Funciones separables

f(xi) = f1(x1) + f2(x2) + f3(x3) + ..... + fN(xN)

x 12 + 2 x 2 + e x 3
x 1 + x 22 + 3 log x 3

Funciones no separables
x2
x3
x1
+ x4 + x4 e
1+ x3

x1 x2 + x3 ln x4

x1 x2

x1 = p + q
x2 = p q
x1 x2 = (p + q) (p q) = p2 q2

x1
d
c

2
1

x2

Vectores mesh
La aproximacin es tanto ms precisa
cuanto ms vectores i se introduzcan
El procedimiento es aplicable slo a
funciones convexas
En la solucin, debe estar activo una sola
variable mesh o a lo sumo dos
adyacentes.

x1
d
c

x1 = a 0 + b 1 + c 2 + d 3

x2 = 0 + o 1 + p 2 + q 3

0 + 1 + 2 + 3 = 1

x2

Ejemplo:

MIN 3x + 4x1 + 15x 2

2
1

x1 +
x2 4
2 x1 + 0.5 x2 5
- 3 x1 + 2.8 x2 2

y = x 12

Ejemplo:

MIN 3x + 4x1 + 15x 2

2
1

x1 +
x2 4
2 x1 + 0.5 x2 5
- 3 x1 + 2.8 x2 2

x1

Vector

2.5

6.25

y = x 12

MIN 3y + 4x1 + 15x 2

x1 +
x2 4
2 x1 + 0.5 x2 5
- 3 x1 + 2.8 x2 2
- x1 + 1+ 2 2+ 2.5 3 = 0
- y + 1+ 4 2+ 6.253 = 0
0 + 1 + 2 + 3 = 1

x1

Vector

2.5

6.25

OBJECTIVE FUNCTION VALUE

Z)
50.82759
VARIABLE
x1
x2
y
1
2
3
0

VALUE
1.586207
2.413793
2.758621
0.413793
0.586207
0.000000
0.000000

Otro ejemplo
Max x 1 x 2
st

x + x2 1
2
1

x1 + x 2 3
x1 + x 2 2
x1 , x 2 0

x1

0.0

0.00

0.2

0. 04 A1

0.4

0. 16 A2

0.6

0.36

A3

0.8

0.64

A4

1.0

1.00

A5

A0

Max x1 x 2
st A + x 2 1
x1 + x 2 3
x1 + x 2 2
x 1 + 0.2A1 + 0.4A 2 + 0.6 A 3 + 0.8A 4 + A 5 = 0
A + 0.04A1 + 0.16A 2 + 0.36A 3 + 0.64A 4 + A 5 = 0
A 0 + A1 + A 2 + A 3 + A 4 + A 5 = 1

2
3
1
Z

3
1

 1 I1 0
2 I2 0
3 I3 0
4 I4 0
I1 + I 3 1
I1 + I 4 1
4

1
2

3
Z

I2 + I 4 1
I1 + I2 + I3 + I4 2

Descuentos por cantidad

c1
10
8
7

200

500

Descuentos por cantidad

c1
A1

A1

10

A2

A2

A3

A3

200

500

Descuentos por cantidad

- X + 0 A1 + 200 A1 + 200 A2 + 500 A2 + 500 A3 + M A3 = 0
A1 + A1 + A2 + A2 + A3 + A3 = 1
Z = ... + 0 A1 + 2000 A1 + 1600 A2 + 4000 A2 + 3500 A3 + 7M A3 ...

c1
A1

A1

10

A2

A2

A3

A3

200

500

MIN

MAX:

Z = 4 x1 + c2 x2

Sujeto a:

siendo:

6 x1 + 16 x2 48000
12 x1 + 6 x2 42000
9 x1 + 9 x2 36000
x1, x2 0

y continuas

c2 = 3 para x 2 500
c2 = 5 para x 2 > 500

6 x1 + 16 x2 48000
12 x1 + 6 x2 42000
9 x1 + 9 x2 36000
-x2 + 0 A1 + 500 A2 + 500 A3 + 3000 A4 = 0
A1 + A2 + A3 + A4 = 1
MAX: Z = 4 x1 + 1500 A2 + 2500 A3 + 15000 A4
c2
A3

A4

5
7

A1

A2

500

3000

x2

OBJECTIVE FUNCTION VALUE

1)
VARIABLE
X1
A2
A3
A4
X2
A1

ROW
2)
3)
4)
5)
6)

