topic Re: Minimizing an unconstrained NLP problem in Mathematical Optimization, Discrete-Event Simulation, and OR

Minimizing an unconstrained NLP problem

Reyna — Tue, 17 Jul 2018 18:17:46 GMT

I want to minimize an unconstrained NLP problem, having 4 variables. But, upon running the SAS file the solution status was failed and I got a warning that the "Objective function cannot be evaluated at the starting point." Can somebody PLEASE help me with this? I attached here the code. I am new to SAS by the way, it would be a great help for me.

proc optmodel;
	var x{1..4} >=0 <=50;
	min g=(-1) * ((-1) * (((10/x[1])^x[1]) * ((12/x[2])^x[2]) * 
		((0.5/(2*(0.4*x[3]-0.2*x[1]-1)))^(0.4*x[3]-0.2*x[1]-1)) * 
		((0.4/(2*(0.55*x[4]-0.6*x[2]-1)))^(0.55*x[4]-0.6*x[2]-1)) * 
		((50/(0.6*x[3]-0.8*x[1]))^(0.6*x[3]-0.8*x[1])) * 
		((60/(0.5*x[4]-0.4*x[2]))^(0.5*x[4]-0.4*x[2])) * ((100/x[3])^(-x[3])) * 
		((120/x[4])^(-x[4])) * ((((-0.34*x[3]-0.08*x[1]-0.475*x[4]+0.66*x[2]+3)*4)/(195*(-0.34*x[3]-0.08*x[1]+1.6)))^(-0.34*x[3]-0.08*x[1]+1.6)) 
		* ((((-0.34*x[3]-0.08*x[1]-0.475*x[4]+0.66*x[2]+3)*2)/(195*(-0.475*x[4]-0.66*x[2]+1.4)))^(-0.475*x[4]+0.66*x[2]+1.4)))^(-1));

	/* starting point */
	x[1]=0.5;
	x[2]=0.5;
	x[3]=0.5;
	x[4]=0.5;
	solve with nlp / algorithm=activeset;
	print x;
quit;

Re: Minimizing an unconstrained NLP problem

RobPratt — Tue, 17 Jul 2018 19:22:51 GMT

I have a suggestion that should help, but first I want to make sure that your objective function is defined correctly. In the final line of the MIN statement, did you really mean to have both -0.66*x[2] and +0.66*x[2], or should those coefficients be the same?

Re: Minimizing an unconstrained NLP problem

Reyna — Thu, 19 Jul 2018 04:41:53 GMT

Hi Rob,

I am sorry for typo error, I mean to have only +0.66 in the objective function. By the way the objective function should be define by:

proc optmodel;
	var x{1..4} >=0 <=50;
	min g=(-1) * ((-1) * (((10/x[1])^x[1]) * ((12/x[2])^x[2]) * 
		((0.5/(2*(0.4*x[3]-0.2*x[1]-1)))^(0.4*x[3]-0.2*x[1]-1)) * 
		((0.4/(2*(0.55*x[4]-0.6*x[2]-1)))^(0.55*x[4]-0.6*x[2]-1)) * 
		((50/(0.6*x[3]-0.8*x[1]))^(0.6*x[3]-0.8*x[1])) * 
		((60/(0.5*x[4]-0.4*x[2]))^(0.5*x[4]-0.4*x[2])) * ((100/x[3])^(-x[3])) * 
		((120/x[4])^(-x[4])) * ((((-0.34*x[3]-0.08*x[1]-0.475*x[4]+0.66*x[2]+3)*4)/(195*(-0.34*x[3]-0.08*x[1]+1.6)))^(-0.34*x[3]-0.08*x[1]+1.6)) * ((((-0.34*x[3]-0.08*x[1]-0.475*x[4]+0.66*x[2]+3)*2)/(195*(-0.475*x[4]+0.66*x[2]+1.4)))^(-0.475*x[4]+0.66*x[2]+1.4)))^(-1));

