Chapter 11

Integer
Programming,
Goal
Programming,
and
Nonlinear
Programming
Prepared by Lee Revere and John Large

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11-1

2006 by
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Learning Objectives
Students will be able to:
1. Understand the difference between
LP and integer programming.
2. Understand and solve the three
types of integer programming
problems.
3. Apply the branch and bound method
to solve integer programming
problems.
4. Solve goal programming problems
graphically and using a modified
simplex technique.
5. Formulate nonlinear programming
problems and solve using Excel.
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Chapter Outline
11.1 Introduction
11.2 Integer Programming
11.3 Modeling with 0-1 (Binary)
Variables
11.4 Goal Programming
11.5 Nonlinear Programming

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Introduction
Integer programming is the extension of
LP that solves problems requiring
integer solutions.
Goal programming is the extension of
LP that permits more than one objective
to be stated.
Nonlinear programming is the case in
which objectives or constraints are
nonlinear.
All three above mathematical
programming models are used when
some of the basic assumptions of LP are
made more or less restrictive.

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Summary: Linear
Programming Extensions
Integer Programming
Linear, integer solutions
Goal Programming
Linear, multiple objectives
Nonlinear Programming
Nonlinear objective and/or
constraints

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Integer Programming
Solution values must be whole

numbers in integer programming .

There are three types of integer
programs:
pure integer programming;
mixed-integer programming; and
01 integer programming.

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Integer Programming
(continued)

1. The Pure Integer Programming

problems are cases in which all
variables are required to have integer
values.
2. The Mixed-Integer Programming
problems are cases in which some,
but not all, of the decision variables
are required to have integer values.
3. The ZeroOne Integer Programming
problems are special cases in which
all the decision variables must have
integer solution values of 0 or 1.
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Integer Programming
Example:
Harrison Electric Company
The Company produces two products
popular with home renovators: oldfashioned chandeliers and ceiling fans.
Both the chandeliers and fans require a twostep production process involving wiring
and assembly.
It takes about 2 hours to wire each
chandelier and 3 hours to wire a ceiling fan.
Final assembly of the chandeliers and fans
requires 6 and 5 hours, respectively.
The production capability is such that only
12 hours of wiring time and 30 hours of
assembly time are available.

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Integer Programming:
Example (continued)
If each chandelier produced nets the firm
$7 and each fan $6, Harrisons production
mix decision can be formulated using LP as
follows:
maximize profit = $7X1 + $6X2
subject to:

2X1 + 3X2 12 (wiring hours)

6X1 + 5X2 30 (assembly hours)
X1, X2 0 (nonnegative)
X1 = number of chandeliers produced
X2 = number of ceiling fans produced

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Integer Programming:
Example (continued)
With only two variables and two constraints,
the graphical LP approach to generate the
optimal solution is given below:

6X1 + 5X2 30
+ = Possible Integer Solution
Optimal LP Solution
(X1 = 33/4, X2 = 11/2,
Profit = $35.25
2X1 + 3X2 12

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Integer Solution to
Harrison Electric Co.

Optimal
solution

Solution if
rounding
off

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Integer Solution to
Harrison Electric Co.

(continued)
Rounding off is one way to reach
integer solution values, but it often
does not yield the best solution.
An important concept to
understand is that an integer
programming solution can never
be better than the solution to the
same LP problem.
The integer problem is usually
worse in terms of higher cost or
lower profit.

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Branch and Bound

Method
Branch and Bound break the feasible

solution region into sub-problems

until an optimal solution is found.
There are Six Steps in Solving Integer
Programming Maximization
Problems by Branch and Bound.
The steps are given over the next
several slides.

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Branch and Bound

Method: The Six Steps
1. Solve the original problem using LP.
If the answer satisfies the integer
constraints, it is done.
If not, this value provides an initial
upper bound.

2. Find any feasible solution that meets

the integer constraints for use as a
lower bound.
Usually, rounding down each
variable will accomplish this.

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Branch and Bound

Method Steps: (continued)
3. Branch on one variable from Step 1 that
does not have an integer value.

Split the problem into two sub-problems

based on integer values that are
immediately above and below the noninteger value.
For example, if X2 = 3.75 was in the
final LP solution, introduce the
constraint X2 4 in the first sub-problem
and X2 3 in the second sub-problem.

4. Create nodes at the top of these new

branches by solving the new problems.