18400.00
VALUE
1600.000000
0.000000
0.240000
0.760000
2400.000000
0.000000

REDUCED COST
0.000000
1000.000000
0.000000
0.000000
0.000000
0.000000

SLACK OR SURPLUS
0.000000
8400.000000
0.000000
0.000000
0.000000

DUAL PRICES
0.100000
0.000000
0.377778
-5.000000
0.000000

RECURRENCIA
xA + xB xM = 0
xM + xC xP = 0
qA xA + qB xB qM xM = 0
xA

qM xM + qC xC qP xP 0

qA

M
xB
qB

xM

qM
xC
qC

xP
qP

qA = 3,5
qB = 3
qC = 2
qP = 2,8

xA + xB xM = 0
xM + xC xP = 0
qM xM + qC xC qP xP 0
qA xA + qB xB qM xM = 0

3,5 x A + 3 x B
qM =
xA + xB

xP = 100
xA 40
xB 40
xC 40
Z = 10 X A + 12 xB + 15 xC Min

x A + x B XM = 0
x M + x C XP = 0
3,25 xM + 2 xC 2,8 XP 0
xP = 100
xA 40
xB 40
xC 40
Z = 10 X A + 12 xB + 15 xC Min

qA = 3,5
qB = 3
qC = 2
qP = 2,8
XA
XB
XC
XM
XP
Z

40,00
24,00
36,00
64,00
100,00
1228,00

3,5 x A + 3 x B
qM =
= 3,3125
xA + xB

x A + x B XM = 0
x M + x C XP = 0
3,3125 xM + 2 xC 2,8 XP 0
xP = 100
xA 40
xB 40
xC 40
Z = 10 X A + 12 xB + 15 xC Min

qA = 3,5
qB = 3
qC = 2
qP = 2,8
XA
XB
XC
XM
XP
Z

40,00
20,95
39,04
60,95
100,00
1237,14

3,5 x A + 3 x B
qM =
= 3,3281
x A + xB

x A + x B XM = 0
x M + x C XP = 0
3,3281 xM + 2 xC 2,8 XP 0
xP = 100
xA 40
xB 40
xC 40
Z = 10 X A + 12 xB + 15 xC Min

qA = 3,5
qB = 3
qC = 2
qP = 2,8
XA
XB
XC
XM
XP
Z

40,00
20,24
39,76
60,23
100,00
1239,29

3,5 x A + 3 x B
qM =
= 3,3320
xA + xB

x A + x B XM = 0
x M + x C XP = 0
3,3320 xM + 2 xC 2,8 XP 0
xP = 100
xA 40
xB 40
xC 40
Z = 10 X A + 12 xB + 15 xC Min

qA = 3,5
qB = 3
qC = 2
qP = 2,8
XA
XB
XC
XM
XP
Z

40,00
20,06
39,94
60,06
100,00
1239,82

3,5 x A + 3 x B
qM =
= 3,3330
xA + xB

x A + x B XM = 0
x M + x C XP = 0
3,3330 xM + 2 xC 2,8 XP 0
xP = 100
xA 40
xB 40
xC 40
Z = 10 X A + 12 xB + 15 xC Min

qA = 3,5
qB = 3
qC = 2
qP = 2,8
XA
XB
XC
XM
XP
Z

40,00
20,06
39,94
60,06
100,00
1239,82

3,5 x A + 3 x B
qM =
= 3,3330
xA + xB

85

92

N1

CO

87

N2

CM
EX
N3

98

94

APROXIMACIN SUCESIVA
MAX

1.2 EX + 1 CO - 0.8 N1 - 0.85 N2 - 1.25 N3

2)
3)
4)
5)
6)
7)
8)
9)
10)

N1 5000
N2 3000
N3 2000
CO 2500
CO 3500
EX 4000
N1 + N2 - CM - CO = 0
CM + N3 - EX = 0
85 N1 + 92 N2 Q . CM Q . CO = 0

11)

Q CM + 98 N3 - 94 EX 0

Iteracin

87

990,82

88

1029,76

89

1094,29

90

945,00

88.5

1057,96

89.5

1038,89

88.75

1074,96

89,25

1075,08

88,875

1084,71

10

89,125

1.096,39

11

89,05

1098,46

12

89,09

1101,88

MAX:

Z = 7 x1 + 3 x2

Sujeto a:

6 x1 + 16 x2 48000
12 x1 + 6 x2 42000
0,00225 x12 + 0,002 x22 20250

siendo:

x1, x2 0

y continuas

x2

x4 = 0

x5 = 0
3

x3 = 0

x1

x2

x4 = 0

x5 = 0
3

x1

x2

A1

3181.98

A2

500

3137.48

A3

1000

3000.00

A4

1500

2755.68

A5

2000

2371.71

A6

2500

1758.91

A7

2750

1271.69

A8

3000

x3 = 0

x1

x2

x4 = 0

x5 = 0
3

x1

x2

A1

3181.98

A2

500

3137.48

A3

1000

3000.00

A4

1500

2755.68

A5

2000

2371.71

A6

2500

1758.91

A7

2750

1271.69

A8

3000

x3 = 0

x1

LP OPTIMUM FOUND AT STEP

OBJECTIVE FUNCTION VALUE

1)
VARIABLE
X1
X2
A1
A2
A3
A4
A5
A6
A7
A8

ROW
2)
3)
4)
5)
6)

