any m the simplex goritim would find its solution atime of at most 2". Fo large enough (with postive a,b, and o, ©" > ox! This means that, in theory. the polynomial time lgotime are computationally superior to exponential ine algorithms for large LP problems, REFERENCES roy, S, A Ha dT Maps: Applet Mahemai! Programming, Adinon Wee, Reig. BAB, Renh an A Mera, GAMS A User Ga, Te Scenic Press, Redwood Ci, Desi. Line Programming ant Exess, Pecan Unvery Ps, Piet, 83. 1963 Fen, MC B1.) sion snd) deci Wer Resource Sym Ania” Rena apr "Ne, oy ana Reseach Connon Bach, Dement f Ere) Mes we Rees, ‘Onn cmda 19 (Siar Projraming: Meth and Applicon, McGrail I, New York 1988neat mocasoune simeamtiarensro sitios OL ~ e TF katmars alge FIGURE S91 Drees imi sech ah ese ge les af Karma's ao tig $a 6: Lies tration Operation Reser 80 <8. Mel I New arma Ny New Poni Tne Alois for Lier Prog” Cambio, 8 ates, each "A pm Alt a Linear Pgramming” Soe Mathers, Dol 2. Marah hod MA. Sande: MENOS 51 Ue’ Gade, Repo SOL 83.20, Ser Unies, "hoc ne Zoom Sys” Worig Pape, Mineman infin Since Dep TRAE W LE Gta Reach pans nd sgn, PWS-Ken Publ, Boson, 18 PROBLEMS SAA Consider the folowing LP model Minimize zy = 2214322 #52)92 sonorous ACNEERNG AND MANCEMEST subject 9 ata win, + Toy ~ 905 = 18 i851 ~Tep+ Sasi 13 2120. 2320, zy isumesticediosion (a) Traaform the model tts sanded ee (0) Transform the model es canonical om, SM2_ AS described in Seton 3.12, an unesiceyinsign vibe, sy). an LP made ces be replaced as j= 25 ~ 35 with 2] 20 and 2) > 0, In doing so, the come ‘ponding numberof nonnegaive’ decison vrtles inthe LP mel wil be double. Show tha its possibeoreplace/unresrited vanabes with excl nonnegative vatable 23 =F) — ws je .2onoske2y 20, w 20,40 w > man(2>). afer Ta 980) {36.3 Show how to nerve the following objective fonctescoresponig to te mip-max prcile? Aer Tata (1987), le Less Leuss} vainic enn | SLA Show how wo lnearize « max-min sbjestive funtion Maximize 2 321. Consider the following LP problem Maximize xy = 32) +505 sbjest to n Sa sé Beye <8 (a) Heo the feasible extreme points othe probs. (©) Solve the probe graphical 322. Referring othe graphical soations obtained ia Pobem 3.2.1, determine the amounts of redution of nonbinding consis tht wil ot fet the feasibly of he caret ima sation, 423. Refeing othe graphical solasons obtined in Problem 321, detemine the range of objective function coeticiet of 350 tha the caret opal solutions ran fare 324 Is pose to change the values of RHS coeficients of binding consis without ‘Mfcing the feasibly of caret opimal sition? 1S. Solve we following LP prblem sasha ABS Sole te be Maximize 29 = 32, + 223126 aan 332 333 vast Ban a2 aaa bas neu corsinna ui amvenens oreo 93 sje etn s6 dove <8 ast met Referring othe graphic soins obined in Problem 32.3, determine the amounts [St reduction of onbinding consis witout aTecing He fesbiy of the caret pial soins. ‘Deemine the rage of change ofthe objective function coeffceat of so that he Cent opal slain emai feasible for Probier 3.23. Solve Problem 3.2. algebra Solve Poblem 3.2: wing he simplex method, Solve Poble 3.25 algeria. Solve Problem 325 aig the simplex method Solve the folowing LP problem sing be Big-M method. (Taha, 1987) Maximize 2p = 21 +322 525 abject nent se? doyssey+ 2210 Solve the LP problem in Problem 341 aig the ovo phase method Solve te fotowing LP problem byte two-phase method (Taba. 1987), Maximize 0251-14 23 say24 sbject 2ae dn -nrim- pba sey Ga24 355 <8 ayn 20 Solve LP in Proble: 3.43 wing CAMS. Refering to Fig, water is avable at supply points 1.2, and 3 in quanties of 4 Bam! 12 hotnd bal, respectively. Al ofthis wat must be shipped 1 ‘Sesinaens A.B, C,Drand E, wick have requremens of 12 3,8, ad 10 tows Barels espetvly. The following table gies the cos in dallas) of shiping one tral of wer fom the ven spp pit fo the given destination, Find the sipping schedule which minimiaes the total cou of wansporation ant he onesponding cost of tansporation sing GAMS,supp Figure srt he esinton ‘Wher apna oben. S46 Solve the manutacuring-waste venent problem (Examples 3.1.1 a 34.1) sing the two phase method witha new sling ust pce af $15 K 3.47 Solve Problem 3.46 using GAMS (or ny other avalale EP coe) S448 Solve he manofacuring-wast wexanest rblem (Examples 3.1. and 34.1) ang the {morphs metho with «diferent effet tox of $3 K foreach unit of waste named, 1349. SoiveProbiem 34.8 using GAMS (or ny ter avaiable LP ene), [4410 SoWve the manlacuring wane veanes bien (Examples 31.1 a 3.4.1) sng the twephace method witha pe upper lit of five une on te acum of wae ny rmanuacier may discharge. [411 Solve Pratiem 3.440 wing GAMS (of sy oe svaiable LP code.) [4412 Resolve Probem 3.45 when demand foreach desman reduces Wy 9 reel [3413 For equiable esos, the wer recived ata given destin ha 10 be more or est norly Siva Gor tbe re sources. Fe tis guy consderan estcton 'S tsps ta, or all dexinations, se ieee in wale cio frm sources aoe be restr than 10 percent ofthe to ressved for that destintion. Formals eromeponation mal By incorpraing equity considerations 34.14 Sole Problem 3.3 numeral for an opin traspurtion heme of var when ‘he demand for eat destination i reduced by 500 bes. 3428 Compu the rel of Problems 34.12 and 34.14 and dtc the differences. 6 Solve te manfacuring waste taement protien (Eaole 3. sing the Big: Af eho 39S Based cathe resus bined in Problem 332 (o) etemine te satus of he consis (0) what are the peranie wor of RHS cofclents? (sl assume tu the RHS eoeficins epee he resources aalable an each cos 2s and 3 ons, repecely. if Caareexgasion fr reso posible, how bo you prictze these sures? 352 Basel on the ress ebisined im Problem 3.3.4, (a) ctemine te stato fous conan (by what a the peranie worth of he RHS ceficient? (c) How do you piontiae the four resource for fore expansion the wi cons of sch RAS yesutee we 1/2 1/2 172, and 1, respectively?nese nace wen arecnins MORTEM 9S ‘Consider the fowing LP problem after Taha, 1987) Maximize 2p = 31+ =2 abies © ait2s 5 8 Terie ~ Sey s suznz 20 Solve the problem by the sine algorthm and eit out ay unusual condition such fs cepeeey, erate solutes, unbounded, et, npg the our of comp 7A. Based on te LP model developed othe water raspertion problem, tats, Problem 545 formate ts dual mel 372 Base onthe LP mel develope forthe water vansperation problem wih euity oeidertion, tat Problem 3413, formule ts al ose. [S81 Refer tothe manfacarng- waste tetment nthe sandar fone hati, Seale 312 Sppose tha the cuetbaie variables ae iii to be wy = (z,22)"- Use the Ith version ofa simplex beaut genenie the ete tables. Check your rests tit the ial simple ales of the manufacturing vaste tesiment problem given in ible 335. {394 Solve Problem 3.3 sing the da spec method and compare t with the two pial Algor odin Problems 343 and 344. Discuss which algorihm is peer 1392 Sole the manuacunng- waste eatnest example By the revised Spex algorithm, S101 Solve the manufactungowase tenner examie by Karmarkr’s algo, 53.4022 Desene in deat Karmarkar’s lgothn fr slving LP problems APPENDIX 34. GAMS (GENERAL ALGEBRAIC MODELING SYSTEM) ‘Throughout this hook many linear and noslinear programming examples and end of chapter problems are presented that ae far 100 difficult 10 solve by hand. Probably the best Software, from the viewpoint of teaching through this bok, and to solve real world problems will be tho GAMS family of software (Brooke et al, 1988) which consist