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NONLINEAR
PROGRAMMING
Theory and Algorithms
Third Edition
M O K H TA R S . B A Z A R A A
HANIF D. SHERALI
C. M. SHETTY
Pre p a re d by H A N I F D . S H E R A L I
JOANNA LELENO
Solutions Manual
to Accompany
Nonlinear Programming:
Theory and Algorithms
Solutions Manual
to Accompany
Nonlinear Programming:
Theory and Algorithms
Third Edition
Mokhtar S. Bazaraa
Department of Industrial and Systems Engineering
Georgia Institute of Technology
Atlanta, GA
Hanif D. Sherali
Department of Industrial and Systems Engineering
Virginia Polytechnic Institute and State University
Blacksburg, VA
C. M. Shetty
Department of Industrial and Systems Engineering
Georgia Institute of Technology
Atlanta, GA
Published by John Wiley & Sons, Inc., Hoboken, New Jersey. All rights reserved.
Published simultaneously in Canada.
No part of this publication may be reproduced, stored in a retrieval system or transmitted in any form
or by any means, electronic, mechanical, photocopying, recording, scanning or otherwise, except as
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ISBN 978-1-118-76237-0
10 9 8 7 6 5 4 3 2 1
TABLE OF CONTENTS
2.1, 2.2, 2.3, 2.7, 2.8, 2.12, 2.15, 2.21, 2.24, 2.31, 2.42, 2.45,
2.47, 2.49, 2.50, 2.51, 2.52, 2.53, 2.57
3.1, 3.2, 3.3, 3.4, 3.9, 3,10, 3.11, 3.16, 3.18, 3.21, 3.22, 3.26,
3.27, 3.28, 3.31, 3.37, 3.39, 3.40, 3.41, 3.45, 3.48, 3.51, 3.54,
3.56, 3.61, 3.62, 3.63, 3.64, 3.65
4.1, 4.4, 4.5, 4.6, 4.7, 4.8, 4.9, 4.10, 4.12, 4.15, 4.27, 4.28, 4.30,
4.31, 4.33, 4.37, 4.41, 4.43
6.2, 6.3, 6.4, 6.5, 6.7, 6.8, 6.9, 6.14, 6.15, 6.21, 6.23, 6.27, 6.29,
8.10, 8.11, 8.12, 8.18, 8.19, 8.21, 8.23, 8.27, 8.28, 8.32, 8.35,
8.41, 8.47, 8.51, 8.52
10.3, 10.4, 10.9, 1.012, 10.19, 10.20, 10.25, 10.33, 10.36, 10.41,
10.44, 10.47, 10.52
v
Chapter 11: Linear Complementary Problem, and Quadratic, Separable,
Fractional, and Geometric Programing ........................................ 134
11.1, 11.5, 11.12, 11.18, 11.19, 11.22, 11.23, 11.24, 11.36, 11.41,
11.42, 11.47, 11.48, 11.50, 11.51, 11.52
vi
CHAPTER 1:
INTRODUCTION
1.1 In the figure below, xmin and xmax denote optimal solutions for Part (a)
and Part (b), respectively.
x2
2
(4, 2)
3 2 3 0 2 3 4 x1
2
1.2 a. The total cost per time unit (day) is to be minimized given the storage
limitations, which yields the following model:
d Q d Q
Minimize f (Q1 , Q2 ) k1 1 h1 1 k2 2 h2 2 c1d1 c2 d 2
Q1 2 Q2 2
subject to s1Q1 s2Q2 S
Q1 0, Q2 0.
Note that the last two terms in the objective function are constant and
thus can be ignored while solving this problem.
1.6 Let X denote the set of feasible portfolios. The task is to find an x X
such that there does not exist an x X for which c t x c t x and
t
x t V x x V x , with at least one inequality strict. One way to find
efficient portfolios is to solve:
Maximize {1c t x 2 xt V x : x X }
for different values of ( 1 , 2 ) 0 such that 1 2 1.
