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College of Engineering
Diyala University
Engineering Optimization
Ass. Prof. Dr Abbas Mahde Abd

Department of Civil Engineering, Diyala Univ.
http://www.uodiyala.edu.iq
COURSE OUTLINE
Optimization is the process of

obtaining the best result under given Civil Engineering
circumstances. In design, construction Department
and maintenance of any engineering
system, engineers have to take many
technological and managerial
Master Program
decisions at several stages. The
ultimate goal of all such decisions is Construction Projects
either to minimize the effort required Management
or to maximize the desired benefit. A
number of optimization methods have
been developed for solving different Pre-requisites:
types of of optimization problems. In
this course, after discussing about the Back ground in differential calculus and
basic maths.
optimization problem formulation,
Linear Programming, Non Linear
Programming, Dynamic Programming
techniques are explained in detail Additional Reading:
along with number of applications in Engineering Optimization: Practice and Theory.
civil engineering. Advanced S.S.Rao. John Wiley & Sons, Inc. 2009
optimization techniques such as
Evolutionary search algorithms, Multi
objective optimization are briefly
introduced.
Ass. Prof. Dr Abbas Mahde Abd

COURSE DETAIL
Module
Module Sub-Module
Hours
1. Introduction Historical Development; Engineering applications of Optimization;

1
and Basic Art of Modeling
Concepts
Objective function; Constraints and Constraint surface; Formulation of
2
design problems as mathematical programming problems
6
Classification of optimization problems 1
Optimization techniques – classical and advanced techniques 2
2. Optimization Stationary points; Functions of single and two variables; Global

1
using Calculus Optimum
Convexity and concavity of functions of one and two variables 1 6

Optimization of function of one variable and multiple variables;
1
Gradient vectors; Examples
Optimization of function of multiple variables subject to equality

1
constraints; Lagrangian function
Optimization of function of multiple variables subject to equality

1
constraints; Hessian matrix formulation; Eigen values
Kuhn-Tucker Conditions; Examples 1
3. Linear Standard form of linear programming (LP) problem; Canonical form

1
Programming of LP problem; Assumptions in LP Models; Elementary operations
6
Graphical method for two variable optimization problem; Examples 1
Motivation of simplex method, Simplex algorithm and construction of

simplex tableau; Simplex criterion; Minimization versus maximization 2
problems
Revised simplex method; Duality in LP; Primal-dual relations; Dual

1
Simplex method; Sensitivity or post optimality analysis
Ass. Prof. Dr Abbas Mahde Abd 2

Other algorithms for solving LP problems – Karmarkar’s projective
1
scaling method
4. Linear Use of software for solving linear optimization problems using

2
Programming graphical and simplex methods 5
Applications
Examples for transportation, assignment, water resources, structural
3
and other optimization problems
5. Dynamic Sequential optimization; Representation of multistage decision

Programming process; Types of multistage decision problems; Concept of sub 2
optimization and the principle of optimality
6
Recursive equations – Forward and backward recursions;
2
Computational procedure in dynamic programming (DP)
Discrete versus continuous dynamic programming; Multiple state

2
variables; curse of dimensionality in DP
6. Dynamic Problem formulation and application in Design of continuous beam

2
Programming and Optimal geometric layout of a truss
Applications
6
Water allocation as a sequential process 2
Capacity expansion and Reservoir operation 2
7. Integer Integer linear programming; Concept of cutting plane method 2

4
Programming
Mixed integer programming; Solution algorithms; Examples 2
8. Advanced Piecewise linear approximation of a nonlinear function 1

Topics in
Optimization Multi objective optimization – Weighted and constrained methods; 6
2
Multi level optimization
Direct and indirect search methods 1
Evolutionary algorithms for optimization and search 1
Applications in civil engineering 1
Total 45

Optimization Methods: Introduction and Basic Concepts 1
Module – 1 Lecture Notes – 1
Historical Development and Model Building
Introduction
In this lecture, historical development of optimization methods is glanced through. Apart
from the major developments, some recently developed novel approaches, such as, goal
programming for multi-objective optimization, simulated annealing, genetic algorithms, and
neural network methods are briefly mentioned tracing their origin. Engineering applications
of optimization with different modeling approaches are scanned through from which one
would get a broad picture of the multitude applications of optimization techniques.
Historical Development
The existence of optimization methods can be traced to the days of Newton, Lagrange, and
Cauchy. The development of differential calculus methods for optimization was possible
because of the contributions of Newton and Leibnitz to calculus. The foundations of calculus
of variations, which deals with the minimization of functions, were laid by Bernoulli, Euler,
Lagrange, and Weistrass. The method of optimization for constrained problems, which
involve the addition of unknown multipliers, became known by the name of its inventor,
Lagrange. Cauchy made the first application of the steepest descent method to solve
unconstrained optimization problems. By the middle of the twentieth century, the high-speed
digital computers made implementation of the complex optimization procedures possible and
stimulated further research on newer methods. Spectacular advances followed, producing a
massive literature on optimization techniques. This advancement also resulted in the
emergence of several well defined new areas in optimization theory.
Some of the major developments in the area of numerical methods of unconstrained

optimization are outlined here with a few milestones.
• Development of the simplex method by Dantzig in 1947 for linear programming

