2. Structured linear optimization models

This chapter is devoted to the introduction of some classes of linear optimization problems with a special “structure”. Before starting with quite a large number of special models, let us introduce the basic terminology first. All of the optimization models we will be presenting can be represented as constrained optimization models in \(\R^n\):

\begin{align*} \min_{\var{x} \in S \subseteq \R^n} f(x) \end{align*}

Here \(\var{x}\) is the vector of decision variables; the set \(S\) is the feasible set, while \(f: \R^n\rightarrow \R\) is called objective function. In a linear model, the objective function is linear, which, in finite Euclidean spaces, is equivalent to say that

  1. there exist real coefficients \(c \in \R^n\) such that

    \begin{align*} f(\var{x}) & = \sum_{j=1}^n c_j \var{x}_j \end{align*}
  2. the feasible set is a polyhedron, or, equivalently, that there exist matrices \(A, B\) and vectors \(\alpha, \beta\) such that the set \(S\) is composed by the solutions of the system of liner equations and inequalities

    \begin{align*} A \var{x} & = \alpha \\ B \var{x} & \leq \beta \end{align*}

Thus, in a linear model both the objective function and the left hand sides of all equalties and inequalities are linear expressions.

By the therm structured models we mean that these models can be seen as special cases of generic linear optimization ones, whose structure from one side identifies a class of potentially useful applications and, on another side, lends itself to further theoretical analysis; this, in some cases, might lead to improved numerical performance. By a “structure” we usually mean a set of constraints with a special form (like, as we will see later, balance equations) or families of constraints with a special meaning in the applied context, like blending or resource consumption.

An important class of such structured problems is that of Network flow models, which will be the subject of a detailed analysis later on; being able to identify and exploit the fact that a model is indeed a network flow one allows to get significantly greater insight as well as opens the way towards very efficient optimization algorithms.

Before starting a review of some of the main mathematical optimization models and their applications, we introduce here a fairly simple model connected to the production of aluminum from available scrap. This is indeed an instance of a class of models, called Blending Models which will be described in more detail later. It seems useful to start the presentation with this simple case, the description of which is sufficiently elementary to be understood even without deeper knowledge; its formulation contains the main elements of more complex models. Moreover, although elementary, this model is currently in use at several companies.


Blending aluminum scrap

One of the industrial sectors in which optimization models are widely used is that of mixing different scrap to produce aluminum alloys of a prescribed quality. Consider the situation in which we may buy, in limited amounts, some scrap mostly composed of aluminum, but containing also other chemical elements; we would like to mix some of these scraps in order to obtain, through casting, an alloy with a prescribed percentage of various chemical elements. We can also consider the case in which, in order to improve the quality of the available scrap, it is possible to purchase pure metals, without any limit, although at a significantly higher price. The problem thus becomes that of establishing the quantities to buy for each scrap and pure metal to be used in a blend of minimum total cost which satisfies quality constraints.

The following table shows a data file prepared according to the syntax of AMPL, JuMP and Pyomo for a hypothetical problem of aluminum blending from scrap. The objective is to obtain a blend which satisfies a set of quality specifications, does not use more scrap than available, and produces the required quantity of finished product at minimum total cost.

# optimal blending of Al scrap

set MATERIALS := UBC MixedAuto Radiator WireScraps MixedTurnings LithoSheets Si Mg; 

set ELEMENTS := Si Mg Fe Cu Mn Zn;

param required := 1500;  # kg

param: minReq  maxReq :=
Si        0.4       0.8
Mg        0.8       1.2
Fe        0.        0.7
Cu        0.15      0.4
Mn        0.0       0.15
Zn        0.0       0.25

param compos:
  UBC    MixedAuto Radiator WireScraps MixedTurnings LithoSheets Si Mg:=
Si 0.225  10.125     0.       0.1875    6.75        0.6   100. 0.
Mg 0.975  0.225      0.       0.45      0.225       0.      0. 100.
Fe 0.375  0.825      0.525    0.3       0.75        0.6375  0. 0.
Cu 0.15   2.625     30.0      0.0375    2.625       0.125   0. 0.
Mn 0.825  0.375      0.       0.0375    0.375       0.6375  0. 0.
Zn 0.0375 0.9        0.       0.0525    1.125       0.075   0. 0.