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Branch and Bound

Method Steps: (continued)
5.
a) If a branch yields a solution to the LP
problem that is not feasible, terminate
the branch.
b) If a branch yields a solution to the LP
problem that is feasible, but not an
integer solution, go to step 6.

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Branch and Bound

Method Steps: (continued)
5. (continued)
c) If the branch yields a feasible integer
solution, examine the value of the
objective function.
If this value equals the upper bound, an
optimal solution has been reached.
If it is not equal to the upper bound,
but exceeds the lower bound, set it as
the new lower bound and go to step 6.
Finally, if it is less than the lower
bound, terminate this branch.

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Branch and Bound

Method Steps: (continued)
6. Examine both branches again and set the
upper bound equal to the maximum value
of the objective function at all final nodes.

If the upper bound equals the lower bound,

stop.
If not, go back to step 3.

Minimization problems involve reversing

the roles of the upper and lower bounds.

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Harrison Electric Co:

Revisited
Figure 11.1 shows graphically that the
optimal, non-integer solution is
X1 = 3.75 chandeliers
X2 = 1.5 ceiling fans
profit = $35.25
Since X1 and X2 are not integers, this
solution is not valid.
The profit value of $35.25 will serve as
an initial upper bound.
Note that rounding down gives X1 = 3,
X2 = 1, profit = $27, which is feasible
and can be used as a lower bound.

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Integer Solution:
Creating Sub-problems

The problem is now divided into two

sub-problems: A and B.
Consider branching on either variable
that does not have an integer solution;
pick X1 this time.
Subproblem A
maximize profit = $7X1 + $6X2
Subject to:
2X1 + 3X2 12
6X1 + 5X2 30
X1
4
Subproblem B
maximize profit = $7X1 + $6X2
Subject to:
2X1 + 3X2 12
6X1 + 5X2 30
X1
3
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Optimal Solution for

Sub-problems
Optimal solutions are:
Sub-problem A: X1 = 4; X2 = 1.2,
profit=$35.20
Sub-problem B: X1=3, X2=2,
profit=$33.00
(see figure on next slide)
Stop searching on the Subproblem B
branch because it has an all-integer feasible
solution.
The $33 profit becomes the lower bound.

Subproblem As branch is searched further

since it has a non-integer solution.
The second upper bound becomes $35.20,
replacing $35.25 from the first node.
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Optimal Solution for

Sub-problem

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Sub-problems C and D
Subproblem As branching yields
Subproblems C and D.
Subproblem C
maximize profit = $7X1 + $6X2
Subject to:
2X1 + 3X2 12
6X1 + 5X2 30
X1
4
X2 2
Subproblem D
maximize profit = $7X1 + $6X2
Subject to:
2X1 + 3X2 12
6X1 + 5X2 30
X1
4
X2 1
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Sub-problems C and D
(continued)

Subproblem C has no feasible solution

at all because the first two constraints
are violated if the X1 4 and X2 2
constraints are observed.
Terminate this branch and do not
consider its solution.
Subproblem Ds optimal solution is
X1 = 4 , X2 = 1, profit = $35.16.
This non-integer solution yields a
new upper bound of $35.16,
replacing the original $35.20.
Subproblems C and D, as well as the
final branches for the problem, are
shown in the figure on the next slide.
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Harrison Electrics Full

Branch and Bound
Solution

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Subproblems E and F
Finally, create subproblems E and F and
solve for X1 and X2 with the added
constraints X1 4 and X1 5. The
subproblems and their solutions are:

Subproblem E
maximize profit = $7X1 + $6X2
Subject to:
2X1 + 3X2 12
6X1 + 5X2 30
X1
4
X1
4
X2 1
Optimal solution for E:
X1 = 4, X2 = 1, profit = $34
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Subproblems E and F
(continued)

Subproblem F
maximize profit = $7X1 + $6X2
Subject to:
2X1 + 3X2 12
6X1 + 5X2 30
X1
4
X1
5
X2 1
Optimal solution for F:
X1 = 5, X2 = 0, profit = $35

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Using Software to Solve

Harrison Electric Co.
Problem
POM-QM for Windows Analysis of
Harrison Electrics Problem Using
Integer programming: Input Screen.

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Using Software to Solve

Harrison Electric Co.
Problem (continued)
Output Screen Using POM-QM for
Windows on Harrison Electrics
Integer Programming Problem

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Goal Programming
Firms usually have more than one goal. For
example,

maximizing total profit,

maximizing market share,
maintaining full employment,
providing quality ecological management,
minimizing noise level in the
neighborhood, and
meeting numerous other non-economic
goals.