problems
• The enunciation of the principle of optimality in 1957 by Bellman for dynamic
programming problems,
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• Work by Kuhn and Tucker in 1951 on the necessary and sufficient conditions for the
optimal solution of programming problems laid the foundation for later research in
non-linear programming.
• The contributions of Zoutendijk and Rosen to nonlinear programming during the early
1960s have been very significant.
• Work of Carroll and Fiacco and McCormick facilitated many difficult problems to be
solved by using the well-known techniques of unconstrained optimization.
• Geometric programming was developed in the 1960s by Duffin, Zener, and Peterson.
• Gomory did pioneering work in integer programming, one of the most exciting and
rapidly developing areas of optimization. The reason for this is that most real world
applications fall under this category of problems.
• Dantzig and Charnes and Cooper developed stochastic programming techniques and
solved problems by assuming design parameters to be independent and normally
distributed.
The necessity to optimize more than one objective or goal while satisfying the physical
limitations led to the development of multi-objective programming methods. Goal
programming is a well-known technique for solving specific types of multi-objective
optimization problems. The goal programming was originally proposed for linear problems
by Charnes and Cooper in 1961. The foundation of game theory was laid by von Neumann in
1928 and since then the technique has been applied to solve several mathematical, economic
and military problems. Only during the last few years has game theory been applied to solve
engineering problems.
Simulated annealing, genetic algorithms, and neural network methods represent a new class
of mathematical programming techniques that have come into prominence during the last
decade. Simulated annealing is analogous to the physical process of annealing of metals and
glass. The genetic algorithms are search techniques based on the mechanics of natural
selection and natural genetics. Neural network methods are based on solving the problem
using the computing power of a network of interconnected ‘neuron’ processors.
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Engineering applications of optimization

To indicate the widespread scope of the subject, some typical applications in different
engineering disciplines are given below.
• Design of civil engineering structures such as frames, foundations, bridges, towers,

chimneys and dams for minimum cost.
• Design of minimum weight structures for earth quake, wind and other types of
random loading.
• Optimal plastic design of frame structures (e.g., to determine the ultimate moment
capacity for minimum weight of the frame).
• Design of water resources systems for obtaining maximum benefit.
• Design of optimum pipeline networks for process industry.
• Design of aircraft and aerospace structure for minimum weight
• Finding the optimal trajectories of space vehicles.
• Optimum design of linkages, cams, gears, machine tools, and other mechanical
components.
• Selection of machining conditions in metal-cutting processes for minimizing the
product cost.
• Design of material handling equipment such as conveyors, trucks and cranes for
minimizing cost.
• Design of pumps, turbines and heat transfer equipment for maximum efficiency.
• Optimum design of electrical machinery such as motors, generators and transformers.
• Optimum design of electrical networks.
• Optimum design of control systems.
• Optimum design of chemical processing equipments and plants.
• Selection of a site for an industry.
• Planning of maintenance and replacement of equipment to reduce operating costs.
• Inventory control.
• Allocation of resources or services among several activities to maximize the benefit.
• Controlling the waiting and idle times in production lines to reduce the cost of
production.
• Planning the best strategy to obtain maximum profit in the presence of a competitor.
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• Designing the shortest route to be taken by a salesperson to visit various cities in a

single tour.
• Optimal production planning, controlling and scheduling.
• Analysis of statistical data and building empirical models to obtain the most accurate
representation of the statistical phenomenon.
However, the list is incomplete.
Art of Modeling: Model Building

Development of an optimization model can be divided into five major phases.
• Data collection
• Problem definition and formulation
• Model development
• Model validation and evaluation of performance
• Model application and interpretation
Data collection may be time consuming but is the fundamental basis of the model-building
process. The availability and accuracy of data can have considerable effect on the accuracy of
the model and on the ability to evaluate the model.
The problem definition and formulation includes the steps: identification of the decision
variables; formulation of the model objective(s) and the formulation of the model constraints.
In performing these steps the following are to be considered.
• Identify the important elements that the problem consists of.
• Determine the number of independent variables, the number of equations required to
describe the system, and the number of unknown parameters.
• Evaluate the structure and complexity of the model
• Select the degree of accuracy required of the model
Model development includes the mathematical description, parameter estimation, input

development, and software development. The model development phase is an iterative
process that may require returning to the model definition and formulation phase.
The model validation and evaluation phase is checking the performance of the model as a
whole. Model validation consists of validation of the assumptions and parameters of the
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model. The performance of the model is to be evaluated using standard performance