1.10 Let x and p denote the demand and production levels, respectively, and let
Z denote a standard normal random variable. Then we need p to be such
that P ( p x 5) 0.01, which by the continuity of the normal random
variable is equivalent to P ( x p 5) 0.01. Therefore, p must satisfy
2
p 5 150
P(Z ) 0.01,
7
where Z is a standard normal random variable. From tables of the standard
normal distribution we have P( Z 2.3267) 0.01. Thus, we want
p 145
2.3267, or that the chance constraint is equivalent to
7
p 161.2869.
1.13 We need to find a positive number K that minimizes the expected total
cost. The expected total cost is (1 p ) P ( x K 2 )
pP ( x K 1 ). Therefore, the mathematical programming problem
can be formulated as follows:
K
Minimize (1 p ) f ( x 2 )dx p f (x 1 )dx
0 0
subject to K 0.
If the conditional distribution functions F ( x 2 ) and F ( x 1 ) are
p(1 F ( K 1 )).
3
CHAPTER 2:
CONVEX SETS
S1
S2
2.3 Consider the closed set S shown below along with conv( S ) , where
conv( S ) is not closed:
4
Now, suppose that S p is closed. Toward this end, consider any
sequence {xn } x , where xn conv( S ) , n . We must show that
x conv ( S ) . Since xn conv( S ) , by definition (using Theorem 2.1.6),
p 1
we have that we can write xn nr xnr , where xnr S for
r 1
p 1
r 1,..., p 1, n , and where nr 1 , n , with nr 0 , r , n .
r 1
Since the nr -values as well as the xnr -points belong to compact sets,
there exists a subsequence K such that {nr }K r , r 1,..., p 1 ,
and {xnr } x r , r 1,..., p 1 . From above, we have taking limits as
n , n K , that
p 1 p 1
x r x r , with r 1 , r 0 , r 1,..., p 1 ,
r 1 r 1
r
where x S , r 1,..., p 1 since S is closed. Thus by definition,
x conv( S ) and so conv( S ) is closed.
2.7 a. Let y1 and y 2 belong to AS. Thus, y1 Ax1 for some x1 S and
y 2 = Ax 2 for some x 2 S . Consider y y1 (1 ) y 2 , for any
0 1. Then y A[ x1 (1 ) x 2 ] . Thus, letting
1 2
x x (1 ) x , we have that x S since S is convex and that
y Ax . Thus y AS , and so, AS is convex.
2.8 S1 S 2 {( x1 , x2 ) : 0 x1 1, 2 x2 3}.
5
S1 S2 {( x1 , x2 ) : 1 x1 0, 2 x2 1}.
Consider the following example, where S1 and S 2 are closed, and convex.
S1 S2
6
2.15 a. First, we show that conv( S ) Sˆ . For this purpose, let us begin by
showing that S1 and S 2 both belong to Ŝ . Consider the case of S1
(the case of S 2 is similar). If x S1 , then A1 x b1 , and so, x Sˆ
with y = x, z = 0, 1 1, and 2 0 . Thus S1 S2 Sˆ , and since
Ŝ is convex, we have that conv[ S1 S2 ] Sˆ .
Next, we show that Sˆ conv( S ) . Let x Sˆ . Then, there exist
vectors y and z such that x y z , and A1 y b11 , A2 z b2 2 for
some (1 , 2 ) 0 such that 1 2 1 . If 1 0 or 2 0 , then
we readily obtain y = 0 or z = 0, respectively (by the boundedness of
S1 and S2 ), with x z S2 or x y S1 , respectively, which
yields x S , and so x conv( S ) . If 1 0 and 2 0 , then
1 1
x 1 y1 2 z2 , where y1 y and z2 z . It can be easily
1 2
verified in this case that y1 S1 and z2 S 2 , which implies that both
vectors y1 and z2 are in S. Therefore, x is a convex combination of
points in S, and so x conv( S ) . This completes the proof
7
1
Note that y y S1 , z S 2 , and so xn conv ( S ) , n .
n
Moreover, letting {n } 0 , we get that {xn } y z x , and so
x cconv( S ) by definition. This completes the proof.
2.21 a. The extreme points of S are defined by the intersection of the two
defining constraints, which yield upon solving for x1 and x2 in terms
of x3 that
3 x3 5 2 x3 5
x1 1 5 2 x3 , x2 , where x3 .
