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Formulating an Optimization Problem 1 the Importance of a Good Formulation Outline Formulating an Optimization Problem 1 The Importance of a Good Formulation Benoˆıt Chachuat <[email protected]> 2 The Standard Formulation McMaster University Department of Chemical Engineering ChE 4G03: Optimization in Chemical Engineering 3 Graphic Solution and Optimization Outcomes Benoˆıt Chachuat (McMaster University) Formulating an Optimization Problem 4G03 1 / 31 Benoˆıt Chachuat (McMaster University) Formulating an Optimization Problem 4G03 2 / 31 The Importance of a Good Formulation Validity vs. Tractability Model-based Optimization 1 The validity of a model is the degree to which inferences drawn from 1 The conclusions are drawn from Procedure: the model hold for the real system the model (mathematical 2 The tractability of a model is the degree to which this model admits program), not from the problem! Problem Modeling Mathematical convenient analysis – How much analysis is practical to solve program 2 An inadequate model typically leads to false conclusions Assessment Analysis Tradeoff: 3 The model must be Decision makers almost always confront a tradeoff between validity of Decisions Solutions computationally tractable: its optimization models and their tractability to analysis Inference analysis must be practical! Very accurate Less accurate over wide range over narrow range Dofasco: of conditions of conditions Longer Shorter “We find it useful to formulate the optimization problem even if we cannot computations computations solve it...” More complex Less complex Benoˆıt Chachuat (McMaster University) Formulating an Optimization Problem 4G03 3 / 31 Benoˆıt Chachuat (McMaster University) Formulating an Optimization Problem 4G03 4 / 31 Optimization Model Formulation Decision Variables, x Standard Model: 1 At the formulation stage, decision variables can be grouped into two categories: Optimization models (also called mathematical programs) represent ◮ Independent variables, whose values can be changed independently to problem choices as decision variables and seek values that maximize (or modify the behavior of the system minimize) objective functions of the decision variables subject to ◮ Dependent variables, whose behavior is determined by the values constraints on variable values expressing the limits on possible decision selected for the independent variables choices Such a grouping helps understanding! 2 At the solution stage, independent and dependent variables need not be distinguished: the solution method just sees an optimization max f (x) ←− Objective function x problem involving many variables s.t. Examples of Decision Variables: h(x)= 0 ←− Equality constraints Design: reactor volume, number of trays, heat exchanger area, etc. g(x) ≤ 0 ←− Inequality constraints Operations: temperature, flow, pressure, valve opening, etc. xmin ≤ x ≤ xmax ←− Variable bounds Management: feed type, purchase price, sales price, etc. Benoˆıt Chachuat (McMaster University) Formulating an Optimization Problem 4G03 5 / 31 Benoˆıt Chachuat (McMaster University) Formulating an Optimization Problem 4G03 6 / 31 Decision Variables, x (cont’d) Decision Variables, x (cont’d) Discrete vs. Continuous Decision Variables: 1 A variable is discrete if it is limited to a fixed or countable set of values (e.g., all-or-nothing, either-or decisions) 2 A variable is continuous if it can take on any value in a specified interval Exercise: Problems with both discrete and continuous variables are called Identify independent and mixed-integer programs dependent variables Heuristics: When there is an option, modeling with continuous variables is preferred to discrete variables (for tractability reasons) Example: Variable magnitudes are likely to be large enough that fractions have no practical importance Benoˆıt Chachuat (McMaster University) Formulating an Optimization Problem 4G03 7 / 31 Benoˆıt Chachuat (McMaster University) Formulating an Optimization Problem 4G03 8 / 31 Decision Variables, x (cont’d) Decision Variables, x (cont’d) Indexing: In real applications, optimization models quickly grow to thousands, Exercise: Decide whether a discrete or a continuous variable would be sometimes millions, of variables: indexed notational schemes are needed to best employed to model each of the following quantities: keep large models manageable! 