measures such as Root mean squared error and R2 value. A sensitivity analysis should be
performed to test the model inputs and parameters. This phase also is an iterative process and
may require returning to the model definition and formulation phase. One important aspect of
this process is that in most cases data used in the formulation process should be different
from that used in validation. Another point to keep in mind is that no single validation
process is appropriate for all models.
Model application and implementation include the use of the model in the particular area
of the solution and the translation of the results into operating instructions issued in
understandable form to the individuals who will administer the recommended system.
Different modeling techniques are developed to meet the requirements of different types of
optimization problems. Major categories of modeling approaches are: classical optimization
techniques, linear programming, nonlinear programming, geometric programming, dynamic
programming, integer programming, stochastic programming, evolutionary algorithms, etc.
These modeling approaches will be discussed in subsequent modules of this course.
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Optimization Methods: Introduction and Basic concepts 1
Optimization Problem and Model Formulation
Introduction
In the previous lecture we studied the evolution of optimization methods and their
engineering applications. A brief introduction was also given to the art of modeling. In this
lecture we will study the Optimization problem, its various components and its formulation as
a mathematical programming problem.
Basic components of an optimization problem:
An objective function expresses the main aim of the model which is either to be minimized
or maximized. For example, in a manufacturing process, the aim may be to maximize the
profit or minimize the cost. In comparing the data prescribed by a user-defined model with the
observed data, the aim is minimizing the total deviation of the predictions based on the model
from the observed data. In designing a bridge pier, the goal is to maximize the strength and
minimize size.
A set of unknowns or variables control the value of the objective function. In the
manufacturing problem, the variables may include the amounts of different resources used or
the time spent on each activity. In fitting-the-data problem, the unknowns are the parameters
of the model. In the pier design problem, the variables are the shape and dimensions of the
pier.
A set of constraints are those which allow the unknowns to take on certain values but
exclude others. In the manufacturing problem, one cannot spend negative amount of time on
any activity, so one constraint is that the "time" variables are to be non-negative. In the pier
design problem, one would probably want to limit the breadth of the base and to constrain its
size.
The optimization problem is then to find values of the variables that minimize or maximize
the objective function while satisfying the constraints.
Objective Function
As already stated, the objective function is the mathematical function one wants to maximize
or minimize, subject to certain constraints. Many optimization problems have a single
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objective function. (When they don't they can often be reformulated so that they do) The two
exceptions are:
• No objective function. In some cases (for example, design of integrated circuit

layouts), the goal is to find a set of variables that satisfies the constraints of the model.
The user does not particularly want to optimize anything and so there is no reason to
define an objective function. This type of problems is usually called a feasibility
problem.
• Multiple objective functions. In some cases, the user may like to optimize a number of
different objectives concurrently. For instance, in the optimal design of panel of a
door or window, it would be good to minimize weight and maximize strength
simultaneously. Usually, the different objectives are not compatible; the variables that
optimize one objective may be far from optimal for the others. In practice, problems
with multiple objectives are reformulated as single-objective problems by either
forming a weighted combination of the different objectives or by treating some of the
objectives as constraints.
Statement of an optimization problem
An optimization or a mathematical programming problem can be stated as follows:
⎛ x1 ⎞
⎜ ⎟
⎜ x2 ⎟
To find X = ⎜ . ⎟ which minimizes f(X) (1.1)
⎜ ⎟
⎜ . ⎟
⎜x ⎟
⎝ n⎠
Subject to the constraints
gi(X) ≤ 0 , i = 1, 2, …., m
lj(X) = 0 , j = 1, 2, …., p
where X is an n-dimensional vector called the design vector, f(X) is called the objective
function, and gi(X) and lj(X) are known as inequality and equality constraints, respectively.
The number of variables n and the number of constraints m and/or p need not be related in
any way. This type problem is called a constrained optimization problem.
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If the locus of all points satisfying f(X) = a constant c, is considered, it can form a family of
surfaces in the design space called the objective function surfaces. When drawn with the
constraint surfaces as shown in Fig 1 we can identify the optimum point (maxima). This is
possible graphically only when the number of design variables is two. When we have three or
more design variables because of complexity in the objective function surface, we have to
solve the problem as a mathematical problem and this visualization is not possible.
C1 > C2 > C3 >C4 …..> Cn
.
f = C1
f = C2
f = C3 f= C4
f = C5
Optimum
point
Fig 1
Optimization problems can be defined without any constraints as well.
⎛ x1 ⎞
⎜ ⎟
⎜ x2 ⎟
To find X = ⎜ . ⎟ which minimizes f(X) (1.2)
⎜ ⎟
⎜ . ⎟
⎜x ⎟
⎝ n⎠
Such problems are called unconstrained optimization problems. The field of unconstrained
optimization is quite a large and prominent one, for which a lot of algorithms and software
are available.
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Variables
These are essential. If there are no variables, we cannot define the objective function and the
problem constraints. In many practical problems, one cannot choose the design variable
arbitrarily. They have to satisfy certain specified functional and other requirements.
Constraints
Constraints are not essential. It's been argued that almost all problems really do have
constraints. For example, any variable denoting the "number of objects" in a system can only
be useful if it is less than the number of elementary particles in the known universe! In
practice though, answers that make good sense in terms of the underlying physical or
economic criteria can often be obtained without putting constraints on the variables.
Design constraints are restrictions that must be satisfied to produce an acceptable design.
Constraints can be broadly classified as:
1) Behavioral or Functional constraints: These represent limitations on the behavior

performance of the system.
2) Geometric or Side constraints: These represent physical limitations on design