2 2
For characterizing the extreme directions of S, first note that for any
fixed x3 , we have that S is bounded. Thus, any extreme direction must
have d3 0 . Moreover, the maximum value of x3 over S is readily
verified to be bounded. Thus, we can set d3 1. Furthermore, if
x (0, 0, 0) and d (d1 , d 2 , 1) , then x d S , 0 , implies
that
d1 2d 2 1 (1)
8
c. From a plot of S, it is readily seen that the extreme points of S are
given by (0, 0), plus all point on the circle boundary x12 x22 2 that
lie between the points ( 2/5, 2 2/5) and ( 2/5, 2 2/5) ,
including the two end-points. Furthermore, since S is bounded, it has
no extreme direction.
2.31 The following result from linear algebra is very useful in this proof:
() An (m 1) (m 1) matrix G with a row of ones is invertible if and
only if the remaining m rows of G are linearly independent. In other words,
B a
if G t , where B is an m m matrix, a is an m 1 vector, and e
e 1
is an m 1 vector of ones, then G is invertible if and only if B is
invertible. Moreover, if G is invertible, then
M g 1 1
G 1 t , where M B 1 ( I aet B 1 ) , g B 1a ,
h f
1 1
ht et B 1 , and f , and where 1 et B 1a .
By Theorem 2.6.4, an n-dimensional vector d is an extreme point of D
A
if and only if the matrix t can be decomposed into [ BD N D ] such that
e
dB 1 0
d , where d N = 0 and d B BD bD 0 , where bD 1 . From
N
A
Property () above, the matrix t can be decomposed into [ BD N D ] ,
e
where BD is a nonsingular matrix, if and only if A can be decomposed into
[ B N ] , where B is an m m invertible matrix. Thus, the matrix BD must
9
B aj
necessarily be of the form t , where B is an m m invertible
e 1
submatrix of A. By applying the above equation for the inverse of G, we
obtain
1
B 1a j 1 1
B a j
d B BD bD
1
,
1
1
where 1 et B 1a j . Notice that d B 0 if and only if 0 and
n
m 1
n!
( m 1)!( n m 1)!
,
1
which is fewer by a factor of than that of the Corollary to
( m 1)
Theorem 2.6.6.
2.45 Consider the following pair of primal and dual LPs, where e is a vector of
ones in m :
P: Max et p D: Min 0t x
t
subject to A p 0 Ax e
p 0. x unres.
Then, System 2 has a solution P is unbounded take any feasible
solution to System 2, multiply it by a scalar λ, and take D
10
is infeasible since P is homogeneous ∄ a solution to Ax 0
∄ a solution to Ax 0 .
11
2.50 Consider the pair of primal and dual LPs below, where e is a vector of
ones in p :
P: Max et u D: Min 0t x
subject to At u Bt v 0 subject to Ax e
u 0, v unres. Bx 0
x unres.
Hence, System 2 has a solution P is unbounded (take any solution to
System 2 and multiply it with a scalar λ and take D is
infeasible since P is homogeneous there does not exist a solution
to Ax 0 , Bx 0 System 1 has no solution.
where ei is the ith unit vector. Then, we have that System II has a solution
P is unbounded D is infeasible System I has no solution. Thus,
exactly one of the systems has a solution for each i {1,..., m} . Let
I1 {i {1,..., m} : System I has a solution; say xi } , and let
12
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cannot be any, because it is a simple and absolute impossibility, that
God should be the author of sin as these arguments do sufficiently
testifie.
1. That of James 1. 13. Argum. 1.
necessity must be Deut. 32. 3. Psal. 5. 4.
false, which the
Scriptures do declare to be so, in open and plain terms. But that God
should be the author of sin or evil, the Scriptures do deny in open
and plain terms, as where the Text saith: God cannot be tempted
with evil: where both the act, and the possibility of it is absolutely
denied. Again: For thou art not a God that hast pleasure in
wickedness, neither shall evil dwell with thee. Therefore it is false
that God is, or can be the author of sin; and so by consequence the
supposed absurdity is a meer impossibility; and an absurdity urged
that is impossible, is most of all absurd.
2. He is ens summè perfectum, & Argum. 2.
quicquid est in Deo, est Deus; but sin
howsoever understood, or accepted, is an imperfection, defect and an
aberration from a just and perfect rule, and therefore it is simply
impossible that God can be the cause of any thing that is imperfect,
sinful or evil, if sin be considered as malum culpæ.