	/* starting point */
	x[1]=0.5;
	x[2]=0.5;
	x[3]=0.5;
	x[4]=0.5;
	solve with nlp / algorithm=activeset;
	print x;
quit;

Re: Minimizing an unconstrained NLP problem

Reyna — Thu, 19 Jul 2018 05:00:55 GMT

I hope you can help me with this :))

Re: Minimizing an unconstrained NLP problem

RobPratt — Fri, 20 Jul 2018 02:06:47 GMT

One way to avoid typos is to use implicit variables to represent expressions that appear in multiple places:

   impvar y {i in 1..7} = 
      if i = 1 then 0.4*x[3]-0.2*x[1]-1
      else if i = 2 then 0.55*x[4]-0.6*x[2]-1
      else if i = 3 then 0.6*x[3]-0.8*x[1]
      else if i = 4 then 0.5*x[4]-0.4*x[2]
      else if i = 5 then -0.34*x[3]-0.08*x[1]-0.475*x[4]+0.66*x[2]+3
      else if i = 6 then -0.34*x[3]-0.08*x[1]+1.6
      else if i = 7 then -0.475*x[4]+0.66*x[2]+1.4;
   min g=(-1) * ((-1) * (((10/x[1])^x[1]) * ((12/x[2])^x[2]) * 
      ((0.5/(2*y[1]))^y[1]) * 
      ((0.4/(2*y[2]))^y[2]) * 
      ((50/y[3])^y[3]) * 
      ((60/y[4])^y[4]) * ((100/x[3])^(-x[3])) * 
      ((120/x[4])^(-x[4])) * (((y[5]*4)/(195*y[6]))^y[6]) 
      * (((y[5]*2)/(195*y[7]))^y[7]))^(-1));

With or without these changes, try using the multistart option:

   solve with nlp / ms;

Re: Minimizing an unconstrained NLP problem

Reyna — Fri, 20 Jul 2018 02:30:50 GMT

Hi Rob, I just want to know it is necessary to replace the X variables in the if statements with Y? Or I just need to have it that way?

Re: Minimizing an unconstrained NLP problem

Reyna — Fri, 20 Jul 2018 02:39:52 GMT

Hi there, I tried running the code that you sent me however I got this error saying "Statement is not valid or it is used out of proper order.

 
 1          OPTIONS NONOTES NOSTIMER NOSOURCE NOSYNTAXCHECK;
 72         
 73            impvar y {i in 1..7} =
               ______
               180
 ERROR 180-322: Statement is not valid or it is used out of proper order.
 
 74               if i = 1 then 0.4*x[3]-0.2*x[1]-1
 75               else if i = 2 then 0.55*x[4]-0.6*x[2]-1
 76               else if i = 3 then 0.6*x[3]-0.8*x[1]
 77               else if i = 4 then 0.5*x[4]-0.4*x[2]
 78               else if i = 5 then -0.34*x[3]-0.08*x[1]-0.475*x[4]+0.66*x[2]+3
 79               else if i = 6 then -0.34*x[3]-0.08*x[1]+1.6
 80               else if i = 7 then -0.475*x[4]+0.66*x[2]+1.4;
 
 81            min g=(-1) * ((-1) * (((10/x[1])^x[1]) * ((12/x[2])^x[2]) *
               ___
               180
 ERROR 180-322: Statement is not valid or it is used out of proper order.
 
 82               ((0.5/(2*y[1]))^y[1]) *
 83               ((0.4/(2*y[2]))^y[2]) *
 84               ((50/y[3])^y[3]) *
 85               ((60/y[4])^y[4]) * ((100/x[3])^(-x[3])) *
 86               ((120/x[4])^(-x[4])) * (((y[5]*4)/(195*y[6]))^y[6])
 87               * (((y[5]*2)/(195*y[7]))^y[7]))^(-1));
 
 88         
 89                  solve with nlp / ms;
                     _____
                     180
 
 ERROR 180-322: Statement is not valid or it is used out of proper order.
 