variables such as availability, fabricability, and transportability.
For example, for the retaining wall design shown in the Fig 2, the base width W cannot be
taken smaller than a certain value due to stability requirements. The depth D below the
ground level depends on the soil pressure coefficients Ka and Kp. Since these constraints
depend on the performance of the retaining wall they are called behavioral constraints. The
number of anchors provided along a cross section Ni cannot be any real number but has to be
a whole number. Similarly thickness of reinforcement used is controlled by supplies from the
manufacturer. Hence this is a side constraint.
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Ni no. of anchors
Fig. 2
Constraint Surfaces
Consider the optimization problem presented in eq. 1.1 with only the inequality constraint
gi(X) ≤ 0 . The set of values of X that satisfy the equation gi(X) ≤ 0 forms a boundary surface
in the design space called a constraint surface. This will be a (n-1) dimensional subspace
where n is the number of design variables. The constraint surface divides the design space
into two regions: one with gi(X) < 0 (feasible region) and the other in which gi(X) > 0
(infeasible region). The points lying on the hyper surface will satisfy gi(X) =0. The collection
of all the constraint surfaces gi(X) = 0, j= 1, 2, …, m, which separates the acceptable region is
called the composite constraint surface.
Fig 3 shows a hypothetical two-dimensional design space where the feasible region is
denoted by hatched lines. The two-dimensional design space is bounded by straight lines as
shown in the figure. This is the case when the constraints are linear. However, constraints
may be nonlinear as well and the design space will be bounded by curves in that case. A
design point that lies on more than one constraint surface is called a bound point, and the
associated constraint is called an active constraint. Free points are those that do not lie on any
constraint surface. The design points that lie in the acceptable or unacceptable regions can be
classified as following:
1. Free and acceptable point
2. Free and unacceptable point
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3. Bound and acceptable point
4. Bound and unacceptable point.
Examples of each case are shown in Fig. 3.
Behavior
constraint
Infeasible
g2 ≤ 0
region
Side
constraint Feasible
Behavior
g3 ≥ 0 region
. constraint
.
g1 ≤0
Bound
acceptable point.
Free acceptable
Free unacceptable Bound point
point unacceptable
point.
Fig. 3
Formulation of design problems as mathematical programming problems
In mathematics, the term optimization, or mathematical programming, refers to the study

of problems in which one seeks to minimize or maximize a real function by systematically
choosing the values of real or integer variables from within an allowed set. This problem can
be represented in the following way
Given: a function f : A R from some set A to the real numbers
Sought: an element x0 in A such that f(x0) ≤ f(x) for all x in A ("minimization") or such that
f(x0) ≥ f(x) for all x in A ("maximization").
Such a formulation is called an optimization problem or a mathematical programming

problem (a term not directly related to computer programming, but still in use for example,
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in linear programming – (see module 3)). Many real-world and theoretical problems may be
modeled in this general framework.
Typically, A is some subset of the Euclidean space Rn, often specified by a set of constraints,
equalities or inequalities that the members of A have to satisfy. The elements of A are called
candidate solutions or feasible solutions. The function f is called an objective function, or cost
function. A feasible solution that minimizes (or maximizes, if that is the goal) the objective
function is called an optimal solution. The domain A of f is called the search space.
Generally, when the feasible region or the objective function of the problem does not present
convexity (refer module 2), there may be several local minima and maxima, where a local
minimum x* is defined as a point for which there exists some δ > 0 so that for all x such that
and
that is to say, on some region around x* all the function values are greater than or equal to the
value at that point. Local maxima are defined similarly.
A large number of algorithms proposed for solving non-convex problems – including the
majority of commercially available solvers – are not capable of making a distinction between
local optimal solutions and rigorous optimal solutions, and will treat the former as the actual
solutions to the original problem. The branch of applied mathematics and numerical analysis
that is concerned with the development of deterministic algorithms that are capable of
guaranteeing convergence in finite time to the actual optimal solution of a non-convex
problem is called global optimization.
Problem formulation
Problem formulation is normally the most difficult part of the process. It is the selection of
design variables, constraints, objective function(s), and models of the discipline/design.
Selection of design variables
A design variable, that takes a numeric or binary value, is controllable from the point of view
of the designer. For instance, the thickness of a structural member can be considered a design
variable. Design variables can be continuous (such as the length of a cantilever beam),
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discrete (such as the number of reinforcement bars used in a beam), or Boolean. Design
problems with continuous variables are normally solved more easily.
Design variables are often bounded, that is, they have maximum and minimum values.
Depending on the adopted method, these bounds can be treated as constraints or separately.
Selection of constraints
A constraint is a condition that must be satisfied to render the design to be feasible. An

example of a constraint in beam design is that the resistance offered by the beam at points of
loading must be equal to or greater than the weight of structural member and the load
supported. In addition to physical laws, constraints can reflect resource limitations, user
requirements, or bounds on the validity of the analysis models. Constraints can be used
explicitly by the solution algorithm or can be incorporated into the objective, by using
Lagrange multipliers.
Objectives
An objective is a numerical value that is to be maximized or minimized. For example, a

designer may wish to maximize profit or minimize weight. Many solution methods work only
with single objectives. When using these methods, the designer normally weights the various
objectives and sums them to form a single objective. Other methods allow multi-objective
optimization (module 8), such as the calculation of a Pareto front.
Models
The designer has to also choose models to relate the constraints and the objectives to the
design variables. These models are dependent on the discipline involved. They may be
empirical models, such as a regression analysis of aircraft prices, theoretical models, such as
from computational fluid dynamics, or reduced-order models of either of these. In choosing
the models the designer must trade-off fidelity with the time required for analysis.
The multidisciplinary nature of most design problems complicates model choice and
implementation. Often several iterations are necessary between the disciplines’ analyses in
order to find the values of the objectives and constraints. As an example, the aerodynamic
loads on a bridge affect the structural deformation of the supporting structure. The structural
deformation in turn changes the shape of the bridge and hence the aerodynamic loads. Thus,
it can be considered as a cyclic mechanism. Therefore, in analyzing a bridge, the
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aerodynamic and structural analyses must be run a number of times in turn until the loads and
deformation converge.
Representation in standard form
Once the design variables, constraints, objectives, and the relationships between them have
been chosen, the problem can be expressed as shown in equation 1.1
Maximization problems can be converted to minimization problems by multiplying the