3. God is not Rom. 4. 15. Argum. 3.
under any binding
law given to him by some other, for then he should cease to be
supream, independent and omnipotent: Now to whom there is no
law given to observe, there can be no transgression, for the Apostle
saith, where there is no law, there is no transgression; and therefore
it is simply impossible that God should be the author, or causer of
sin, or evil, because there is no law that he can transgress against.
4. God De Civitat. Dei, l. 2. Argum. 4.
prohibiteth and c. 7.
hateth sin, as the Scriptures do every where testifie, but God is the
cause of nothing but that which he loveth, and therefore cannot be
the cause of the evil of sin. And to speak properly sin hath no
efficient cause, but a deficient, such as is the will of faln Angels, and
wicked Men, whose irregularity of will, from the command of God, is
all the cause that sin and evil hath or can have. An efficient cause is
only of those things that are good, because every efficient cause doth
by working put something in being: But privations (of which sort are
sins) do put nothing in being, but do truly note the absence of beings.
Therefore did S. Augustine say well: Mali causa efficiens nulla est,
sed tantùm deficiens.
5. That which Gen. 1. 3. Argum. 5.
properly hath an 1 John 3. 8. John 8. 44.
efficient cause,
hath also an end properly so called: But sin hath not an end properly
so called, because the end is being, and therefore good, and the
perfection of the thing. But the Scripture doth declare that all things
that God created were exceeding good; and that the cause of sin was
Man, and the Devil; for the text saith, that the Devil was a murderer
from the beginning, and abode not in the truth: And again, He that
committeth sin, is of the Devil, for the Devil sinneth from the
beginning. Therefore from hence it is clear, that God neither is nor
can be the author or causer of sin.
6. That which Vid. Schar. de Argum. 6.
God is the author miser. hom. stat.
of, doth not make sub peccato, c. 3.
Man worse. but sin doth make Man worse, Fulgent. lib. 1. ad
therefore God is not the author of it. And all Monim
sin is perpetrated, because thereby it receeded from the order that
respecteth God, as the ultimate end of all things; but God doth
incline all things unto himself, as to the ultimate end, neither doth he
turn them from himself, because he is summum bonum. And further
as Fulgentius saith: Deus non est ejus rei autor, cujus est ultor. At
Deus est peccati ultor, ergo non autor. And therefore we conclude,
that this is a vain pretence of an absurdity, because it is impossible
that God should be the author or causer of sin.
This plausible pretence to seem to be Job 13. 7.
zealous, not to make God the author of sin,
we commend as allowable; but it is but like the zeal of the Scribes
and Pharisees, which was without knowledge, because they pretend
that for an absurdity, that is a simple impossibility. And they ought
to remember the argument of Job, which is this: will ye speak
wickedly for God? and talk deceitfully for him? For as we ought not
to suppose, or imply him to be the author of sin; so we ought not to
rob him of his Glory, by detracting from his power and providence,
nor in ascribing that unto Creatures, that is only due unto the
Creator; as those do that hold a nude passive permission in him
separate from his will and decree in his providence. Neither doth the
denying of this any way imply that he is the author of sin, for a
providential permission we allow as the act of his will and decree, as
we shall shew hereafter.
Now concerning permission in God, being a suspension of his
efficiency in regard of some acts permitted to the creatures, and that
for just and good ends, the definition of it and its affections or
properties are so darkly handled even by those that make most ado
about it, that it would serve rather to divert Men from the right way
than to guide them in it, or unto it. Therefore here we shall only note
these three things, and pursue it more fully hereafter. 1. There must
be the person or power permitting that hath ability, right and
authority so to do. 2. There must be the person or power permitted
that hath ability to perform the thing permitted, otherwise it would
be in vain, and to no purpose. 3. There must be the thing or action
that is permitted to be done, or brought to pass, by the person
permitted to act, and that must not be impossible.
1. Before the Creation it is meerly improper to attribute permission
unto God, because there was no person, nor power besides himself
that could act any thing, and therefore could not be permitted, and
so the correlative being awanting, both the relative and the relation
betwixt them must necessarily fall to the ground, as having no
existence; and so it is impossible that permission should be in God
when there was no Creature to be permitted, and so could not be
attributed unto him before the Creation.