of thre software modules. There are: GAMS, which can solve LP probes (Brooke et al, 1985): GAMS/MINOS, which isan adaption of MINOS (Modular {n-Core Nonlinear Optimization System) for both linear and nonlinear programming problems (Murtagh and Saunders, 1987). and GAMS/ZOOM that is an adaptation ff ZOOM (Zero}One Optimization Meshos) tor mixed integer programming prob- Jems (Singha, Mazson, and Morin, 1987) All thee ofthese software modules are availabe in PC, workstation, and mainfame versions GAMS was developed by an ‘conomic modeling group athe World Bank in an etfor to provide a system structure Sand programming language in which the conciseness of expression, gneraliy. and porability could be mainsined and to use the computer 10 keap wack of as many programing detail 2s possible96 saaerseee BHANEEINE AO NARACENEST 3A, GAMS INPUT GAM (General Algebraic Modeling System) is programming language that is ‘ed forthe compact representation of large and complex models (Brooke, Kendrick, thd Meerhaus, 1988), A GAMS model isa collection of statements in the GAMS. “anguage that is inp. GAMS models consist of statements that define data structures, inal values, data modifications, and symbolic relationships equations). The input is fee formal and the ordering of statements is done such that an entity ofthe model Cannot te referenced before i is declared to exist. Basie components of a GAMS ‘model ae shown in Table 3.4.1 Example 3.1, Develop the GAMS mosel inp fr he manufacturing waste ween, Example 341, ‘The minufarring-easte treatment problem in ared to sllueate the developmen of « GAMS model Solution. Te ips can begin wth comment satements sah a the flloving fr this cvample ‘ove quantiy of waste to be assstargea Structure of a GAMS model eciaton (Opera Aspen’ of buns anor ith ves eQuATIONS [MODEL AND SOLVE STATEMENTS. (Opn DISPLAY stenens ‘Ompu eens mans Eaton Lge ‘Sane Reposnese mocenmns rm amacaranawencnrine 97 ‘The $ and + ae in column of te input Sets are the basic building blocks and comespond «othe indices inthe algebraic epresentation. In the manufactring-waste weatment problem there is nly one SET sero ¢ constensat —/PLaNTEAD, TSELIIEE, waste/ “Two sets ae declared with the names C and A. The lower ease words, constraint and amount, are text, which is optional. PLANTCAP is used to cefer to plant capac ity, DESCLIMIT refers to discharge limits and MAXWASTE refers tothe maximum amount of waste, GOODS refers to goods manufactured and WASTE refers (0 waste tenerated, Alleratvely the above could be expressed in separate sts SET ¢ conateatne/PANTCAP, OISCLINGT, WAOIASTE/; Data can be entered by one of te formats: lists, tables, or direct assignments. Using dita enry by lists the PARAMETER statements ae PARAVETER Ms (C)_eight-hand-asdes of conatsnsnte ‘The above parameter statements declare the existence of two parameters, CC(A) with a domain A and RHS (C) with a domain C. The domain is the set over which & parameter. varabe or equation is defined. The statement also provides documen- {ary text for each parameter and assigns values of CC (A) and RHS (C). The following table defines the remaining data entry which are the coefficients inthe‘The decision variables ofa GAMS model must be declared with a VARIABLES statement. Each variable is given a name, a domain if needed and optional text, The VARIABLES statement forthe veatment example is vamsames x0) decision varsables GAMS is an algebra: modeling language that allows 2 group of equations or inequabies of a model 10 be created simultaneously net individually. The equation declarations for the manufacturing waste treatment example is ‘The constrains are as defned in Example 3.1.1 and the objective function is to minimize prof Equation summations are based on the idea that a summation is an operator ‘with wo arguments, SUM findex of summation, summand), which ae the index of the summation and the summand. As an example, the plan capacity constraint ofthe seneral form 31,42) 6 71, COBFF (CB) *X(R) where Cis 4 Ris, CORFE (CrAD is jy, XR) 1625 and * isa multiplication sign. The components of equation definition ae in order: 1) name of equation being efined: 2) the domain: 3) an optimal domain restriction condition; 4) the symbol '5) LHS expression; 6) relational operator (es than of equal =L=, greater than or ‘equal to =G=, and equal to B=); and 7) tne LHS expression ‘A complete Set of constrains can now be defined. The capacity constraint (Eieuty Sb) is C2.80M PA, CORFE PLANTA, A) * KCI) sLeBUs ('PLawTERE') As defined above, RHS (_) defines the right-hand side (,) ofthe consrain and the constraint a less than or equal to consain. The complex set of equations are: 1,504 (COEF "PLANTERD', AY) 1 (AI) bonus ('zuaNEERE’) 2. som (A, CORFE Dzecuma!, A) + x (a) ataRaS (DISCLIMIT’): £3.04 (A CORFE ‘nosnste! A) * X (AI) nGORHS CRASWRETE GAMS does not use an explicit entity calle the objective function. A variable ‘is used to specify the function to be optimized: thie variable is unconstrained in sign and sealarvalued (00 domain) in the equation definitions. In the above equation “efntions the word MAXBEKEPTT ie used to define the objective. ‘The model, solve, an display satements are now expltined. In GAMS the ‘word MODEL has a precise meaning, a collection of EQUATIONS. The MODEL iesan mcceaunno orLaTONs To onaHYeE 9B given a name ina declaration statement by Rist using the KeyNor’ sODBE, followed by the model's name, followed by a list of equation names enclosed in slashes /-/. fall previously defined equations are included then the Word /RLL/ is used, instead ofthe complet list, For the manufacturing wastereatmen: example the declaration Ifthe list i used rather than the shortcut the model stement is “This statement is very useful when a user wants to create several models none GAMS fn In other words the lit option would be used only When a subset of the exsing ‘suations comprise a specific model ‘After « model has been declared and assigned equations, the solver i called us- ing 4 SOLVE statement. For the manofctring waste teakment example, the SOLVE ‘The format of the SOLVE statement is: 1) keyword SOLVE: 2) name ofthe model to be solved 3) the keyword USING: the avilable solution procedure such as LP for LP, NEP for nonlinear programing, or Miz” => as 3) the keyword MINIMIZING or “9 XiNIZING; and 6) the name of the variable 0 be ‘oqvim'=2, such as MAKBENEE TT in the manufacturing waste teeatment example. ‘The DISPLAY statement is wed 10 define the level of output. For the mand facturing waste treatment example the following display statement is used in which x. calls fora printont of the inal values of he decision variable and XM calls for a printout ofthe marginal values of the variables ‘The complete GAMS medel (input) is shown in Figure 3.8.1. 