objective by -1. Constraints can be reversed in a similar manner. Equality constraints can be
replaced by two inequality constraints.
Problem solution
The problem is normally solved choosing the appropriate techniques from those available in
the field of optimization. These include gradient-based algorithms, population-based
algorithms, or others. Very simple problems can sometimes be expressed linearly; in that case
the techniques of linear programming are applicable.
Gradient-based methods
• Newton's method
• Steepest descent
• Conjugate gradient
• Sequential quadratic programming
Population-based methods
• Genetic algorithms
• Particle swarm optimization
Other methods
• Random search
• Grid search
• Simulated annealing
Most of these techniques require large number of evaluations of the objectives and the
constraints. The disciplinary models are often very complex and can take significant amount
of time for a single evaluation. The solution can therefore be extremely time-consuming.
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Many of the optimization techniques are adaptable to parallel computing. Much of the current
research is focused on methods of decreasing the computation time.
The following steps summarize the general procedure used to formulate and solve
optimization problems. Some problems may not require that the engineer follow the steps in
the exact order, but each of the steps should be considered in the process.
1) Analyze the process itself to identify the process variables and specific characteristics
of interest, i.e., make a list of all the variables.
2) Determine the criterion for optimization and specify the objective function in terms of
the above variables together with coefficients.
3) Develop via mathematical expressions a valid process model that relates the input-
output variables of the process and associated coefficients. Include both equality and
inequality constraints. Use well known physical principles such as mass balances,
energy balance, empirical relations, implicit concepts and external restrictions.
Identify the independent and dependent variables to get the number of degrees of
freedom.
4) If the problem formulation is too large in scope:
break it up into manageable parts, or
simplify the objective function and the model
5) Apply a suitable optimization technique for mathematical statement of the problem.
6) Examine the sensitivity of the result, to changes in the values of the parameters in the
problem and the assumptions.
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Classification of Optimization Problems
Introduction
In the previous lecture we studied the basics of an optimization problem and its formulation
as a mathematical programming problem. In this lecture we look at the various criteria for
classification of optimization problems.
Optimization problems can be classified based on the type of constraints, nature of design
variables, physical structure of the problem, nature of the equations involved, deterministic
nature of the variables, permissible value of the design variables, separability of the functions
and number of objective functions. These classifications are briefly discussed below.
Classification based on existence of constraints.
Under this category optimizations problems can be classified into two groups as follows:
Constrained optimization problems: which are subject to one or more constraints.
Unconstrained optimization problems: in which no constraints exist.
Classification based on the nature of the design variables.
There are two broad categories in this classification.
(i) In the first category the objective is to find a set of design parameters that makes a
prescribed function of these parameters minimum or maximum subject to certain constraints.
For example to find the minimum weight design of a strip footing with two loads shown in
Fig 1 (a) subject to a limitation on the maximum settlement of the structure can be stated as
follows.
b 
Find X =   which minimizes
d 
f(X) = h(b,d)
Subject to the constraints  s ( X )   max ; b  0 ; d  0
where  s is the settlement of the footing. Such problems are called parameter or static
optimization problems.

It may be noted that, for this particular example, the length of the footing (l), the loads P1 and
P2 and the distance between the loads are assumed to be constant and the required
optimization is achieved by varying b and d.
(ii) In the second category of problems, the objective is to find a set of design parameters,
which are all continuous functions of some other parameter that minimizes an objective
function subject to a set of constraints. If the cross sectional dimensions of the rectangular
footings are allowed to vary along its length as shown in Fig 3.1 (b), the optimization
problem can be stated as :
 b (t ) 
Find X(t) =   which minimizes
 d (t ) 
f(X) = g( b(t), d(t) )
 s ( X(t) )   max 0 t l
b(t)  0 0 t l
d(t)  0 0 t l
The length of the footing (l) the loads P1 and P2 , the distance between the loads are assumed
to be constant and the required optimization is achieved by varying b and d along the length l.
Here the design variables are functions of the length parameter t. this type of problem, where
each design variable is a function of one or more parameters, is known as trajectory or
dynamic optimization problem.
P1 P1 t
P2 P2
b b(t)
d d(t)
l l
(a) (b)
Figure 1

Classification based on the physical structure of the problem
Based on the physical structure, optimization problems are classified as optimal control and
non-optimal control problems.
(i) Optimal control problems
An optimal control (OC) problem is a mathematical programming problem involving a

number of stages, where each stage evolves from the preceding stage in a prescribed manner.
It is defined by two types of variables: the control or design and state variables. The control
variables define the system and controls how one stage evolves into the next. The state
variables describe the behavior or status of the system at any stage. The problem is to find a
set of control variables such that the total objective function (also known as the performance
index, PI) over all stages is minimized, subject to a set of constraints on the control and state
variables. An OC problem can be stated as follows:
l
Find X which minimizes f(X) =  f (x , y )
i 1
i i i
qi ( xi , yi )  yi  yi 1 i = 1, 2, …., l
g j (x j )  0 , j = 1, 2, …., l
hk ( y k )  0 , k = 1, 2, …., l
Where xi is the ith control variable, yi is the ith state variable, and fi is the contribution of the
ith stage to the total objective function. gj, hk, and qi are the functions of xj, yj ; xk, yk and xi and
yi, respectively, and l is the total number of states. The control and state variables xi and yi
can be vectors in some cases.
(ii) Problems which are not optimal control problems are called non-optimal control
problems.
Classification based on the nature of the equations involved
Based on the nature of equations for the objective function and the constraints, optimization
problems can be classified as linear, nonlinear, geometric and quadratic programming
problems. The classification is very useful from a computational point of view since many

