Milind Sohoni: DMO Notes

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Formulating Optimization Problems

Here are a few things one should remember while formulating optimization problems: 1. Understand the problem (a) Know what the goal(s) and restrictions are. (b) Clarify any ambiguities - make sure everything is clear to you. If youre not sure, ask! (c) What types of variables do you think you will need? (Non-integer? Integer? Binary?) (d) What type of optimization problem do you think you can model this as? 2. Identify the decisions that need to be made. Dene a variable for each one. (a) What questions does the optimization need to answer? (b) Does answering those questions give a complete picture of the solution? 3. Dene an objective function to measure how good a possible solution is, based on the goal of the optimization problem. (a) Can you write the objective using the variables that you have dened? If not, dene more variables and try again. (b) If your objective is hard (hard nonlinear, for example), can you make it easier by dening more variables? If so, do it. (c) If possible, make your objective function linear (or easy nonlinear). 4. Add constraints to make sure that your solution will obey all of the restrictions of the problem. (a) Can you write all of the constraints using the variables that you have dened? If not, dene more variables and try again. (b) Make sure you also write constraints for logical restrictions - for example, if a warehouse is not built, it must be zero square feet. This is especially important if you have dened new variables in steps 3 and/or 4.
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The following text is based on notes provided by Joel Sokol, Professor, Industrial & Systems Engineering,

Georgia Institute of Technology.

Milind Sohoni: DMO Notes

(c) Are your constraints linear? If not, can you dene more variables so that you can write linear constraints? (d) Are your constraints as good as possible? For example, if you use a big M to denote a large number, what is the best value of M that you can use? (e) Dont forget to include the basics, like non-negativity, integer, and binary constraints. 5. Go back and check! Make sure all the constraints are correct, and that they really dene the restrictions you want them to. Make sure the objective function is accurate, and that the values of the variables in an optimal solution will tell you exactly what decisions to make. (a) What type of optimization problem have you ended up with? Is it the same as what you expected? Why or why not?