2. It is as Job 34. 14, 15. Heb. 1. 3.
improper to Psal. 104. 19. Vid. Chrysost. in
attribute Verse 9. Loc.
permission unto Job 38. 11. Psal. 107. 25.
God in respect of De Caus. Dei, l. 1. c. Jerem. 5. 22.
the Physical 2. p. 165.
agency of second Exod. 14. 21, 22, 23. Isai. 38. 8.
causes, because he
Jonah 1. 4. Id. v. 17.
not only worketh
Psal. 119. 91. Id. 2. 10.
all in all, and by
his Divine Thom. de Christ. Greg. 16. mor. 4.
Religion. 133.
concourse and De Caus. Dei, p. 171.
conservative power sustaineth all things by
the word of his power, and Job tells us: If he gather unto himself his
spirit and breath, all flesh shall perish together, and man shall turn
again into dust. Upon which place of the Hebrews S. Chrysostome
saith thus: Feratq; inquit omnia, hoc est, gubernet omnia. Siquidem
cadentia, & ad nihilum tendentia continet. Non enim minus est
continere mundum quàm fecisse: Sed si oportet aliquid quod
admireris dicere, adhuc amplius est. Nam in faciendo quidem, ex
nullis extantibus rerum essentiæ productæ sunt: in continendo verò,
ea quæ facta sunt, ne ad nihilum redeant continentur. Hæc ergo
dum reguntur, & ad invicem sibi repugnantia coaptantur, magnum
& valdè mirabile, plurimæq; virtutis judicium declaratur: But also
because he hath set all natural things their bounds, and ordered,
decreed and determined their ends in acting. Now what he hath
appointed, ordered and decreed to be the agency of every creature,
and determinated its end in acting, cannot properly be called
permission, but his will, ordination and providence. As if one should
say he suffereth and permitteth the Sun and Moon to run their
course, it is an improper expression and injurious to his wisdom and
power in his providential government of the creatures, seeing that it
is a certain truth, Deus operatur in omni operante: And he hath
appointed the Moon for seasons, and the sun knoweth his going
down. And it is absurd to say he suffereth the Sea to Ebb and Flow,
when he hath set it a bound that it cannot pass over. For he
commandeth, and raiseth the stormy wind, which lifteth up the
waves thereof. And said, hitherto shalt thou come and no further:
And here shall thy proud waves be staid. And again, Will ye not
tremble at my presence saith the Lord, which have placed the sand
for the bound of the sea, by a perpetual decree that it cannot pass it,
and though the waves thereof toss themselves, yet can they not
prevail; though they roar, yet can they not pass over it. And
therefore we may conclude that the whole Creation in respect of
Physical agency is ruled according to those orders, and not by a
fortuitous chance, or a bare passive permission. 1. For first all
creatures have their Physical agency, and the affections and
properties thereof ordained by God in the Creation, and according to
this they constantly act, except they be turned, altered, or suspended
by the Creator himself, and he doth immediately act in them all, and
they cannot properly be said to be permitted. 2. They are upholden,
sustained and conserved in their several conditions, by the word of
his mighty power, his continual concourse and divine emanation,
which if it should but cease one minute, the whole Creation would
fall into that nothing, from whence his Eternal and Omnipotent Fiat
did raise and call them forth, so that we dare affirm with profound
Bradwardine, Quod necesse est Deum servare quamlibet
Creaturam immediatiùs quacunq; causa creata. 3. When he
pleaseth he doth suspend the effects and agency of natural causes, as
in making the Sun stand still in the victory of Joshua, and of the
three Children in the fiery Furnace. Sometimes he causeth them to
act contrary to their innate powers and qualities, as in making the
shaddow go ten degrees back in Ahaz sun-dial: and in causing the
waters of the red sea, contrary to their natures, which are to tend
downwards, to be divided, and to go backward, and to be as a wall
on the right hand, and on the left, until Moses, and the children of
Israel were passed through. And by many other wayes and means
doth he alter and change the course of natural agents, to serve his
will and good pleasure in his mercy, or in his justice, and yet here is
no bare or passive permission. 4. Besides these he ordereth all the
particular acts of natural agents, to be subservient unto his will: So
when Jonah fled to Tarshish, the Lord sent forth a great wind into
the sea, and raised a mighty tempest to overtake Jonah; and when
he was cast into the Sea, the Lord prepared a great fish to swallow
him up, and also the Lord spake unto the fish, and it vomited up
Jonah upon the dry land. Now the wind was not carried nor the
storm raised, by a permissive power, but by the will and order of the
Lord Jehovah, who sent them, and directed them either by his
immediate power, or by the ministry of his Angels; and though they
wrought according to their natural agency, yet the special ordering as
to the particular act was not by permission, but by the will and
appointment of his providence. Neither did the great fish come by
chance or permission, but God in his merciful providence had
prepared him for the preservation of Jonah, and caused him to be
vomited on the dry land; so that all creatures do not only continue
according to his ordinances, but also all elementary, and irrational
creatures do praise the Lord by fulfilling his word, will and
providence. And lest we be either censured to wrest the Scriptures, or
to be single in this opinion, take the judgment of some few others. S.
