NONLINEAR QUADRATIC PROGRAMMING

Group #3
Marisol Marquez Gomez 20082020053
Deisy Paola Cortes 20081020026
Jayson Hernández 20081020043
Wilson Javier Ortiz Morales 20072020056

Objective: To solve a no linear quadratic programming using the Wolfe Method

Exercise: Find an optimal solution, for the following quadratic nonlinear

programming problem, using the Wolfe method:
2 2
Max 10 X 1 +25 x 2−10 x1− X 2−4 x 1 x 2

S.A: X 1 +2 x 2 ≤ 10

X 1+ x2 ≤ 9

X 1 , X 2 ≥0

Solution:

Firstly we have to add a λ for each f(x,λ , µ)=

constraint and a µ for each 10 X 1 +25 x 2−10 x21− X 22−4 x 1 x 2−λ1 ( x 1 +2 x 2 )−λ 2 ( x 1 + x 2 ) −µ1 (−x
variable. Then propose a function
as
f(x,λ , µ)
Finding partial derivates of f(x,λ , µ) δf
= 10-20 X 1- 4 X 2 - λ 1−λ2 + µ1 =0
and equate them to zero δ x1
δf
= 25-2 X 2- 4 X 1 -2 λ1−λ 2+ µ2
δ x2
The partial derivates become the Min R1 + R2
new constraints for a Dual S.A
simplex. 20 X 1+ 4 X 2+ λ 1+ λ 2−µ1+ R 1=10
And adding some complementary 4 X 1+2 X 2 +2 λ1 + λ2 −µ2 + R 2=25
constraints. X 1 +2 x 2+ S 1=1 0
X 1 + x 2 +S 2=9

Complementary constraints:
X 1 µ 1=0
X 2 µ 2=0
λ 1 S 1=0
λ 2 S2=0
λ 2 , S 2 , X 2 , µ2 , X 1 , µ1 , λ 1 , S1 ≥0
Solve the problem by Dual simplex
 Cj 0 0 0 0 0 0 1 1 0 0
VB X1 X2 λ1 λ2 µ1 µ2 R1 R2 S1 S2 Bj
R1 1 20 4 1 2 -1 0 1 0 0 0 10
R2 1 4 2 2 1 0 -1 0 1 0 0 25
S1 0 1 2 0 0 0 0 0 0 1 0 10
S2 0 1 1 0 0 0 0 0 0 0 1 9
Zj 24 6 3 3 -1 -1 1 1 0 0 35
Cj-Zj -24 -6 -3 -3 1 1 0 0 0 0 -35

first iteration:

Cj 0 0 0 0 0 0 1 1 0 0
VB X1 X2 λ1 λ2 µ1 µ2 R1 R2 S1 S2 Bj
X1 0 1 1/5 1/20 1/10 -1/20 0 1/20 0 0 0 1/2
R2 1 0 6/5 9/5 3/5 1/5 -1 1/5 1 0 0 23
S1 0 0 9/5 -1/20 -1/10 1/20 0 -1/20 0 1 0 19/2
S2 0 0 4/5 -1/20 -1/10 1/20 0 -1/20 0 0 1 17/2
Zj 0 6/5 9/5 3/5 1/5 -1 1/5 1 0 0 23
Cj-Zj 0 -6/5 -9/5 -3/5 -1/5 1 4/5 0 0 0

Although the simplex method chooses λ 1 and λ 2 to go into the base before X2, they are not
feasible because R1 and R2 are positive.

second iteration:

Cj 0 0 0 0 0 0 1 1 0 0
VB X1 X2 λ1 λ2 µ1 µ2 R1 R2 S1 S2 Bj
X2 0 5 1 1/4 1/2 -1/4 0 1/4 0 0 0 5/2
R 1 0 0 3/2 0 1/2 -1 -1/10 1 0 0 20
2
S1 0 0 0 -1/2 -1 1/2 0 -1/2 0 1 0 5
S2 0 0 0 -1/4 -1/2 1/4 0 -1/4 0 0 1 13/2
Zj 0 0 3/2 0 1/2 -1 -1/10 1 0 0 20
Cj-Zj 0 0 -3/2 0 -1/2 1 11/10 0 0 0

On the third iteration λ 1 and λ 2 cant go into the base, R1 and R2 are positive, so we take as
next choose 1
Third Iteration

Cj 0 0 0 0 0 0 1 1 0 0
VB X1 X2 λ1 λ2 µ1 µ2 R1 R2 S1 S2 Bj
X2 0 5 1 0 0 0 0 0 0 1/2 0 5
R2 1 0 0 2 1 0 -1 2/5 1 -1 0 15
µ1 0 0 0 -1 -2 1 0 -1 0 2 0 10
S2 0 0 0 0 0 0 0 0 0 -1/2 1 4
Zj 0 0 2 1 0 -1 2/5 1 -1 0 15
Cj-Zj 0 0 -2 -1 0 1 3/5 0 1 0

Fourth Iteration:

Cj 0 0 0 0 0 0 1 1 0 0
VB X1 X2 λ1 λ2 µ1 µ2 R1 R2 S1 S2 Bj
X2 0 5 1 0 0 0 0 0 0 1/2 0 5
λ1 0 0 0 1 1/2 0 -1/2 1/5 1/2 -1/2 0 15/2
µ1 0 0 0 0 -3/2 1 -1/2 -4/5 1/2 3/2 0 35/2
S2 0 0 0 0 0 0 0 0 0 -1/2 1 4
Zj 0 0 0 0 0 0 0 0 0 0 0
Cj-Zj 0 0 0 0 0 0 0 0 0 0

15 35
W=0, X2=5, λ 1= , µ1= , s2=4
2 2

there is not more iterarions, so, we have the feasible solution:

X1*=0

X2*=5

Z*=100

Conclusions:

-using the Wolfe method to solve the no linear quadratic problem makes simply, just
becoming the objective function and the constraints into a new linear problem and solving
by dual simplex method.

REFERENCES:
http://www.virtual.unal.edu.co/cursos/sedes/manizales/4060015/Lecciones/Capitulo
%20V/pseparable.htm