It is not possible for LP to have multiple goals

unless they are all measured in the same units

(such as dollars),

a highly unusual situation.

An important technique that has been developed
to supplement LP is called goal programming.
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Goal Programming
(continued)

Goal programming satisfices,

as opposed to LP, which tries to
optimize.
Satisfice means coming as close as
possible to reaching goals.

The objective function is the main

difference between goal programming
and LP.
In goal programming, the purpose is
to minimize deviational variables,
which are the only terms in the objective
function.

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11-31

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Example of Goal
Programming
Harrison Electric Revisited
Goals Harrisons management wants to
achieve, each equal in priority:
Goal 1: to produce as much profit
above $30 as possible during the
production period.
Goal 2: to fully utilize the available
wiring department hours.
Goal 3: to avoid overtime in the
assembly department.
Goal 4: to meet a contract requirement
to produce at least seven ceiling fans.

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Example of Goal
Programming
Harrison Electric Revisited
Need a clear definition of deviational
variables, such as :
d1 = underachievement of the profit target
d1+ = overachievement of the profit target
d2 = idle time in the wiring dept. (underused)
d2+ = overtime in the wiring dept. (overused)
d3 = idle time in the assembly dept. (underused)
d3+ = overtime in the wiring dept. (overused)
d4 = underachievement of the ceiling fan goal
d4+ = overachievement of the ceiling fan goal

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Ranking Goals with

Priority Levels
A
Akey
key idea
idea in
in goal
goal programming
programming isis
that
that one
one goal
goal isis more
more important
important than
than
another.
another.Priorities
Priorities are
are assigned
assigned to
to
each
each deviational
deviational variable.
variable.

Priority
Priority11isisinfinitely
infinitelymore
moreimportant
importantthan
than
Priority
Priority2,2,which
whichisisinfinitely
infinitelymore
moreimportant
important
than
thanthe
thenext
nextgoal,
goal,and
andso
soon.
on.

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Analysis of First Goal

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Analysis of First and

Second Goals

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Analysis of All Four

Priority Goals

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Goal Programming Versus

Linear Programming
Multiple goals (instead of one goal)
Deviational variables minimized
(instead of maximizing profit or
minimizing cost of LP)

Satisficing (instead of optimizing)

Deviational variables are real (and
replace slack variables)

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Initial Goal
Programming Tableau
Cj

0 P1 P2 0 P4 0

0 P3 0

Pivot Column

Solution
x1 x2 d1- d2- d3- d4- d1+ d2+ d3+ d4+
Quantity
Mix
P1

d1-

0 -1 0

30

P2

d2-

0 -1 0

12

d3-

0 -1 0

30

P4

d4-

0 -1

Zj
0 1 0
{
P4
Cj - Zj 0 -1 0

0 -1

0 -1

0
{ Zj
P3
Cj - Z j 0
Zj
2
{
P2
Cj - Zj -2

0
3

0 0
0 1

0
0

0
0

0 0 1
0 -1 0

0
0

0 -1 0

-3 0

7 6
{ Zj
P1
Cj - Zj -7 -6

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1
2

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Second Goal
Programming Tableau
Cj

0 P1 P2 0 P4 0

0 P3 0

Pivot Column

Solution x x d - d - d - d - d + d + d + d +
1
2
1
2
3
4
1
2
3
4
Quantity
Mix
P1

x1

1 6/7 1/7 0

0 -1/7 0

30/7

P2

d2-

0 9/7 -2/7 1

0 +2/7 -1 0

24/7

d3-

0 -1/7 -6/7 0

0 6/7 0 -1 0

30/7

P4

d4-

0 -1

Zj
0 1 0
{
P4
Cj - Zj 0 -1 0

0 -1

0 +1

0
{ Zj
P3
Cj - Zj 0

0 0

Z
0 9/7 -2/7 1
P2 { j
Cj - Zj 0 -9/7 +2/7 0

0 2/7 -1 0

0 24/7

0 -2/7 +1 0

0
{ Zj
P1
Cj - Zj 0

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Final Solution to Harrison

Electrics Goal Programming
Cj

0 P1 P2 0 P4 0

0 P3 0

Solution x x d - d - d - d - d + d + d + d +
1
2
1
2
3
4
1
2
3
4
Quantity
Mix
P1

d2+

8/5 0

0 -1 3/5 0

1 -3/5 0

P2

x2

6/5 1

0 1/5 0

0 -1/5 0

d1+

1/5 0 -1 0 6/5 0

0 -6/5 0

P4

d4+

-6/5 0

0 -1/5 1

0 1/5 -1

Zj
-6/5 0
{
P4
Cj - Zj 6/5 0

0 -1/5 1

0 1/5 -1

0 1/5 0

0 -1/5 -1

0 0

0
{ Zj
P3
Cj - Z j 0
Zj
0
{
P2
Cj - Zj 0

0 0

0
{ Zj
P1
Cj - Z j 0

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0
0

2006 by
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Harrison Electrics Goal