predefined special methods are available for effective solution of a particular type of
problem.
(i) Linear programming problem
If the objective function and all the constraints are ‘linear’ functions of the design variables,
the optimization problem is called a linear programming problem (LPP). A linear
programming problem is often stated in the standard form :
 x1 
x 
 2 
Find X =  . 
.
 
 x n 
n
Which maximizes f(X) = c x
i 1
i i

n
a
i 1
ij xi  b j , j = 1, 2, . . . , m
xi  0 , j = 1, 2, . . . , m
where ci, aij, and bj are constants.
(ii) Nonlinear programming problem
If any of the functions among the objectives and constraint functions is nonlinear, the
problem is called a nonlinear programming (NLP) problem. This is the most general form of
a programming problem and all other problems can be considered as special cases of the NLP
problem.
(iii) Geometric programming problem
A geometric programming (GMP) problem is one in which the objective function and
constraints are expressed as polynomials in X. A function h(X) is called a polynomial (with
m terms) if h can be expressed as
h( X )  c1 x1a11 x2a21  xnan1  c2 x1a12 x2a22  xnan 2    cm x1a1m x2a2 m  xnanm

where cj ( j  1,, m ) and aij ( i  1,, n and j  1,, m ) are constants with c j  0 and
xi  0 .
Thus GMP problems can be posed as follows:
Find X which minimizes

N0
 n aij 
f(X) = 
j 1
c j
  xi
 i 1
,

cj > 0, xi > 0
subject to
Nk
 n qijk 
gk(X) = 
j 1
a jk 
  xi
 i 1
  0,

ajk > 0, xi > 0, k = 1,2,…..,m
where N0 and Nk denote the number of terms in the objective function and in the kth constraint
function, respectively.
(iv) Quadratic programming problem
A quadratic programming problem is the best behaved nonlinear programming problem with
a quadratic objective function and linear constraints and is concave (for maximization
problems). It can be solved by suitably modifying the linear programming techniques. It is
usually formulated as follows:
n n n
F(X) = c   qi xi   Qij xi x j
i 1 i 1 j 1
Subject to
n
a
i 1
ij xi  b j , j = 1,2,….,m
xi  0 , i = 1,2,….,n
where c, qi, Qij, aij, and bj are constants.
Classification based on the permissible values of the decision variables
Under this classification, objective functions can be classified as integer and real-valued
programming problems.

(i) Integer programming problem
If some or all of the design variables of an optimization problem are restricted to take only
integer (or discrete) values, the problem is called an integer programming problem. For
example, the optimization is to find number of articles needed for an operation with least
effort. Thus, minimization of the effort required for the operation being the objective, the
decision variables, i.e. the number of articles used can take only integer values. Other
restrictions on minimum and maximum number of usable resources may be imposed.
(ii) Real-valued programming problem
A real-valued problem is that in which it is sought to minimize or maximize a real function

by systematically choosing the values of real variables from within an allowed set. When the
allowed set contains only real values, it is called a real-valued programming problem.
Classification based on deterministic nature of the variables
Under this classification, optimization problems can be classified as deterministic or

stochastic programming problems.
(i) Stochastic programming problem
In this type of an optimization problem, some or all the design variables are expressed
probabilistically (non-deterministic or stochastic). For example estimates of life span of
structures which have probabilistic inputs of the concrete strength and load capacity is a
stochastic programming problem as one can only estimate stochastically the life span of the
structure.
(ii) Deterministic programming problem
In this type of problems all the design variables are deterministic.
Classification based on separability of the functions
Based on this classification, optimization problems can be classified as separable and non-
separable programming problems based on the separability of the objective and constraint
functions.
(i) Separable programming problems
In this type of a problem the objective function and the constraints are separable. A function
is said to be separable if it can be expressed as the sum of n single-variable functions,
f1 xi , f 2 x2 ,... f n xn  , i.e.

n
f ( X )   f i  xi 
i 1
and separable programming problem can be expressed in standard form as :

n
Find X which minimizes f ( X )   f i  xi 
i 1
subject to
n
g j ( X )   g ij  xi   b j , j = 1,2,. . . , m
i 1
where bj is a constant.
Classification based on the number of objective functions
Under this classification, objective functions can be classified as single-objective and multi-
objective programming problems.
(i) Single-objective programming problem in which there is only a single objective function.
(ii) Multi-objective programming problem
A multiobjective programming problem can be stated as follows:
Find X which minimizes f1  X , f 2  X ,... f k  X 
Subject to
gj(X)  0 , j = 1, 2, . . . , m
where f1, f2, . . . fk denote the objective functions to be minimized simultaneously.
For example in some design problems one might have to minimize the cost and weight of the
structural member for economy and, at the same time, maximize the load carrying capacity
under the given constraints.