 90         
 91         OPTIONS NONOTES NOSTIMER NOSOURCE NOSYNTAXCHECK;
 104

Re: Minimizing an unconstrained NLP problem

Reyna — Fri, 20 Jul 2018 04:11:52 GMT

Hi Rob, I just want to ask what if I run this code and I don't want to set an upper bound for my Variables X[1].. X[4], therefore I would like them only to be greater than or equal to zero. However, I've tried running this code multiple times and I've got different results for X and it only says that it has only the "best feasible solution" everytime I run it. I was just concerned about how can I deal with this type of problem? or Can we have options other than multistart, or shall we incorporate a search method for this? I'm clueless. Thanks for the help! 🙂

proc optmodel;
	var x{1..4} >=0;
	min g=(-1) * ((-1) * (((10/x[1])^x[1]) * ((12/x[2])^x[2]) * 
		((0.5/(2*(0.4*x[3]-0.2*x[1]-1)))^(0.4*x[3]-0.2*x[1]-1)) * 
		((0.4/(2*(0.55*x[4]-0.6*x[2]-1)))^(0.55*x[4]-0.6*x[2]-1)) * 
		((50/(0.6*x[3]-0.8*x[1]))^(0.6*x[3]-0.8*x[1])) * 
		((60/(0.5*x[4]-0.4*x[2]))^(0.5*x[4]-0.4*x[2])) * ((100/x[3])^(-x[3])) * 
		((120/x[4])^(-x[4])) * ((((-0.34*x[3]-0.08*x[1]-0.475*x[4]+0.66*x[2]+3)*4)/(195*(-0.34*x[3]-0.08*x[1]+1.6)))^(-0.34*x[3]-0.08*x[1]+1.6)) 
		* ((((-0.34*x[3]-0.08*x[1]-0.475*x[4]+0.66*x[2]+3)*2)/(195*(-0.475*x[4]+0.66*x[2]+1.4)))^(-0.475*x[4]+0.66*x[2]+1.4)))^(-1));

   impvar y {i in 1..7} = 
      if i = 1 then 0.4*x[3]-0.2*x[1]-1
      else if i = 2 then 0.55*x[4]-0.6*x[2]-1
      else if i = 3 then 0.6*x[3]-0.8*x[1]
      else if i = 4 then 0.5*x[4]-0.4*x[2]
      else if i = 5 then -0.34*x[3]-0.08*x[1]-0.475*x[4]+0.66*x[2]+3
      else if i = 6 then -0.34*x[3]-0.08*x[1]+1.6
      else if i = 7 then -0.475*x[4]+0.66*x[2]+1.4;
   min f=(-1) * ((-1) * (((10/x[1])^x[1]) * ((12/x[2])^x[2]) * 
      ((0.5/(2*y[1]))^y[1]) * 
      ((0.4/(2*y[2]))^y[2]) * 
      ((50/y[3])^y[3]) * 
      ((60/y[4])^y[4]) * ((100/x[3])^(-x[3])) * 
      ((120/x[4])^(-x[4])) * (((y[5]*4)/(195*y[6]))^y[6]) 
      * (((y[5]*2)/(195*y[7]))^y[7]))^(-1));
 


         solve with nlp / ms;
         print x;

Re: Minimizing an unconstrained NLP problem

RobPratt — Fri, 20 Jul 2018 15:02:04 GMT

Because your objective function has product form, it is natural to minimize the log instead:

   min log_g = -(
      x[1]*log(10/x[1]) 
      + x[2]*log(12/x[2])
      + y[1]*log(0.5/(2*y[1]))
      + y[2]*log(0.4/(2*y[2]))
      + y[3]*log(50/y[3])
      + y[4]*log(60/y[4])
      - x[3]*log(100/x[3])
      - x[4]*log(120/x[4])
      + y[6]*log(y[5]*4/(195*y[6]))
      + y[7]*log(y[5]*2/(195*y[7]))
   );

The resulting solution status is then Optimal rather than Best Feasible.