Programming Using POMQM for Windows

Final
FinalTableau
Tableau for
forHarrison
Harrison Electric
Electric
Using
Using POM-QM
POM-QM for
forWindows.
Windows.

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Harrison Electrics Goal

Programming Using POMQM for Windows
Summary
Summary Solution
Solution Screen
Screen for
forHarrison
Harrison
Electrics
ElectricsGoal
Goal Programming
Programming Problem
Problem
Using
Using POM-QM
POM-QM for
forWindows.
Windows.

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Nonlinear
Programming
Nonlinear objective function, linear
constraints
Nonlinear objective function and
nonlinear constraints
Linear objective function and
nonlinear constraints

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Nonlinear
Programming
Nonlinear objective function,
linear constraints
Max:
Subject to:

28X1 + 21X2 + 0.25X22

X1 + X2 1000
0.5X1 + 0.4X2 500

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Nonlinear
Programming
An
AnExcel
ExcelFormulation
Formulationof
ofGreat
GreatWestern
Western
Appliances
AppliancesNonlinear
NonlinearProgramming
ProgrammingProblem.
Problem.

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Nonlinear
Programming
Nonlinear objective function and
nonlinear constraints.
Max:
Subject to:

13X1 + 6X1X2 + 5X2 + X21

2X12+ 4X22 90
X1 + X23 75
8X1 2X2 61

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Nonlinear
Programming
The
TheProblem
Problemhas
hasboth
bothNonlinear
NonlinearObjective
Objective
Function
Functionand
andNonlinear
NonlinearConstraints.
Constraints.
The
Thesolution
solutionto
toGreat
GreatWestern
WesternAppliances
Appliances
NLP
NLPProblem
Problemusing
usingExcel
ExcelSolver:
Solver:

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Nonlinear
Programming
The
Theproblem
problemhas
hasboth
bothNonlinear
NonlinearObjective
Objective
Function
Functionand
andNonlinear
NonlinearConstraints.
Constraints.
An
AnExcel
ExcelFormulation
Formulationof
ofHospicare
HospicareCorp.s
Corp.s
NLP
NLPProblem:
Problem:

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Nonlinear
Programming
The
Theproblem
problemhas
hasboth
bothNonlinear
NonlinearObjective
Objective
Function
Functionand
andNonlinear
NonlinearConstraints.
Constraints.
Excel
ExcelSolution
Solutionto
tothe
theHospicare
HospicareCorp.s
Corp.s
NLP
NLPProblem
Problemusing
usingSolver:
Solver:

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Nonlinear
Programming
Linear objective function and
nonlinear constraints
Max:
5X1 + 7X2
Subject to:
3X1+ 0.25X12 + 4X2 + 0.3X22 125
13X1 + X13 80
0.7X1 + X2 17

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Nonlinear
Programming
The
Theproblem
problemhas
hasboth
bothLinear
LinearObjective
Objective
Function
Functionwith
withNonlinear
NonlinearConstraints.
Constraints.
Excel
ExcelFormulation
Formulationof
ofThermlocks
ThermlocksNLP
NLP
Problem:
Problem:

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Nonlinear
Programming
The
Theproblem
problemhas
hasboth
bothLinear
LinearObjective
Objective
Function
Functionwith
withNonlinear
NonlinearConstraints.
Constraints.
The
Thesolution
solutionto
toThermlocks
ThermlocksNLP
NLPProblem
Problem
Using
Usingthe
theExcel
ExcelSolver:
Solver:

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Computational Procedures
-Nonlinear Programming
Gradient method (steepest descent)
Separable programming - linear
representation of nonlinear problem
Separable programming deals with a
class of problems in which the objective
and constraints are approximated by
linear functions. In this way, the
powerful simplex algorithm may again
be applied.
In general, work in the area of NLP is
the least charted and most difficult of
all the quantitative analysis models.

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