# cost in Euro per kg
          cost   avail :=
UBC           1.25   1000
MixedAuto     1.4    1000
Radiator      1.35   1500
WireScraps    0.8    1200
MixedTurnings 0.6    1000
LithoSheets   1.2    1600
Si           10.     2000
Mg           10.     2000

The first part of the data file contains the definition of the names of the available materials and the chemical elements of interest. Than we specify the total required quantity to be produced (in kg) and, for each chemical element, the value of the minimum and maximum percentage required, based on the definition of the “6061” blend type specification. The syntax of this part reflects one of the many ways data can be defined – here we are using a multi–dimensional array whose rows have symbolic names (the names of the chemical elements) and the columns represent, for each chemical element, the minimum and maximum allowed contents in the blend. Next, the data file contains the definition of the chemical composition of each scrap type; again, we are using the same syntax (although modeling languages allow for different ways to obtain a similar data specification) and we define a matrix, compos, whose rows are associated to chemical elements, whose columns correspond to different scrap materials and whose elements are the (average) percentage contents of that chemical in one unit of that material. Finally, for each material, the cost in Euros per kg and the maximum available quantity are reported. Of course, while these data is quite realistic, the reported numbers have no relations with real life situations.

It is worth observing that the main chemical component, aluminum, is not included in this dataset: this means that we can consider that the aluminum content in each material is what remains to reach 100%. As an example, for material UBC summing the first column in the compos matrix we obtain 0.025875 and we can assume that the aluminum contents is 97.4125%.

To formalize the problem we need to identify decision variables, constraints, objective function. It is very natural to associate a variable \(\var{x}_{j}\) to each material \(j\) (in the model this variable is called Buy); although not necessary, it seems useful to introduce another variable, \(\var{y}_i\), for the total chemical contents of the resulting blend (in the model this is called Chem). Notice that while in the text we prefer to use classical mathematical notation and naming conventions, in the implemented models we preferred to use more meaningful variable names.

In the declaration of both variables, we include lower and upper bounds. For the main variable, \(\var{x}\), these are zero and the available quantity, respectively. For what concerns chemical contents, they are the minimum and maximum allowed contents for each element.

The constraint on the total quantity to be produced is simply

\begin{align*} \sum_{j \in \set{Materials}} \var{x}_{j} = \param{required} \end{align*}

For what concerns the chemical balance, having introduced a specific variable, we just need to “define” this variable through a set of constraints:

\begin{align*} \var{y}_i & = \sum_{j \in \set{Materials}} \param{compos}_{ij} \var{x}_j / \param{required} \end{align*}

It is easy to see how we might get rid of the additional variables \(\var{y}\) by simply redefining the lower and upper bound constraints on the quality as

\begin{align*} \param{minReq}_i \leq \sum_{j \in \set{Materials}} \param{compos}_{ij} \var{x}_j / \param{required} \leq \param{maxReq}_i \end{align*}

for all \(i \in \set{ELEMENTS}\).

The objective function, given a unit cost \(\param{cost}_{j}\) associated with each material, can be expressed as

\begin{align*} \min \sum_{j \in \set{Materials}} \param{cost}_{j} \var{x}_{j} \end{align*}

In summary, the complete blending model has the following form:

\begin{align*} \min_{\var{x},\var{y}} \sum_{j \in \set{Materials}} \param{cost}_{j}\, \var{x}_{j} & \\ \sum_{j \in \set{Materials}} \var{x}_{j} &= \param{required} \\ \var{y}_i & = \sum_{j \in \set{Materials}} \param{compos}_{ij} \var{x}_j / \param{required} & \forall\, i& \in \set{ELEMENTS} \\ 0 \leq \var{x}_j & \leq \param{avail}_j & \forall\, j &\in \set{MATERIALS}\\ \param{minReq}_i \leq \var{y}_i & \leq \param{maxReq}_i &\forall\, i& \in \set{ELEMENTS} \end{align*}

The model can be implemented as reported in the following, where the strong similarity between the abstract model above and its implementation can be easily seen.