Re: Minimizing an unconstrained NLP problem

Reyna — Sun, 22 Jul 2018 20:47:56 GMT

Indeed the solution that you recommended was brilliant and I thank you for that. I never had that idea before 🙂 In line with this, I tried this approach in evaluating the optimal values for another unconstrained minimization, however, it says that the solution status is failed. I guess I've had some problem with formulation? or in dealing with this type should require other type of solver?

proc optmodel;
	var x{1..4} >=0;


   impvar y {i in 1..8} = 
      if i = 1 then -((-0.6*4.5)/(1.6*5.5))*x[1]-(4.5/5.5)*x[3]
      else if i = 2 then -((-0.7*5.2)/(1.7*6.2))*x[2]-(5.2/6.2)*x[4]
      else if i = 3 then (-1/0.72)+((1/0.72)+((-0.6*15.5)/(0.72*1.6*5.5)))*x[1]+((15.5/(0.72*5.5))-((1/0.72)+1))*x[3]
      else if i = 4 then (-1/0.78)+((1/0.78)+((-0.7*17.6)/(0.78*1.7*6.2)))*x[2]+((17.6/(0.78*6.2))-((1/0.78)+1))*x[4]
      else if i = 5 then (0.6/(1.6*5.5))*x[1]-(1/5.5)*x[3]
      else if i = 6 then (0.7/(1.7*6.2))*x[2]-(1/6.2)*x[4]
      else if i = 7 then (-1/0.72)+((1/0.72)+(((4.5*5.5)/0.72)+(2/0.72)+1)*(-0.6/1.6))*x[1]-(((5.5*4.5)+1)/0.72)*x[3]
      else if i = 8 then (-1/0.78)+((1/0.78)+(((5.2*6.2)/0.78)+(2/0.78)+1)*(-0.7/1.7))*x[2]-(((5.2*6.2)+1)/0.78)*x[4];
      
	min log_h = -(
      - x[1]*log(3500/(300*x[1])) 
      - x[2]*log(4000/(300*x[2]))
      + x[3]*log(175/x[3]) 
      + x[4]*log(64000/(300*x[4]))
      + y[1]*log(3500/(300*y[1]))
      + y[2]*log(4000/(300*y[2]))
      + y[3]*log(0.15/(600*y[3]))
      + y[4]*log(0.2/(600*y[4]))
      + y[5]*log(5250/y[5])
      + y[6]*log(2000000/(300*y[6]))
      - y[7]*log(3.9/(45*y[7]))
      - y[8]*log(4.3/(45*y[8]))
      );
   
         solve with nlp / ms;
         print x;
quit;

Re: Minimizing an unconstrained NLP problem

RobPratt — Mon, 23 Jul 2018 17:16:10 GMT

The log function requires a positive argument, and that implies that each x[i] and y[i] should be positive. But x[2], y[4], and y[8] cannot all be nonnegative, as detected by using the IIS functionality:

   con c {i in 1..8}: y[i] >= 0;
   solve noobj with lp / iis=on;
   expand / iis;

SAS Output

Var x[2] >= 0                                                                             
Constraint c[4]: y[4] >= 0                                                                
Constraint c[8]: y[8] >= 0

Now expand y[4] and y[8]:

   expand y[4];
   expand y[8];

SAS Output

Impvar y[4] = 1.3573200993*x[4] - 0.2165134044*x[2] - 1.2820512821

Impvar y[8] = - 42.615384615*x[4] - 17.205128205*x[2] - 1.2820512821

Indeed, x[2] >= 0 and y[4] >= 0 together imply x[4] >= 0, which forces y[8] < 0. I would recommend checking your formula for y[8], which should not have all coefficients negative.