Classical and Advanced Techniques for Optimization
In the previous lecture having understood the various classifications of optimization

problems, let us move on to understand the classical and advanced optimization techniques.
Classical Optimization Techniques
The classical optimization techniques are useful in finding the optimum solution or
unconstrained maxima or minima of continuous and differentiable functions. These are
analytical methods and make use of differential calculus in locating the optimum solution.
The classical methods have limited scope in practical applications as some of them involve
objective functions which are not continuous and/or differentiable. Yet, the study of these
classical techniques of optimization form a basis for developing most of the numerical
techniques that have evolved into advanced techniques more suitable to today’s practical
problems. These methods assume that the function is differentiable twice with respect to the
design variables and that the derivatives are continuous. Three main types of problems can be
handled by the classical optimization techniques, viz., single variable functions, multivariable
functions with no constraints and multivariable functions with both equality and inequality
constraints. For problems with equality constraints the Lagrange multiplier method can be
used. If the problem has inequality constraints, the Kuhn-Tucker conditions can be used to
identify the optimum solution. These methods lead to a set of nonlinear simultaneous
equations that may be difficult to solve. These classical methods of optimization are further
discussed in Module 2.
The other methods of optimization include
• Linear programming: studies the case in which the objective function f is linear and
the set A is specified using only linear equalities and inequalities. (A is the design
variable space)
• Integer programming: studies linear programs in which some or all variables are
constrained to take on integer values.
• Quadratic programming: allows the objective function to have quadratic terms,
while the set A must be specified with linear equalities and inequalities.
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• Nonlinear programming: studies the general case in which the objective function or
the constraints or both contain nonlinear parts.
• Stochastic programming: studies the case in which some of the constraints depend
on random variables.
• Dynamic programming: studies the case in which the optimization strategy is based
on splitting the problem into smaller sub-problems.
• Combinatorial optimization: is concerned with problems where the set of feasible
solutions is discrete or can be reduced to a discrete one.
• Infinite-dimensional optimization: studies the case when the set of feasible solutions
is a subset of an infinite-dimensional space, such as a space of functions.
• Constraint satisfaction: studies the case in which the objective function f is constant
(this is used in artificial intelligence, particularly in automated reasoning).
Most of these techniques will be discussed in subsequent modules.
Advanced Optimization Techniques
• Hill climbing
Hill climbing is a graph search algorithm where the current path is extended with a
successor node which is closer to the solution than the end of the current path.
In simple hill climbing, the first closer node is chosen whereas in steepest ascent hill
climbing all successors are compared and the closest to the solution is chosen. Both
forms fail if there is no closer node. This may happen if there are local maxima in the
search space which are not solutions. Steepest ascent hill climbing is similar to best
first search but the latter tries all possible extensions of the current path in order,
whereas steepest ascent only tries one.
Hill climbing is used widely in artificial intelligence fields, for reaching a goal state
from a starting node. Choice of next node starting node can be varied to give a
number of related algorithms.
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• Simulated annealing
The name and inspiration come from annealing process in metallurgy, a technique
involving heating and controlled cooling of a material to increase the size of its
crystals and reduce their defects. The heat causes the atoms to become unstuck from
their initial positions (a local minimum of the internal energy) and wander randomly
through states of higher energy; the slow cooling gives them more chances of finding
configurations with lower internal energy than the initial one.
In the simulated annealing method, each point of the search space is compared to a
state of some physical system, and the function to be minimized is interpreted as the
internal energy of the system in that state. Therefore the goal is to bring the system,
from an arbitrary initial state, to a state with the minimum possible energy.
• Genetic algorithms
A genetic algorithm (GA) is a search technique used in computer science to find
approximate solutions to optimization and search problems. Specifically it falls into
the category of local search techniques and is therefore generally an incomplete
search. Genetic algorithms are a particular class of evolutionary algorithms that use
techniques inspired by evolutionary biology such as inheritance, mutation, selection,
and crossover (also called recombination).
Genetic algorithms are typically implemented as a computer simulation. in which a

population of abstract representations (called chromosomes) of candidate solutions
(called individuals) to an optimization problem, evolves toward better solutions.
Traditionally, solutions are represented in binary as strings of 0s and 1s, but different
encodings are also possible. The evolution starts from a population of completely
random individuals and occur in generations. In each generation, the fitness of the
whole population is evaluated, multiple individuals are stochastically selected from
the current population (based on their fitness), and modified (mutated or recombined)
to form a new population. The new population is then used in the next iteration of the
algorithm.
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• Ant colony optimization

