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Concept
Nonlinear programming
Summary
In mathematics, nonlinear programming (NLP) is the process of solving an optimization problem where some of the constraints or the objective function are nonlinear. An optimization problem is one of calculation of the extrema (maxima, minima or stationary points) of an objective function over a set of unknown real variables and conditional to the satisfaction of a system of equalities and inequalities, collectively termed constraints. It is the sub-field of mathematical optimization that deals with problems that are not linear.
A typical non-convex problem is that of optimizing transportation costs by selection from a set of transportation methods, one or more of which exhibit economies of scale, with various connectivities and capacity constraints. An example would be petroleum product transport given a selection or combination of pipeline, rail tanker, road tanker, river barge, or coastal tankship. Owing to economic batch size the cost functions may have discontinuities in addition to smooth changes.
In experimental science, some simple data analysis (such as fitting a spectrum with a sum of peaks of known location and shape but unknown magnitude) can be done with linear methods, but in general these problems are also nonlinear. Typically, one has a theoretical model of the system under study with variable parameters in it and a model the experiment or experiments, which may also have unknown parameters. One tries to find a best fit numerically. In this case one often wants a measure of the precision of the result, as well as the best fit itself.
Let n, m, and p be positive integers. Let X be a subset of Rn, let f, gi, and hj be real-valued functions on X for each i in {1, ..., m} and each j in {1, ..., p}, with at least one of f, gi, and hj being nonlinear.
A nonlinear minimization problem is an optimization problem of the form
A nonlinear maximization problem is defined in a similar way.
There are several possibilities for the nature of the constraint set, also known as the feasible set or feasible region.
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