3A2 GAMS OUTPUT “able 3.4.1 illustrates thatthe output includes the ech print, reference maps sition listings staus reports and results, The echo print i a printont ofthe input file such as shown in Fig. 3.A.1, for the manufacturing wase eaten example. If entre are found bythe GAMS coded error are inserted inthe echo pia on the line immediately following the eror, The messages star with “#***™ and contain 2°"3" aireciy below the point where the eroe occured100 jwonon TOs HNN A AAMAENESE o dso THE QUANTIEY CF WASTE TO RE DISCHARGED By savor eons, WASTE” 5 PARAMETER cO(A) _cOEFPYCIENTS OF onvECTIVE FUNCTzON IGURE AL [GAMES pol foo mnaicring- wate ween exapleLine moceawnoion wanes oinacsers HOD “The next section of output are the reference maps. A cross-eference map is the fret map which is an alphabecal, cross-referenced lst ofall entities (8, parameters, variables, and equations) ofthe model. The cros-eference mup for the ‘manufactring-waste treatment example is as folbws Symbol Type References a pws. 7 39 Ser ce eT AN 25 ‘As an example the crosseference list says that Ais. ase tha is declared inline 11, etined in ine 11 and referenced once ilies 15, 24, and 32 and referenced twice (eg. 2 * 44) in lines 44, 46, 48, and 50102 sonore henacune Mo wnceer “The second part ofthe refererce map ists the model ents by below for the manufactring-waste treatment example. “This list also provides the associated documentary text. no compilation errors occur then the equation isting is the next output. This is product ofthe SOLVE statement that shows the model with curret values of theses and parameters. The equation ising forthe manufacturing-waste treatment example i RoFzr. 54x (60008) -x as MOKBENEFTE“B-O 5ine oceanic uM Amuro inact 103 ‘Default output also presents a section called colum listing wi. is analogous to the equation listing. The column listing forthe manufacturing vaste reament example is “The symbols -20, .Z, and . UP refer to lower bound, evel or primal value, and upper bound, respectively. For X (GOODS) the lower bound, primal, and upper bound are, (0, 0, and * NE (positive infinity). Bounds on the variables were set auromatically as 0 and + EN; however, these can Be overwniten athe input. For example if the lower and upper bounds on X (GOOPS) were 0.5 and 10.5 this would be specified as These statements must appear inthe input after the variable declaration and before the solve statement ‘Model statistics i the Ist section of ouput that GAMS produces before the solver begins solvisg the model which is shown below forthe manufacturing-waste treatment example, cocks of EQUATIONS ¢ SINGLE EQUATIONS104 sooncewrews anesnnc 0 MeMODIEN |A SOLVE SUYMARY is printed once the solver his executed, This has 160 limportant pans, the SOLVER STATUS and the MODEL STATUS. These are shown ‘below forthe manufacturing-waste treatment example, [Note thatthe SOLVER STATUS isa normal completion, however there are five ober possibilities The MODEL, STATUS was 1 OPTIMAL. There are & al of 11 possible Satuses including 3 UNBOUNDED and 4 INFEASIBLE for LP. "The final information inthe output i the solution repons, as shown below for ‘he manufactring-waste treatment example Single dots shown above represent 2eros. The next printout is a repo summary which ‘efines the number of nonoptimal, infeasible, and unbounded rows and columss.10s (Once the solution repos aze writen the OTSPLAY statement output is given ‘The GAMS PC software and user guide (Brooke, Kendrick, and Meerhaus, 1998) can be purchased from The Seienife Press, 507 Seaport Coun, Redwood City. CA 94063-2751CHAPTER DYNAMIC AND NONLINEAR PROGRAMMING WI TH APPLICATIONS TO HYDROSYSTEMS _Barlce nydrocvsem applications of operation research echnigues relied mainly upon ‘he use of linear and dynamic programming techniques. The use ofthese techniques applied to solving hydrosystem problems hus been rather widespread in the lites ture. Linear programming codes are widely salable whereas dynamic programm requires a specific code foreach applicaion. The use of nonlinear programming in solving hydzosysems problems has not beer a6 widespread even though mast of te problems requiring solutions are nonlinear problems. The recent development of ‘ew nonlinear programming techniques and the availablity of nonlinear programming codes have atraced new applications of nonlinear programming in hyarosystem firs two sections ofthis chapter desenibe the basics of dynamic programming. Then “unconstrained nonlinear optimization procedures ae desribed Tollowed by descrip. tions of constrained nonlifear opimization procedures. 106pssne ae on ASAE WED ARLIATENS OMNIS 107 4.1 DYNAMIC PROGRAMMING Dynamic programming (DP) transforms a sequential or multistage decision problem thot may onain many inteelated decision variables nto a seriss of single-stage Droblems, each containing only one of & few variables. In other words, the dynamic programming technique decomposes an N-decsion problem inp a sequence of V Epuate, but interrelated, single-ecision subproblems, Decomoostion is very useful Inuolving large complex problems by decomposing a problem into a series of smaller “ubproblems and then combining the soltions ofthe smaller problems io obtain the Solution ofthe enre medet composition, The reason for ssing decomposition i fovea problem more efficiently which can lead 10 significant computational savinss, [As tne of thumb, computations inease exponentially withthe numberof variables, ‘avanly linearly wih the numberof subproblems. This cps. only boy describes (1982). ‘To describe the general pifosophy ofthe dyanic programming technique, con sidee the flowing resource alloeation problem. Suppose that funds are allocated 10 ‘vee water development projets, A, 8, and C. to maximize the total expected rev- tenue. Each development project consists of diferent altemative configurations that requir diferent funding levels and yield diffeent revenues. Due to budget limi “sian. the tual evailable funds forthe entre development is aes. Ifthe number of altematives foreach project i not fo large, exhaustive enumeration ofall possible Combinations of the project ateraivs i perhaps practical to identify she optimal ‘Combination of allematives for the entire troject development. Naturally this exhaus- fe enumeration approach possesses tree main shortcomings: (1) st would become limpeeticl if the number ofalteative combinations is large; (2) the optimal course bf action cannot be verified, even if i obtained in the early computation, wnt all ‘he combinations are examined; and (3) infeasible combinations (or solutions) cannot ‘be eliminated in advance. In dynamic programming te altemative foreach project is considered indi- vidually without ignoring the iterdependence among the projets through the tata tvailable budge. Since the etal fonds are limited, the amount available to each project depends on the aloestions to the other project. Whatever funds are given fo projects a and B, the allocation to tbe remaining project, C, must be made co ‘Optimize its return with respect ro the remaining capital available. Tn other words, the plimal allocation to proket Cts conditioned upon the available funds for Caer Allocation to projects vt and Bare made, Since the optimal allocations to projects “Wand B are not knowa, the optimal allocation and revenue from project C must be detemined for all posible emaining funds, after allocations to projects A and B have teen made. Furthermore, whatever amount is allocated to project, te allocations fo projects B and C must be made optimally with respect co the remaining funds after the allocation is made to projet A. To find the opsimal allocation to project B. the “Xocation maximizing the venue from project B together withthe optimal revenue from ©, at 8 function ofthe remaining funds from the allocation 19 project B. is ought {Final te optimal allocation fo project is determined, ro maximize the108 onary mcnuanne no enconeet revenue from project A plus the combined optimal revene from both B and C. as 2 function ofthe funds remaining after