The Nonlinear Programming Solver

Some constraints have both lower and upper bounds (that is, ). These constraints are called range constraints. The NLP solver can handle range constraints in an efficient way. Consider the following NLP problem, taken from Hock and Schittkowski (1981),

where the values of the parameters , are shown in Table 8.4.

The initial point used is . You can call the NLP solver within PROC OPTMODEL to solve this problem by writing the following statements:

proc optmodel;
   number l {1..5} = [78 33 27 27 27];
   number u {1..5} = [102 45 45 45 45];

   number a {1..12} = 
      [85.334407 0.0056858 0.0006262 0.0022053
      80.51249 0.0071317 0.0029955 0.0021813
      9.300961 0.0047026 0.0012547 0.0019085];

   var x {j in 1..5} >= l[j] <= u[j];

   minimize f = 5.35*x[3]^2 + 0.83*x[1]*x[5] + 37.29*x[1] 
                  - 40792.141;

   con constr1: 
      0 <= a[1] + a[2]*x[2]*x[5] + a[3]*x[1]*x[4] - 
         a[4]*x[3]*x[5] <= 92;
   con constr2: 
      0 <= a[5] + a[6]*x[2]*x[5] + a[7]*x[1]*x[2] + 
         a[8]*x[3]^2 - 90 <= 20;
   con constr3: 
      0 <= a[9] + a[10]*x[3]*x[5] + a[11]*x[1]*x[3] + 
         a[12]*x[3]*x[4] - 20 <= 5;

   x[1] = 78;
   x[2] = 33;
   x[3] = 27;
   x[4] = 27;
   x[5] = 27;

   solve with nlp / algorithm=activeset;
   print x;
quit;

The summaries and solution are shown in Output 8.3.1.