O'Reilly logo

Optimization Modeling with Spreadsheets, Second Edition by Kenneth R. Baker

Stay ahead with the world's most comprehensive technology and business learning platform.

With Safari, you learn the way you learn best. Get unlimited access to videos, live online training, learning paths, books, tutorials, and more.

Start Free Trial

No credit card required

Chapter 8

Nonlinear Programming

In Chapter 1, we introduced the optimization capability of Solver with a simple revenue-maximization problem that illustrated the Generalized Reduced Gradient (GRG) algorithm, which is Excel’s nonlinear solver. Then, in Chapters 2-7, we focused on linear programming models, solving them with Excel’s linear solver. In this chapter, we return to the nonlinear solver and examine the types of optimization problems it can handle.

Taken literally, the term nonlinear programming refers to the formulation and solution of constrained optimization problems that are anything but linear. However, that isn’t a wholly accurate assessment of the GRG algorithm’s capability. Two features are important in this regard. First, in terms of finding solutions, linear programming models are actually a subset of nonlinear programming models. That is, the GRG algorithm can be used to solve linear as well as nonlinear programs. However, for linear programming, we use the linear solver because it is numerically more dependable than the GRG algorithm and provides a more extensive sensitivity analysis. The GRG algorithm provides an abbreviated sensitivity analysis, and it may also have difficulty locating a feasible solution when one exists. Still, there is nothing wrong, in principle, with using the GRG algorithm to solve a linear problem.

The second feature to keep in mind is that the GRG algorithm has limitations as a nonlinear solver. In particular, it is mainly suited to ...

With Safari, you learn the way you learn best. Get unlimited access to videos, live online training, learning paths, books, interactive tutorials, and more.

Start Free Trial

No credit card required