the allocation to project A. in seal, funds are allocied to the three projects simultaneously. The se uesal allocation isa mathematical anifact allowing one 10 make the decisions se- Suentlly. Dysamic programming can overcome the shortcomings of an exhaustive numeration procedure using the following concepts 1. The problem is decomposed into subproblems and the optimal stemative is se- lected for each subproblem sequentially so that it is never necessary to enumerate il combinations ofthe problem in advance 2 Because optimization is applied to each subproblem, nonoptimal combinations sare automatically eliminated. |3. The subproblems should be linked together in a special way so that itis never possible to optimize over infeasible combinations 4.11 Elements of Dynamic Programming Model ‘The water project funding allocation example described previously can be modeled mathematically a= Max OS ryey 116) sass 19 au Deus (iso Ally =00r1 ita viherg/F) the seven hat canbe generated fom semaivej of proj jy i the fds requrement for alternative j of project +(e) sa decision variable which fan take either O or | with 0 indicating akemative SP project + noteelected and 1 otherwise F)s the total funds available forthe development, Vis the taal number of projects wher consideration, and (Mis the number of alteatives of projet i. The second set of constrains represent ta nt al projects under consideration have 10 be funded. Funhermot, alieratives within each project are mutually exclusive, that is, only one altemative per project canbe chosen. According to the general discussion of the dynamic programming solution approach, the above mathematical programming ‘model canbe depicted as Fig 4.1.1 Referring to Fig, 4.1.1, the basie elements and terminologies in dynamic ‘ropramming formulation afeinreduced as fellows.rac ase entnean ocean wi miaronewvenoseres 108 eke by nds be aby T T T Seen rion f bl dan roping robes. 1. Stages (n) are the points ofthe problem where decisions are ro be made. In the funds allocation example, each project represents a stage in the dynamic programming model, Ifa decision making problem can be decomposed into Fubproblems, there wil be AV stages inthe dynamic programming formulation. 2, Decision Variables (dq) ar courses of action to be taken far each stage. The decision inthe project funding example ite alternative within the project ro be Selected. The number of decision variables dy, in each stage isnot necessanly ual 10 one 13, State Variables (Sq) aze variables descabing the state of a system at any stage fA state variable can be discrete of coeiinuous, finite or infinite. Referting 10 Fig. 41, at any stage n, tere ae input tates, Sq, and ouput states, Sst. THE State variables ofthe system in a dynamic programming model have the function Of linking succeeding stages 30 that, when each stage is optimized separately he ‘resulting decision is automatically feasible for the enize problem. Funhemore, itallows one to make optimal decisions forthe remaining stages without having to check the effect of future decisis fr decisions previously made. 44. Stage Return (rq) is a scalar measure ofthe effectiveness of decision making in tach stage. Its function of Ue input state, the output state, and the decision ‘arabes ofa particular sage. That 8, rq = r(Sy Sst da) ‘5, Stage Transformation or State Transition (ts single-valued transformation Sohich expresses the relationships between tbe input sat, the outpt state, and the decision. In genera, threugh the stage transformation, the output state at any stage n can be expressed ar the faction ofthe input state and the decision as Snes = ta(Srded au To demonstrate the algebraic algothm of she dynamic programming approach in optimizing a problem, she project funding allocation problem is solved in the following example V cample 4 Te 4.1.1 cons te requ ing (aos of do) fo facta andi eves illo) hat an eed for ach ‘Serve, The tal udp rain or be evap 8 57min. Asem a roe ede comiention mat be ponent. Sabres mains eal enaHO sroscrras onan wo ceo Coats and revenues for alternatives in Example 4.1 Frakes Projet 8 Peet ‘Cont Revenue Cont Revenue Cont ‘Revnut Anenatne (iH) Gianni) (Aes Solution. The basi elemers fr te dynamic programming model we deine, 1, Stag (nen profs represents a wage with n= A,B, an C. 2 State variable (5) he ate variable each Seis he set of suatives con sere |. Desnomvarable (dq) the decision varie ithe alteraive selected forthe nex ste (projec. | Stage return (ra) the revenbe geet from he sels aleve ‘Stale transition function (ty): Sq = dy forn = Cand Spy = dy form = Aad 8 Schemavaly the problem canbe depicted as Fig. 12a in the form of a «quent decision problem. Mote exp, the sytem canbe expanded to network ‘epresertion a shown ia Fig 41.25 when feasible sats (Le. alematives nach stage (ie, peje) are shown, Assme thal the sequence of desson fellows he eect der as Shown in Fig 412 the analysis an proceed backward by starting wth te Jas project, project ©), The oder ofthe projec mater in this expe “The backward algnihm starts with sage n = C which has two feasible sates (ahematves) a shown in Fig. 412. Sine this the teminal stage, no opimiation Js involved. In oter words, the opel decison fr projet C is dé = 87 Beas the corresponding optimization canbe sted 8 Max fuse) = rede = 8) tn ular form he computation fr this sage shown in Table 41.210) "Move one sage backward to consider project. For ech ese sate in stage ‘n= B.the objective so ier the best conection in tems of accumu evense FIGURE 4126 } Sei ein oe ongrac 0 vouneaninccronne we AmLATONSToronstseMs LT 1 1 ' sae = Pe Post Pret FIGURE 4129 eswort reo of he nding lation came sng alematnes a ste wares upto projet 8) al he feasible sas nthe immediate downstream stages only age (Cate preset tine). Th optiiztion problem is Max fo(Se)=r9(S0)* a) Computations to ef the eptimalconecins foreach feasible sate in projet 8 ‘Ge ten in Table £120) Noe tht the problem i sequel selection of altema- ties nbjet othe badger conti. is aessary to Keep cack ofthe accumulates ‘epee a he option procedure moves fom aoe sage othe ex Ur Tale 4125 for cach of te eae sinter in project 3. that Sig = (A |Ae2, At} ere cresponds two pole decisions comecing to he sates inthe ext Mise greet Ch, do = Se = (Ale, Alt) To explain te computations involved in {abe 1218) cone thelist ow comespondig 10 Sp» AIS. The accumulated etn Sencnd withdes= Alt] is S12 Ms $3 Ma LS Min which he ft umber ($12 MD {athe even generated fom the election of A for projet B andthe second umber (3 My mts fom the selection of Ale for pet Cas shown in Tale 412). The ‘uml cot comespnding to this comes of tes between proces and C (ies Se = Aled apd Se = Ale) ie SM + SLM = S8 M, which ie feasible wiio te budge! iit of $7. Wi ep Sp = AR and dg = So » AL-2, the accumulated ‘venue of S17 Mt prs than he fone one of S13 M: however the accumulated ‘Conti $7 M which wes pal he Boge leaving o funding for project A. This woes fe consin reguing tall projects must be implemented, Hence, desion dip = Se-= Alt? infeasible and shouldbe dseardd. The last two clus of Table 4.1.20) Tester the optimal sccumslted reveoe ard optimal decision associated with each of the fenuble states for poet 8. The optonal conection fr each ese sae in each Sage fo he immode downstream stage a iglped bythe bores in Table 4125 Up ie competion of projet allocations, te arly proces tackvatd 1 consider pec A. The