In the real world, ants (initially) wander randomly, and upon finding food return to
their colony while laying down pheromone trails. If other ants find such a path, they
are likely not to keep traveling at random, but instead follow the trail laid by earlier
ants, returning and reinforcing it, if they eventually find any food.
Over time, however, the pheromone trail starts to evaporate, thus reducing its
attractive strength. The more time it takes for an ant to travel down the path and back
again, the more time the pheromones have to evaporate. A short path, by comparison,
gets marched over faster, and thus the pheromone density remains high as it is laid on
the path as fast as it can evaporate. Pheromone evaporation has also the advantage of
avoiding the convergence to a local optimal solution. If there was no evaporation at
all, the paths chosen by the first ants would tend to be excessively attractive to the
following ones. In that case, the exploration of the solution space would be
constrained.
Thus, when one ant finds a good (short) path from the colony to a food source, other
ants are more likely to follow that path, and such positive feedback eventually leaves
all the ants following a single path. The idea of the ant colony algorithm is to mimic
this behavior with "simulated ants" walking around the search space representing the
problem to be solved.
Ant colony optimization algorithms have been used to produce near-optimal solutions
to the traveling salesman problem. They have an advantage over simulated annealing
and genetic algorithm approaches when the graph may change dynamically. The ant
colony algorithm can be run continuously and can adapt to changes in real time. This
is of interest in network routing and urban transportation systems.
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References / Further Reading:
1. Deb K., Multi-Objective Optimization using Evolutionary Algorithms, First Edition, John
Wiley & Sons Pte Ltd, 2002.
2. Deb K., Optimization for Engineering Design – Algorithms and Examples, Prentice Hall
of India Pvt. Ltd., New Delhi, 1995.
3. Dorigo M., and T. Stutzle, Ant Colony Optimization, Prentice Hall of India Pvt. Ltd., New
Delhi, 2005.
4. Hillier F.S. and G.J. Lieberman, Operations Research, CBS Publishers & Distributors,
New Delhi, 1987.
5. Jain S.K. and V.P. Singh, Water Resources Systems Planning and Management, Elsevier
B.V., The Netherlands, 2003.
6. Loucks, D.P., J.R. Stedinger, and D.A. Haith, Water Resources Systems Planning and
Analysis, Prentice – Hall, N.J., 1981.
7. Mays, L.W. and K. Tung, Hydrosystems Engineering and Management, McGraw-Hill
Inc., New York, 1992.
8. Rao S.S., Engineering Optimization – Theory and Practice, Third Edition, New Age
International Limited, New Delhi, 2000
9. Ravindran A., D.T. Phillips and J.J. Solberg, Operations Research – Principles and
Practice, John Wiley & Sons, New York, 2001.
10. Taha H.A., Operations Research – An Introduction, Prentice-Hall of India Pvt. Ltd., New
Delhi, 2005.
11. Vedula S., and P.P. Mujumdar, Water Resources Systems: Modelling Techniques and
Analysis, Tata McGraw Hill, New Delhi, 2005.
M1L4

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Chapter · September 2018

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Ass. Prof. Dr Abbas Mahde Abd

Optimization is the process of

Ass. Prof. Dr Abbas Mahde Abd

1. Introduction Historical Development; Engineering applications of Optimization;

Optimization techniques – classical and advanced techniques 2

2. Optimization Stationary points; Functions of single and two variables; Global

Convexity and concavity of functions of one and two variables 1 6

Optimization of function of multiple variables subject to equality

Optimization of function of multiple variables subject to equality

Kuhn-Tucker Conditions; Examples 1

3. Linear Standard form of linear programming (LP) problem; Canonical form

Motivation of simplex method, Simplex algorithm and construction of

Revised simplex method; Duality in LP; Primal-dual relations; Dual

Ass. Prof. Dr Abbas Mahde Abd 2

4. Linear Use of software for solving linear optimization problems using

5. Dynamic Sequential optimization; Representation of multistage decision

Discrete versus continuous dynamic programming; Multiple state

6. Dynamic Problem formulation and application in Design of continuous beam

Capacity expansion and Reservoir operation 2

7. Integer Integer linear programming; Concept of cutting plane method 2

8. Advanced Piecewise linear approximation of a nonlinear function 1

Direct and indirect search methods 1

Evolutionary algorithms for optimization and search 1

Applications in civil engineering 1

Ass. Prof. Dr Abbas Mahde Abd 3

Module – 1 Lecture Notes – 1

Historical Development and Model Building

Some of the major developments in the area of numerical methods of unconstrained

• Development of the simplex method by Dantzig in 1947 for linear programming

Ass. Prof. Dr Abbas Mahde Abd 4

Ass. Prof. Dr Abbas Mahde Abd 5

Engineering applications of optimization

• Design of civil engineering structures such as frames, foundations, bridges, towers,

Ass. Prof. Dr Abbas Mahde Abd 6

• Designing the shortest route to be taken by a salesperson to visit various cities in a

Art of Modeling: Model Building

Model development includes the mathematical description, parameter estimation, input

Ass. Prof. Dr Abbas Mahde Abd 7

model. The performance of the model is to be evaluated using standard performance

Ass. Prof. Dr Abbas Mahde Abd 8

Module – 1 Lecture Notes – 2

Optimization Problem and Model Formulation

Basic components of an optimization problem:

Ass. Prof. Dr Abbas Mahde Abd 9

• No objective function. In some cases (for example, design of integrated circuit

Statement of an optimization problem

An optimization or a mathematical programming problem can be stated as follows:

Subject to the constraints

Ass. Prof. Dr Abbas Mahde Abd 10

C1 > C2 > C3 >C4 …..> Cn

Optimization problems can be defined without any constraints as well.

Ass. Prof. Dr Abbas Mahde Abd 11

Constraints can be broadly classified as:

1) Behavioral or Functional constraints: These represent limitations on the behavior

2) Geometric or Side constraints: These represent physical limitations on design

Ass. Prof. Dr Abbas Mahde Abd 12

1. Free and acceptable point

2. Free and unacceptable point

Ass. Prof. Dr Abbas Mahde Abd 13

break it up into manageable parts, or

simplify the objective function and the model