23065.07
VALUE
2750.000000
1271.689941
0.000000
0.000000
0.000000
0.000000
0.000000
0.000000
1.000000
0.000000

REDUCED COST
0.000000
0.000000
13519.129883
10152.629883
7065.069824
4298.030273
1949.940063
288.339905
0.000000
2065.070068

SLACK OR SURPLUS
11152.959961
1369.859985
0.000000
0.000000
0.000000

DUAL PRICES
0.000000
0.000000
-7.000000
-3.000000
23065.070312

FORMULACIN CON LINGO

max= 7 * x1 + 3 * x2;
6 * x1 + 16 * x2 < 48000;
12 * x1 + 6 * x2 < 42000;
0.00225 * x1^2 + 0.002 * X2^2 < 20250;

SOLUCIN REAL CON LINGO

Local optimal solution found at step:
Objective value:
Variable
X1
X2
Row
1
2
3
4

Value
2731.076
1316.769
Slack or Surplus
23067.83
10545.25
1326.482
0.0000000

8
23067.83

Reduced Cost
0.0000000
0.0000000
Dual Price
1.000000
0.6511758E-08
0.0000000
0.5695761

MTODOS NO BASADOS
EN PL

MULTIPLICADORES DE LAGRANGE
MAX = f(x1, x2, ....., xn)
ST
g1 (x1, x2,..., xn) = b 1
g2 (x1, x2,..., xn) = b 2
...............................
gm (x1, x2,..., xn) = bm
m

L = f ( x1 , x 2 ,..., x N ) + i [b i g i ( x 1 , x 2 ,..., x n )]
1

Ejemplo
MAX:
Sujeto a:

siendo:

Z = 0,003 x12 + 0,005 x22

6 x1 + 16 x2
x1, x2 0

= 48000

y continuas

L = 0,003 x + 0,005 x + [6 x1 + 16 x 2 48000]

2
1

2
2

L
= 0 , 006 x 1 + 6 = 0
x 1
L
= 0 , 01 x 1 + 16 = 0
x 2
L
= 6 x 1 + 16 x 2 = 48000

6
x1 =
0 , 006

16
x2 =
0 , 01

x1 = 1.265,8
x2 = 2.025,28
= -1,2658

Z = 25.315,54

CONDICIONES DE KARUSH-KUHN-TUCKER
MIN (o MAX) = f(x1, x2, ....., xn)
g1 (x1, x2,..., xn) b1
g2 (x1, x2,..., xn) b2
...............................
gm (x1, x2,..., xn) bm
xi no negativas
m

L = f ( x1 , x 2 ,..., x N ) i [b i g i ( x 1 , x 2 ,..., x n )]
1

L
=0
x i

i [b i g i ( x 1 , x 2 ,..., x n ) ] = 0
i 0

EJEMPLO:

125
160
MIN : 5 x1 +
+ 10 x 2 +
x1
x2
ST
0,6 x1 + 0,5 x 2 3

6
4
+

5
x x
1
2
xi 0

125
160
L = 5 x1 +
+ 10 x 2 +
+ 1 [0,6 x1 + 0,5 x 2 3]
x1
x2
4

6
+ 2 +
5 Mn
x1 x 2

L
125
4
= 5 2 + 1 0,6 2 2 = 0
x1
x1
x1
125 + 4 2
x1 =
5 + 0,6 1

125
160
L = 5 x1 +
+ 10 x 2 +
+ 1 [0,6 x1 + 0,5 x 2 3]
x1
x2
4

6
+ 2 +
5 Mn
x1 x 2

L
160
6
= 10 2 + 1 0,5 2 2 = 0
x 2
x2
x1
160 + 6 2
x2 =
10 + 0,5 1

CONDICIONES DE KARUSH-KUHN-TUCKER
(1)

125 + 4 2
x1 =
5 + 0,6 1

(2)

160 + 6 2
x2 =
10 + 0,5 1

(3)

1 [0,6 x 1 + 0,5 x 2 3] = 0

(4)

6
2 +
5 = 0
x1 x 2

(5)

1 0

(6)