optimal solution fr project i Ale whic has aoa revenue O1SDIM forthe tee pojons. Using the sme procedure employed for project B, the Cenputional able for pret Ais shown a Tate 412) Examining he ast column112 ypnctveraisrsonemne te unico TAMLE 4126) DP comprtations for project C ‘pial | Optinat se_| sim | er) 3 | an Genes o m2) os | an comes Toman an cel oe IE ante 4120) DP computations for project B ‘Ya\Smrdp)=ra\So)+ folds) Se KO | % Ghent 9) ae3eo 6) aes reser) as | Gu erie essere | a Tis pe nl pc Bm IN den mop ST ap ing og DP computations for project A TaiSadad= Sue Falta) aaete | a [es no | isos scuep sess) |» as Sa ny ag is Gury ove = ana [semen teem cases | | Grsieen 46 Oren = ‘Game 2 er cma pane A Baprvate ue scnenne mocha Amar TownoRsraess US in Table 4.1.21 earesponding the optimal decison dit is observed hate oa thdge of $7 M supe up hen te optimal Sloion i bind “The fia step ofthe dye programming tchngue iso "trace ack” ough he ste snes in overs ot ling ie sequence of A=3-—Cvizng the conespond ing computation able. Not th, fom Table 41 2() the masiu achievable ta (ues S21 Manse ih Sq = Ale2. At Sq = ALE, te optimal decison i, ‘Spe Alc} as cle, Proce buckmard to Table $10), wit Sg » Ale-3, tbe cone ‘Suoding opal decision sy = So = All, Ths thn completes te race-tuck poe {fr whch slenttis the aptinalseecton af emai as (3, diy 2) = (A2, ES ‘Sty andthe optimal anu) tt evens Is S21 ML This ace-back procedures ‘seed in Fig 2b dicated by heyy lines wih arows. The pote canals be Solved by defining the se arable a the aunt of budget avaiable (Problem $1.2) 4.1.2. Operational Characteristics of Dynamic Programming From Example 41.1 the basic features that characterize all dynamic programming problems are as follows: 1 The probiem is divided into stages, with decision variables a each stage 2. Each stage has a numberof states associated wih it |3 The effec of the decision at each stage i 1 produce retum, based onthe stage ‘eum fonction and to transform the curent tae variable into the state variable for the net stage, through the state tansform function. 4. Given the cureat stat, an optimal policy for the remaining stages is independent ofthe policy adopted in previous sages. This is called Bellman’s principle of ‘optimality, which serves a8 the bsckbore of dynamic programming. '5, The solution begins by finding the optimal decision for each possible state in the last stage (called the backward recursive) or inthe fst sage (called the Torward recursive). A forward algorithm computationally advances from the fis ote last stage whereas» backward algorithm advances from the lst sage to the fit 6 A recursive relationship that identifies the optimal policy for each state at any Stage ncn be develope, given the optimal policy foreach state at the next stage, n+ This backward recursive equation, refering t Fig, 41.1 can be $alSu)* Of (ra Sus da) © Fr SoeDE opt {rm(Saide)e Frilt(SaaDh a1) where © represents an algebraic operator which can be +, —, x, or whichever {3 appropriate tothe problem, The recursive equation for a forward algorithm is stated 38 F580) =O. ra (Susta)°Fe-1 es)} ale114 swonoevreue cea 0 wants [Note that, in the example, the computations fer stage 3 (project C) do not Solve the term fai(Sya i the recursive Eq. (4.1.3) This would generally be the case using backward dSnamie programming optimization, Therefore, the recursive ‘uation forthe backward dynamic programming technique can be writen ae PE Era (Sardad frneN (41.50) OPE Sart) 2 fins Snel} form = 10 —1 41.5) Example 4.1.2 Detne the tackward recursive equitons forthe water development funding Example 41 Slaton. Fr the Wicd sag n= 3) (Sy) = Man fore second ape f(8)= Mere se): and forse 1/5 = Mae a+) Example 41.3. The inflows toa reserve bving tea apa of four nits of water ae 2.2, and un. especively, forthe four seasons ipa yer, For convenience, the amount of water i counted only by integer vis of water Thee the rleaser fom the reser for water supply to lyst ars ae aad fer $2000 fr te ist lun of Fela. $1300 forthe second un, S100 forthe thir ane. and S800 forthe fourth en When the reservoir is ull and spl ope unit of wae, «minor food wll result ina damage of $100, When the pl aches 2 units,» mae load wl result tb damage of $1000. Deemine te operon policy for ania ena reas by Symamie programming using s backward algo, considering ary amount of sorage ‘Sie end ofthe year Soluion, The fs sep so expla te benef fancsion. One i of eles ht tum (Gene) of S200 wo unite of release havea etm of $200 + 1500 = 83800 hee ts of release havea fetun of $3500 + $1000 = 4500; four ents of release have 3 eum of S500 + $300 = $500, five unis of release (when the Fervor only out be sie mean ta the esol econ full snd one un i leased he Benet '55000 (fur unis fr water supply) ~ $1500 (one ai of spl) = $3500, afr © wns of release the heeft is $8000 ~ $4000 (2 units of sis = $1000. Esch season seeesens stage as sown in Fg. 1.3. The ste vibe for ‘his servo operation problem i the rage ch tell or Begining af seo ssorge Sq = ST and the inl ce end of aeaon sorge Sy = STyay fr sesoe ‘hs Reser eles is the deon vartle denoted as dy = Ry for tasen nT ‘rnsfomaton fact snp the coat equation eating the nial season sorage 10 the fia season marge of a Stage Nas $= 5+ QFa— where QF is te inow for sagen. The final tore ofa parila sage (ssn) ‘he tial sorage of he net sale, tha 3n=Sanonunee wosenunta noceawuncwmeamuesnonsTonmancveris 115 ged, sau} suas, eee ‘S ¢ BHA j BO 7 RX ZX Poy Ki A x x \5 A ‘oe DP twa eve eqn hs xa i Mantra Se fenat FaSad™ Yee ee ro tSmde) + foe Srl] FOF ME LoD ‘De compuions a sown in Tables 4.1.30) Refeing io Table 413 for the sage 4 compan fst cola represent te inl storage (sat) in season £ suage The second clara the inital slorge S, pls te info QF = t. The ‘est ve colons a be leo the DP comptatons wher the DP recursive equation Fanied, Each colin i fors pose Sa storage Si =0, 1, 2, 3, and, Forth st Sage’ this eva computation Perso te recursive eso i (51) = ra Se de ‘nas cxampl forthe tial storage Sy =O and Bal storage 8, = O refers oa lense Run Ths deernited by sig the ste Cansfomaton ~Se081- ion for Ra ova lee of 1 Ina nner sii for 5 = Re Sl reer The coleman maximum beoedt f7(St) dfnes the maximum ofthe tenets ‘cath nial sage consent al nage which the sme as considering each116 wyotrvemas meeps wo Hanae posible elese (decision) forthe inl trae, The opti release for each nia so 1g iste in the nex calm a the opin al orage iste in he ast col, “Table 4.1.30) presents the DP computations forte third sage hid season) ‘which hasan inflow of? units. T late the compton procedure, consider © snd Ss =0. The release represtoed by this combination of inland al serge it Be = 3+ QF 8) = 042-08 2 then the sem ov tenet rs(S) = Ory = ‘Ry =2)= S3800. The opimum cunalaive benefit fr sage & was /2(Se = 0) = 5200 {om Table 4.10) fr $y = Sy, The computations are eee backwards for sages 2 (season 2) and (ean 1) which re shown in Tables 41 Xe) ad (especies ‘Once the DP computations ae competed fr sage, a tacbac i performed 10 ‘aenaly the optimum st of releases. Referng tthe DP somputations for sage 1 in “able 4.1.32 the manimum benef foreach ofthe eginnig storges Sy are 11.000 for S; = 0, $12,500 fr S, = 1 $1.00 for 5, = 2 $15.00 for 8, = 3, and $16000 for S; =4. The maxium benalt therefore $1600, A iasebck canbe performed foreach of intial storages. For purposes of ilasration x actback i petomed for te