#     optimal scrap bleding problem                    #


param required; # required quantity
param minReq{ELEMENTS};
param maxReq{ELEMENTS};

param cost{MATERIALS};
param avail{MATERIALS};

# -----------------------------------------------------#
# variable declaration and bounding
# -----------------------------------------------------#

var Buy{m in MATERIALS} >=0, <= avail[m];
var Chem{el in ELEMENTS} >= minReq[el], <= maxReq[el];

# -----------------------------------------------------#
# objective function
# -----------------------------------------------------#

minimize totalcost: sum {m in MATERIALS} cost[m] * Buy[m];

# -----------------------------------------------------#
# constraints
# -----------------------------------------------------#

s.t. chem_def{el in ELEMENTS}:
	Chem[el] = sum{m in MATERIALS} compos[el,m] * Buy[m] / required;

s.t. total:
	sum{m in MATERIALS} Buy[m] == required;

In order to solve the model, we need to combine the model, a set of data, and pass through a suitable solver. In this example we choose the Cbc [18] open source linear and mixed integer solver. We obtained an optimal solution through a set of language-specific commands, reported below.

model Al_blend.mod;
data Al6061.dat;

option solver cbc;


display Buy;
display minReq, Chem, maxReq;

The solution we obtained by running this solver with the above data was:

\begin{align*} \begin{array}[c]{lr} \hline \mathtt{UBC} & 154.87 \\ \mathtt{Radiator} & 1.07 \\ \mathtt{WireScraps} & 1\,200.00 \\ \mathtt{MixedTurnings} & 139.28 \\ \mathtt{Mg} & 4.78 \\ \hline \end{array} \end{align*}

with an overall cost of 1286.37 (an average of 0.857 per unit produced). The chemical composition of the blend is

\begin{align*} \begin{array}[c]{llll} Element & min & actual & max \\ \hline \mathtt{Si} & 0.4 & 0.8 & 0.8\\ \mathtt{Mg} & 0.8 & 0.8 & 1.2\\ \mathtt{Fe} & 0.0 & 0.35 & 0.8\\ \mathtt{Cu} & 0.15 & 0.31 & 0.4\\ \mathtt{Mn} & 0.0 & 0.15 & 0.15\\ \mathtt{Zn} & 0.0 & 0.15 & 0.25\\ \hline \end{array} \end{align*}

These data have been obtained by running a solver on the supplied model and data. An example of the output which can be obtained from a solver is given below.

CBC 2.10.3 optimal, objective 1286.369005
5 iterations
Buy [*] :=
  LithoSheets     0
           Mg     4.77662
    MixedAuto     0
MixedTurnings   139.282
     Radiator     1.06954
           Si     0
          UBC   154.872
   WireScraps  1200

:  minReq     Chem   maxReq    :=
Cu   0.15   0.310622   0.4
Fe   0      0.348733   0.7
Mg   0.8    0.8        1.2
Mn   0      0.15       0.15
Si   0.4    0.8        0.8
Zn   0      0.150333   0.25

We can observe, from the above results, that some elements, like Mg, are expensive and, thus kept at their minimum value in the optimal solution; on the contrary, others, like Mn, are cheap. We also can observe that in the final optimal blend some materials, Radiator in particular, are present in a tiny fraction of the overall blend. We might easily modify the data to exclude this from the blend. However, it might be preferable to insert a logical constraint stating that for every material, either it is not included in the optimal solution or its level should be greater than a threshold. As an example we might add a constraint saying that either Radiator is zero or it needs to be more than, say, 50kg. This kind of constraint will be presented later in this volume (see section Using binary variables in logical constraints).

In this first introductory model we have seen the main components of mathematical optimization models:

  • index sets (the names of the scrap, the names of the chemical elements);

  • numerical parameters (scalars, vectors, matrices) such as the quantity to be produced, the required quality, the unit cost, the chemical composition of each material;

  • the variables, in this case associated with the quantities to be used in the preparation of the blend;

  • the constraints, equations or inequalities (in this case they are all linear);

  • the objective to be optimized, in this case the total cost of the blend, to be minimized.

Since the variables appear linearly in all the constraints and in the objective function, the model just described is called a linear optimization model .

The above ingredients will appear in most of the models analyzed in this volume. From the next paragraph we will begin to examine some important specific classes of optimization models.


© Fabio Schoen 2023