2 0

x1

x2

>0

>0

INCOMPATIBLE

>0

>0

INCOMPATIBLE

2,6693 2,7969

VULNERA (3)
1=20,9069

USANDO EL SISTEMA LINGO

MIN = 5 * x1 + 125 / x1 + 10 * x2 + 160 / x2;
0.6 * X1 + 0.5 * X2 < 3;
4 / X1 + 6 / X2 < 5;
Local optimal solution found at step:
Objective value:
Variable
X1
X2
Row
1
2
3

Value
2.669250
2.796900
Slack or Surplus
145.3511
0.0000000
1.356219

10
145.3511
Reduced Cost
0.0000000
0.3422487E-06
Dual Price
1.000000
20.90686
0.0000000

EJEMPLO:
2000
5000
MIN : 5 x 1 +
+ 10 x 2 +
x1
x2
ST
0,6 x1 + 0,5 x 2 300
400 600
+
0,5
x1
x2
m

L = f ( x1 , x 2 ,..., x N ) i [b i g i ( x 1 , x 2 ,..., x n )]
1

i [bi g i ( x1 , x 2 ,..., x n )] = 0

i 0

x2

1 = 0
4

x3 = 0

x1

x2

1 = 0
4

x3 = 0

2 = 0

x1

MAX:

Z = 0,004 x12 0,006 x1+ 0,003 x22

Sujeto a:

siendo:

6 x1 + 16 x2 48000
12 x1 + 6 x2 42000
9 x1 + 9 x2 36000
x1, x2 0

y continuas

x2

x4 = 0

x5 = 0

x3 = 0

x1

L = 0,004 x12 0,006 x1+ 0,003 x22

- 1 (6 x1 + 16 x2 48000)
- 2 (12 x1 + 6 x2 42000)
- 3 (9 x1 + 9 x2 36000)
L
= 0,008 x 1 0,006 6 1 12 2 9 3 = 0
x 1

L = 0,004 x12 0,006 x1+ 0,003 x22

- 1 (6 x1 + 16 x2 48000)
- 2 (12 x1 + 6 x2 42000)
- 3 (9 x1 + 9 x2 36000)
L
= 0,006 x 2 16 1 6 2 9 3 = 0
x 2

CONDICIONES DE KKT
0,008 x 1 0,006 6 1 12 2 9 3 = 0

0 ,006 x 2 16 1 6 2 9 3 = 0
1 (6 x1 + 16 x2 48000) = 0
2 (12 x1 + 6 x2 42000) = 0
3 (9 x1 + 9 x2 36000) = 0

1 = 2 = 3 = 0 INCOMPATIBLE
0,008 x 1 0,006 = 0

0 , 006 x 2 = 0
6 x1 + 16 x2 48000 = 0
12 x1 + 6 x2 42000 = 0
9 x1 + 9 x2 36000 = 0

1 = 2 = 0 INCOMPATIBLE
0,008 x 1 9 3 = 0

0 ,006 x 2 9 3 = 0
6 x1 + 16 x2 48000 = 0
12 x1 + 6 x2 42000 = 0

1 = 3 = 0 INCOMPATIBLE
0,008 x 1 0,006 12 2 = 0

0 ,006 x 2 6 2 = 0
6 x1 + 16 x2 48000 = 0
9 x1 + 9 x2 36000 = 0

2 = 3 = 0 INCOMPATIBLE
0,008 x 1 0,006 6 1 = 0

0 ,006 x 2 16 1 = 0

12 x1 + 6 x2 42000 = 0
9 x1 + 9 x2 36000 = 0

1 = 0 INCOMPATIBLE
0,008 x 1 0,006 12 2 9 3 = 0

0 , 006 x 2 6 2 9 3 = 0
6 x1 + 16 x2 48000 = 0

2 = 0
0,008 x 1 0,006 6 1 9 3 = 0

0 ,006 x 2 16 1 9 3 = 0
6 x1 + 16 x2 48000 = 0
X1 = 1600
X2 = 2400

9 x1 + 9 x2 36000 = 0

1 = 0,1606
2 = 1,3145

FORMULACIN CON SISTEMA LINGO

MAX = 0.004 * x1^2 - 0.006 * X1 + 0.003*x2^2;

6 * x1 + 16 * x2 < 48000;
12 * x1 + 6 * x2 < 42000;
9 * x1 + 9 * X2 < 36000;

RESOLUCIN CON SISTEMA LINGO

Local optimal solution found at step: 5

Objective value: 27510.40
Variable
X1
X2
Row
1
2
3
4

Value
1600.000
2400.000
Slack or Surplus
27510.40
0.0000000
8400.000
0.0000000

Reduced Cost
0.0000000
0.0000000
Dual Price
1.000000
0.1606000
0.0000000
1.314489