maximum beet of $16,000 fr 5; = 4. The optima clea for this casei ete fi =2 or 3 units with respective fina) rages for stage | of §, or 3. Refering to Tible 41.30) with Sp=S) 4 or 3 the optimal relewes fr Ss Saye dy 2 09 for the eespetive fal Sorags fer stage 2 ofS: =2 or. For Sy 4 Ue optimal lessee axe = 2 or 3 for the respective fal storages of 8 = 3oF2. So = Now iter o Table 41.3) for sage 3 he opin leases wr’ for $= and $5 =I: for §) =2, j=2 or and 85 =2 or: ad for 8 ‘The opal final storages for sage 3 ae 8 stage # in Table 41.30). For i= 8; =1 or 2 then De opal decisions we dt =? or 3, respectively 50 that Sj =0 for bth eases. In summary the maximum teed for this problem would be starig ot wih the reserves full athe tepnning ofthe yeu snd to bane I emgty atthe ef te year. This obvious for this exam bu rm the vewpoit of operation of tal Fesenoir this policy would aot be followed, The opin raccack i furthest in Fig. 414 withthe optimal releases shown, Although dynamic programming possesses several advantages in solving water resource problems, especially for thse involving he snalysis of mukistage processes, TABLE 4140) DP computations for stage 4 of Example 4.13, (e) Stage Sun « at Mima | nen |p | sree Son | en | see sda | «aS | ote |e fd | sm fate |) < [=] Be | fb | 6 2] 3 | a | 30 | atm | =o | = | fe f S| of bff [fom | | 38 | wey | | foe | | 8 a |S is | Se | iS | Soe | amo | Soe | |SErr aduexg yo pode 20) oRMIR OD AC, oer sey uree T aut =|" Ey aNhweNG 30 1 aes 29) uoREIRwOD aa mere sriavs, uu120 sonceveeur nears mo Mansons FIGURE 14 ithas two disadvarages, that is, the computer memory and time requirements. These disadvantages could become especially severe under two sittions: (I) when the umber of sate varies is large: and (2) when the dynamic programming is applied ina discrete fashion to » continuous sate space. The problem associated withthe later ease is that there exist difficulties in obtaining the tue optimal solution without 2 considerable increase in diserization of state space. With the advancement in ‘computer technology those disadvantages are becoming less and less severe ‘An increase inthe numberof discretizations andlor sate variables would ge- ‘metrically increase the number of evaluations of the recursive formula and core ‘memory requirement per stage. This problem of rapid growth of computer time and core-memony requirement assocated with mukiple state variable dynamic program: ‘ming problems is refered to as curse of dimensionality. From the problem-solving ‘viewpoint, the problem of increased computer time is of much less concern than that of the increased computer storage requirement. An increase in required computer ‘core memory might result in exceeding the available storage capacity ofa particular computer facility in use and the prob cannot be solved On the cher hand, an Increase in computer time requires one 9 be moe patent fr the final result, There fore, the rapid growth in memory requirements associated with multpl-sate variable problems can make the difference berween solvable and unsolvable problems, 42 DISCRETE DIFFERENTIAL DYNAMIC = DD DP PROGRAMMING Discrete diferent ésmanic programming (DODP) isan iterate DP. procedure hich is Specialy designed to overcome some of the fale of the DP approachpreviously mentioned. DDDP uses the same recursive equation as DP » seach among the discrete sts inthe stage state domain. Instead of searching over the entire stage state domain forthe optim, isthe case for DP, DDDP examiss only a portion Of the sage-tate domain saving computer time and memory (Chow etal, 1915). This optimization procedure is solved through iterations of tal sates and decisions to seach fr the optimum fora system subject to the constraint that the tl tates and decisions shouldbe within the respective admissible domain, that i, fssble in the sate and decison spaces. Tn DDDP, the first sep i 1 assume a tral sequence of admissible decisions called the trial policy and the sate vectors ofeach stage ae computed accordingly This sequence of states within the admissible state domain fer diferent stages is ealed the trial trajectory. An altemative tothe above procedue is frst t assume a ial trajectory and then wie it to compute the tal policy. Several states, located in the reighbornood ofa trial ajetory, can be introduced Io form a hand called a coridor around the trail wajectory (See Fig. 42.1). It is a eammon practice to discretize the state space into uniform increments, called the stage Increments, where the total numberof disretieations, refered to as grid points or lttice points, fr each state ‘arable is the same. The decisions therefore, have to be made with respect 1 the method of dscretiging the sate variables. The imerval of the decison variable is Aependent onthe coresponding interval of the tae variable The taditonal dynamic programming approach is aplied in a DDDP problem to the sates within the cordor using the recursive relationship for an improved teaectory defining 4 new policy or set of decisions within the introduced comior. ‘The improved tril trajectory #8 then adopted af the new trajectory to form a new comridor, This process of corridor formation, optimization with respect to the states ‘within the comidor and trace-back to oblan an improved trajectory for the etre sytem sealed an iteration. sage singe? sages riguRe a2 Firman of corer sent ejay fr a theese olen,122 cereus oneanne wo weenie ‘The new trajectory defining the system through optimization ofthe trial conden is subsequently adopted asthe new trial trejecory i establish the improved caridor for the nex ieration. This procedure is repeated beyond some iteration k which redes a comridor providing a system ret Je such that further trations with this ‘ze of comidor will produce a diffrence in system return, J, ~ fey less than & specified tolerance. At this point in the optimization procedure, the siz ofthe state Increment can be reduced to set up & new comdor in which the sates or latice pints are closer together. smaller coridor is formed around the improved wajctory fom the list iteration completed. The iterations continue redicing the size of the sate increment through the system accordingly util specified minimum coridr size i reached ‘The criterion used to determine when the sate increment size should be reduced is based onthe relative change ofthe opimal objective function vale ofthe previous iteration, that i, Ma fial/fina Se aan where ¢ isthe specified tolerance evel. Fig. 42.2 isa flow char showing the general algorithm of the DDDP procedure. Altiough the use of DDDP pally circumvents the problen associated with the curse of dimensionality of regular DP, it inoduces other considerations involved ‘ith choosing the intial wajectory, changing the late pont o tate spacing, and cone ‘verging to a local optimum instead of a global optimum. The major fcirs affecting the performance of DDDP include: 1 the number of latice points 2 the initial state increment along with the numberof atice points which determine corridor wiaths: ‘3. the intial il trajectory use to establish the location of the coridors within the ‘Sate space forthe fs eration; sn 44. de reduction rte ofthe sate increment sie which determines the corridor width for various iterations. ‘These factors are somewhat dependent upon one another for expedient snd efficient use of DDDP for water resources problems. The choice of the initial tral "jeetony and the inl corridor width are imerdependent. For example, if a small ‘omidor width is chosen in conjunction with an initial til tajectory, which is fa from "he optimal region, unnecessary iterations ae required to move the trajectory into the ‘optimal or near optimal region. Is possible under some circumstances fer DDDP to converge toa solution whichis far from the optimal. The numberof late points and the initial state increment together determine the inital corr wicth. Using a combination of a small number of late points and a small inl stale increment ould also result in local optimal solution fr from the optimal ‘The effect of choosing a poor inal uajectory can be reduced if a large number ofanice pints andor large initial sss ineements ae sed. In essence the beter thet LL Gein he bien ig ee t t Compe he dete eon aes Somes nee ett simon sce we pine jaa te eeeuaet ns inal waectory the smaller the numberof latice points and initial state increments, for simply, the smaller the iil cordor width that cia be used. Very small state Increments with more latice points can so be used to establish 2 small coridor ‘width, This can result im improved convergence: however. increasing the number of Iatice points increases the computation tine and storage requirement. Computation time canbe improved by increasing the reduction rate of the state increment at each iteration; however, 100 large a reduction rate of the state Increment may miss the124 yornyer aneaine wo susaconenr ‘optimal region thus not providing the optimal solution. Choosing a large intial sae increment and a large reductior rate ofthe sate-increment size may be advantageous. However, when the initial size increment is too large, resulting in large comidor widths, unnecessary Computations ate performed in regions of the state space fat NUP 43 MATRIX ALGEBRA FOR NONLINEAR Sotiris ‘To explain the concepts of nonlinear programming, various techniques of matrix a gsbra and numerical linear algebra are used. A brief introduction 10 some of the Concepts i provided inthis section. ‘A line is 4 set of points wax? 5d aan in which x” 9 fined point onthe line, 9 a scalar step size, and is the dretion (ofthe line. Figure 4.3] show a line in two dimensions where x° isthe point (11) ‘and isthe direction vector @.1)" indicated by the arow in which supersript 7 "epesenis the transpose of a vecor or matrix ‘A ntion of many varibes f() at point x is sso an important concept. For function that is continuous and continuously differetiable, there is a vector of fist partial derivatives called the gradient or gradient veetor On) (of ar SY Bx) * (Bar ds" Bae whee © I the vector of gradient operators 0/35. 2i6naI° Geometrically, the gFaUER vector ata given point represent the dretion along whic the mans rate of increase in funtion vale would oecut. For (3) twice continuously diferen Uible there exists a mattx of second paral derivatives called the Hessian mateix ot Hessian, vs) 432) Lex oba Define 40oman no vocamariachnecameamucaransrvoncerems 125 can ef) By Bede, ey aoe asa) er Be,0e oe ‘The Hessian is a square and symmetric mats A esampe 431, Coie own ute fon Cs mei, isa and the Hessian by Eq (43.3) ‘Heo = vf00 At poi x= (1 te gdm is onine[f wile he Hsin iain sin pots “ 2 ao ‘Comours of quadratic fanetion “10 “a pay a deat : Example 43.1 (Er126 syomoryrmie anesnne aeo mance ‘The concepts of convexity and concavity are used to establish whether & local ‘optimum, local minimum, or local maximum, is also she global optimum. which is the best among all solutions. In the univariate ease a function f(z) is said to be convex over a region if for every zy and 2p, 26 #5 he following holds {br4+(1— Or) 0 forall x0 Negative definite Va <0 Gorallxvo Indefinite H: He < 0 forsome x >0 foroterx » (Positive semidefinive H: \ ‘Negative semidefnite H: Sit eae WeDo forally PHS 0 forallrac Ao LAR GRAN We AMACATONE ToHROEYSTANS 127 , a a To) Frstderivanects Td Fintkevnie ota * Eoaor eC fee £50 “ 4 The basic rules for convexity and coneavity ofa mulivariate function fx) with continuous second pail derivatives ae: 1. 10) is concave, Ht) is negative semideinite 2) is sity concave, Hx) is negative definite;128 prosonere rem se aNNCENO 3. fix is convex, H(x) is positive semiefinite: and 4, fix) is srcly convex, HUx) is positive definite ‘To test he status of H(x) for strict convexity, 1wo tests are avaiable (Edgar and Himmelblas, 1988) The first i that all diagonal elements of H(x) must be postive td he determinants ofall leading principal minors, det {24,(H)), and also of H(x). {et (H) are postive (> 0) (see Problem 4.3.2). Another tet th all eigenvaes of Hox) are postive (> 0) (see Problem 4.3.2) For sit concavity al diagonal elements rst be negative and det Hand det (240) > Of is even @=2,4,6,...) det (GH) and det (.4G(H)) < Dif is odd (6 = 1,3,5,.-). The si inequalities > or < in these tests are replaced by 2 oF S, respectively, to test for conveaity and concavity. Convex regions or set are vsed to classify constrains. A convex region exists if for any two poins inthe region, x5 4 Xp. all points 1 = OX + (1 ~ Bx, where 0. 8 < 1, aw on the line connecting X.adXy ae in the set, Fig. 43.4 illustrates convex and nonconvex regions ‘The convexity of a feasible region and the objective function in nonlinear op ‘mization hasan extremely smpomantimplicton with regard 1 the type of optimal solton to be obuaned. For linea programming problems (in Chapter 3) the ob {jective function and feasible region Boum are convex therefore the optimal solution is 4 global one, On the other hand, the convexity of both the objective fonction and feasible region in 4 nonlinear programming problem cannot be ensued, the optimal solution achieved, therefore, cannot be guarazteed to be glob. \/ Example 432. Chasity the folowing fonction fa) =ta} Aaya v4 Solution, Deere the Hessian ey _#t ( oer ja 2)imac Mo nonunena Moca TH AACN Neste 129 deami=8 70 ses 219)8)--4K-8) 958 D0 “The Hessian pstive definite because both agonal cements ae psn and bth ‘suing pried minors pose berefore (a) say somes, V example 433, Classify the region defined by the following set of censtrsians aions3 Solution. Figue 435 shows plo ofthe wo Fanctions, gun=-stean-220 gener 320 “The solution must dese he convexity of het fnciony age Hessians) ma wore [8] a note (3 Bath on) and gts) ae concave resigns convex eon, comer ion a4 toa igURE 4s Ecal face gin,130 ronan ENcneE 0 Ata 44 UNCONSTRAINED NONLINEAR OPTIMIZATION “Tis section describes the basic concep of unconstrained nonlinear optimization including the necessary and sufficient conditions ofa focal optimum. Further, un- Constained optimization techniques for univariate and mulivariate problems ae de feribed. Understanding unconstrained optimization yrocedures is imponant because these techniques are the fundamental building blocks in many of the constrained non- linear optimization algorithms 4A1 Basic Concepts ‘The problem of unconstrained minimization ean be stated as Minimize f(x) aay xer in which x isa vector of m decision variables x = (2),23.