1 the optimal temperature of a chemical process 1 Indexes (or subscripts) permit representing collections of similar 2 the warehouse slot assigned a particular product quantities with a single symbol, e.g. 3 whether a capital project is selected for investment {xi : i = 1,..., 100} 4 ball bearings in a plant that manufactures 10,000+/day 5 the number of aircraft produced on a defense contract represents 100 similar values with the same x name, distinguishing them with the index i 2 The first step in formulating a large optimization model is to choose appropriate indexes for the different dimensions of the problem; multiple indexes are extremely common! Benoˆıt Chachuat (McMaster University) Formulating an Optimization Problem 4G03 9 / 31 Benoˆıt Chachuat (McMaster University) Formulating an Optimization Problem 4G03 10 / 31 Decision Variables, x (cont’d) Variable Bounds, xmin, xmax Exercise: A large manufacturer of corn seed operates ℓ = 20 facilities producing seeds of m = 25 hybrid corn varieties and distributes them to customers in Variable bounds specify the domain of definition for decision variables: the n = 30 regions. The optimization problem is to carry out these production set of values for which the variables have meaning and distribution operations at minimum cost. 1 Setting the min and max values equal sets the variable to a constant Let the three main dimensions in this problem be denoted as: value: f = production facility number (f = 1,...,ℓ) xmin,i = xmax,i = xi , for some i ∈ {1,..., n} v = hybrid variety number (v = 1,..., m) 2 The most common variable bound constraint is non-negativity, e.g. r = sales region number (r = 1,..., n) xi ≥ 0, ∀i = 1,..., n Questions: 1 Choose appropriate decision variables for a model of this problem (use indexing). 2 What is the total number of decision variables for this model? Benoˆıt Chachuat (McMaster University) Formulating an Optimization Problem 4G03 11 / 31 Benoˆıt Chachuat (McMaster University) Formulating an Optimization Problem 4G03 12 / 31 Variable Bounds, xmin, xmax (cont’d) Main constraints, g(x) ≤ 0, h(x) = 0 Main constraints of optimization models specify the restrictions and interactions, other than variable bounds, that limit decision variable values. Inequality Constraints: g(x) ≤ 0 Exercise: Propose bounds for 1 These are one-way limits on the system and are essential for variables in the process optimization 2 Inequality constraints of the form ≥ 0 and ≤ 0 are equivalent. Do you see why? 3 There can be many of these inequalities, so that g(x) is a vector (indexing is used for constraints too!) 4 We must be careful to prevent defining a problem incorrectly with no feasible region or an unbounded solution Benoˆıt Chachuat (McMaster University) Formulating an Optimization Problem 4G03 13 / 31 Benoˆıt Chachuat (McMaster University) Formulating an Optimization Problem 4G03 14 / 31 Main constraints, g(x) ≤ 0, h(x) = 0 (cont’d) Main constraints, g(x) ≤ 0, h(x) = 0 (cont’d) What limits the possible solutions to the problem? Safety Equality Constraints: Product quality (contracts) Equipment damage (long term) h(x)= 0 Equipment operation 1 These describe interactions between the variables in the model Legal/ethical considerations 2 Equality constraints are written with a zero right-hand side by Examples: convention Max. investment available 3 There can be many of these inequalities, so that h(x) is a vector Max. flow rate due to pump limit (indexing is used for equality constraints too!) 4 Min. liquid flow rate on trays t = 1,..., Nt There cannot be more (independent) equality constraints than decision variables in the model! Do you see why? Max. pressure in a closed vessel Max. region within which an approximation/simplification is acceptable Benoˆıt Chachuat (McMaster University) Formulating an Optimization Problem 4G03 15 / 31 Benoˆıt Chachuat (McMaster University) Formulating an Optimization Problem 4G03 16 / 31 Main constraints, g(x) ≤ 0, h(x) = 0 (cont’d) Objective Function, f (x) Examples of Equality Constraints: material, energy, current, etc. balances, e.g. for conserved quantity q: Objective functions in optimization models tell us how to rate decisions accumulation rate of rate of generate = − + of q q in q out rate of q 1 We need a quantitative measure; a qualitative measure such as “good” or “bad” is not adequate! constitutive relations, e.g. 2 A scalar objective function is preferred for solving, even though Q = hA∆T multiple objectives are typical in real life! E rA = k0 exp(− RT ) 3 There is no fundamentale or practical difference between max and min problems: equilibrium relations, e.g. VLE max f (x) ⇔ min −f (x) x x decisions by the engineer, e.g. FA − 2FB = 0 behavior enforced by controllers, e.g. temperature set-point Ts = 231 K Benoˆıt Chachuat (McMaster University) Formulating an Optimization Problem 4G03 17 / 31 Benoˆıt Chachuat (McMaster University) Formulating an Optimization Problem 4G03 18 / 31 Objective Function, f (x) Case Study: Model Formulation A refinery distills crude petroleum from two sources, Saudi Arabia and Venezuela, How do we define a scalar that represents performance? into three main products: gasoline, jet fuel and lubricants. The two crudes differ in chemical composition and thus yield different product
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