Gregory (as he is quoted by learned Bradwardine) tells us thus
much: Quis de Deo ista vel desipiens suspicetur, qui nimirùm dum
sit semper omnipotens, sic intendit omnibus, ut assit singulis; sic
adest singulis, ut simul omnibus nunquam desit; sic itaq; exteriora
circundat, ut interiora impleat; sic interiora implet, ut exteriora
circundet; sic summa regit, ut ima non deserat; sic imis præsens
est, ut à superioribus non recedat. And Thomas Aquinas their great
Schoolman (as the same author cites him) saith: Quòd Deus
immediatè ordinat omnes effectus per seipsum, licet per causas
medias exequatur, sed in ipsâ executione quodammodò immediatè
se habet ad omnes effectus, in quantum omnes causæ mediæ agunt
in virtute causæ primæ, ut quodammodo ipse in omnibus agere
videatur, & omnia opera secundarum causarum ei possunt attribui,
sicut artifici attribuitur opus instrumenti. Therefore we will
conclude this with that of S. Augustine: Proculdubio nullus est locùs
ab ejus præsentia absens; super omnem creaturam quippè præsidet
regendo, subtus est omnia sustinendo, non pondere laboris, sed
infatigabili virtute, quoniam nulla creatura ab eo condita per se
subsistere valet, nisi ab illo sustentetur, qui eam creavit. Extra
omnia est, sed non exclusus, intra omnia, sed non conclusus. And
these places need no fiction of an Hebraism to expound them, nor no
device of a verb of an active termination, and a permissive
signification to evade the pressure of this truth. And therefore in
respect of Physical agency we are bold with Bradwardine to assert
these three Corollaries.
I am not insensible what great censure I may incurr for entring upon
such a ticklish and nice point as the corporeity or incorporeity of
Angels, seeing it hath exercised and crucified the wits of the most
learned in all ages, especially being but an obscure person, and not
heightned with those lofty titles that usually elevate Mens fames,
more by those attributes than by the weight and strength of their
arguments. Yet it being no necessary Article of the Christian Faith,
but that a Man may lawfully defend either, it cannot rationally be
judged by understanding Readers either to be pride or just offence
for me to handle this subject. For seeing that most of the Christian
and Learned Fathers for the space of four hundred years after Christ,
were of the opinion that they were corporeal, it can be no novelty in
me to revive or assert that opinion, and therefore I shall labour to
make it manifest in this ensuing order.
1. There is a late Nov. Organ. lib. 1. The immort. of the
way of arguing p. 49. Soul, p. 7, 8.
taken up by Dr. Moore and others, that they Ibid. p. 21.
will undertake to prove a thing to be so or
so, or else to make Man to deny his own faculties. And so the said
Doctor doth undertake to prove the existence of immaterial and
incorporeal beings, or else he thinketh he bringeth Men to deny their
own faculties: And these faculties he maketh to be, common notions,
external sense, and evident and undeniable deductions of reason.
And concludeth that, what is not consonant to all or some of these is
meer fancy, and is of no moment for the evincing of truth or
falshood, by either its vigour or perplexiveness. But this will not