---9)* defined over the entre Euclidean space ". Since the ‘easibe region i infinitely extended witout ‘bound, the optimization problem doesnot contain any constrains ‘Assume that f(X) is 2 nonlinew function and twice differeaable: it could be ‘convex, concave, of a mixture of the two over E™. Inthe one-dimensional case, the ‘objective function f(x) could behwve as shown in Fig. 4a consisting of peaks, ‘alles, and infection poins. The necessary conditions fora solution to Eq, (84.1) atx" are: (1) Uf(8") = 0, and 2) V2") = Hex") is semi positive definite. The Suliient conditions for an urconsraiped minimum wre: (1) Va") = 0, and 2) V2 fox") = Ha") is sry postive definite Tn theory, the solution zo Eq. (44.1) can be obtained by solving the folowing system of m nolinear equations with n unknowns, vy =0 442) “The approach has been iewed as indirect inthe sense that it backs away from the cginalprobiem of miszing f(a). Furthermore, an iterative numerical procedure i required to salve the sytem of nonlinear equations which tends to be computationally ineticient, By contrast, the preference is given 1 those solution procedures which directly attack the problem of minimizing f(x). iret solution methods, during the course of iteration, generate a sequence of solution points in E™ that terminate or converge 10 ‘solution fo Bq (44.1). Such methods can be characterized as search procedures. In genera all search algorithms for unconstrained minimization consist of to basic steps. The fist step is 10 determine the search direction slong which the ‘objective furction value decreases, The second step is called a line search (or one dimensions! search) to obtain the optimum solution pont along the search direction Matherateally minimization forthe line search can be sated as Min fa? +) (443)rsa aso vonen onsen MT GCM To onanoaTN LS fa Woy imo function ! "pe foie ean fine in which x isthe Curent solution point, dis the vector indieatng the search direction, and 5 isa sealar, 90 << oo, epesening the step size whose optimal value is to be detemmined. There are many search algritims whose differences primarily lie inthe way the search tection d is determined, Due tothe very nature of search algorithms, it is lkely that diferent staring solutions might converge to different loeal minima. Hence, tere is a0. guarantee Of finding the global minimum by any search technique applied to solve Eq (4.4.1) ‘unless the objestive function isa conver function over E "Tn implementing search techniques, speciation of convergence extra or stop= ping rules tan important element that affects the performance ofthe algorithm and the accuracy of the solution. Several commonly used stopping rues in an optimum seeking algorithm are Mi flaky ad! zh and WA 0 bt If fef)= sla) af =a and 6 Step 4 Ifthe convergence esteria are not satsfed (& = + 1) and retum to Step 1, After irations, the subiterval has length (OF = a) = (0.618)46° ~ op. or att! = xf and OM! a St camp 4, Demet sim of he tg 2) = 2? ~6= sing he aden eso med wih vcuvegeee ete of Fa <1 Sotaton, The second derives bx rts the fnctionisconexfor= > 0, Folowing the ove algortm sep Selec =0 and BP = eran =o: Step 1 038218 — 0) = 1.528 06186 ~0)=2472134 pooner menue to ance Step 2 Sealy = 3567-9168 » 501 fea) = 18.106 ~ 14882 29.294 step 3 Seal) < fad), therefore aed b= 28) step 4 Convergence! 9! =2472> 01 ertion = Step s]=0+0380¢472 ~ 0)= 0944 she0+ 06182472 - 0)= 1528 Step 2 fee} 0881 ~ S668 Fer}) = 3.68 ~ 9166 = 5.600 step Slel) > fea), therefore? 844 and sp 4 Convergence =? = 2472 ~ 0.944 = 1528 > 0.1 eration & = 2 Step 1 F-09440 38001598) «1527 He 09se +0618(1 528) = 1.888 Step? fish) = 3561 —9.62= S401 fel) = 6730~ 11.508 4598 step 3 S028) < 12), terelore a =o? = 0.944 and t= d= 1.88 Step 4 Convergence #2! = 0.964 > 01onic ne sountaricnaianc ummmcmene ro ManasETES 135 Several mor iterations woud be reuited o obtain tbe etal sluion. Obviously for ‘his simple robe the minimam ean be determined moc more spy by sting the fie erative eal 6 2er0 ad saving vyta3z 6 restog in eavietats “Te above simple ample is wid wo ilstate te convergence of tbe golen section ead, 443° Multivariable Methods LUnconstained optimization problems can be stated ina general form as 2.) ass) For maximization the problem is to minimize (x). The solution ofthese types of problems ean be stated in an algorithm involving the fllowing basic steps o phases ‘Step O Select an initial stating point x™° = (28.28, .. 2), ‘Step 1 Determine a search direction. ‘Step 2 Find a new point x71 = x4 +384 where OY is the step size, a scalar, which minimizes fix + 32), Step 3 Check the convergence criteria such a8 Eqs. (4. 4a-e) for termination. not satsed, set k= + Land rerum io Step 1 ‘The various unconstrained mukivarate methods differ in the way the search rections are determined. The recurve line search for an unconstrained minimization problem is expressed in Step 2 a5 xtaxte gid a6) ‘Table 4.1 lists the equations for determining the search direction for Four basic soups of methods descent methods, conjugate direction methods, quai-Nevson methods and Newton's method. The simplest are the stepest descent methods while the Newon methods are whe most computationally intensive. In the steepest descent method the search digection is —V (x). Since Vl) pins to the direction ofthe maximum rate of increase in objective Function valve, therefore, a negative sigs is associated with the gradient vector in Eq. (4.46) because the problem isa minimization ype. The recursive line search equation forthe steepest descent method is reduced to attest stot) aan Using Newton's method, the recursive equation for Hine search is atten! ah oye) Gas) [Although Newton's method converges faster than most other algorithms, the major136 ronan mente ss ance ‘Computation of search directions” Sere decion Dilan Trae ‘Seen Deco Caer ahha eared “ | gatnsat, STATI etn vy tyet et yates ee Tyan sar) ve ea eBay Sr agesere aspen Pte (Gibran Reha Powel DFP metod(anate metic method eechiyatt eet SHH _ GtvtGt AT an <8 sore “aaran (2) Bryden Pca Glin Sans (FOS) mati ohioyah oh age, (Haurant) stant ViRUTGE aastves a semen) set ee he yoaros Cee) isudvantage is that t requires inverting the Heesian matrix in each tration which i 2 computationally cumbersome tsk ‘The conjugate direction methods and quasi-Newton methods are interme dite berween the strepest descent and Newton's method. The conjugate direction methods are motivated by the need to accelerate the typically slow convergence of the steepest descent method. Conjugate direction methods, as can be seen in Ta: le 44.1, define the search direction by uiling the gradient vector of the objeive funeiton ofthe curtent iteration and the information on the gradient and search dreesau A nenuneak Mocana AT APCATONS TO HOoRCeSTENS 137 tion of the previous iteration. The metiation af quasi-Newon methods is to aid inverting the Hessian matrix as required 3y Newton's method. These methods use Approximations to the inverse Hessian with a cfferent form of approximation for the afferent quasi-Newion methods. Deuiled descriptions and theoretical develop ‘meat can be found in textbooks such as Fletcher (1980), Gill. Murray. and Wright (1981), Denis and Schnable (1983), Luesberger (1984), and Edgar and Himmelbiau (1985), S can SS pa Soo tsfoa considered in Example 4.1, Use (2.23) = (01) the sarting Slton point Solution. From Exarpi 43.1, the gadent ofthe above bjs anton i vrs (222) Foren 0( 0+ (20%29) =<, #=-veane(-§) “The line sear i then | wat oat (1) 20(9) 25%) a 9) «4 = 65) (= 20 99K0) 24637-20641 “The optimal step size Jean be cbuitel bythe golden secon meth ot by sling 49/43 =0 beens J) scones, $f > 0. For simplicity. te te sued. #2025 ‘Trerefor, sn onan be deine at = (#929) <2) For jortog ket: (ola) =1025 0 a= -7710235,=