Approximating nonlinear functions

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The purpose of this tutorial is to explain how to approximate nonlinear functions with a mixed-integer linear program.

This tutorial uses the following packages:

using JuMP
import HiGHS
import Plots

Minimizing a convex function (outer approximation)

If the function you are approximating is convex, and you want to minimize "down" onto it, then you can use an outer approximation.

For example, is a convex function:

f(x) = x^2
∇f(x) = 2 * x
plot = Plots.plot(f, -2:0.01:2; ylims = (-0.5, 4), label = false, width = 3)

Because is convex, we know that for any , we have:

for x_k in -2:1:2  ## Tip: try changing the number of points x_k
    g = x -> f(x_k) + ∇f(x_k) * (x - x_k)
    Plots.plot!(plot, g, -2:0.01:2; color = :red, label = false, width = 3)
end
plot

We can use these tangent planes as constraints in our model to create an outer approximation of the function. As we add more planes, the error between the true function and the piecewise linear outer approximation decreases.

Here is the model in JuMP:

function outer_approximate_x_squared(x̄)
    f(x) = x^2
    ∇f(x) = 2x
    model = Model(HiGHS.Optimizer)
    set_silent(model)
    @variable(model, -2 <= x <= 2)
    @variable(model, y)
    # Tip: try changing the number of points x_k
    @constraint(model, [x_k in -2:1:2], y >= f(x_k) + ∇f(x_k) * (x - x_k))
    @objective(model, Min, y)
    @constraint(model, x == x̄)  # <-- a trivial constraint just for testing.
    optimize!(model)
    @assert is_solved_and_feasible(model)
    return value(y)
end

outer_approximate_x_squared (generic function with 1 method)

Here are a few values:

for x̄ in range(; start = -2, stop = 2, length = 15)
    ȳ = outer_approximate_x_squared(x̄)
    Plots.scatter!(plot, [x̄], [ȳ]; label = false, color = :black)
end
plot

This formulation does not work if we want to maximize y.

Maximizing a concave function (outer approximation)

The outer approximation also works if we want to maximize "up" into a concave function.

f(x) = log(x)
∇f(x) = 1 / x
X = 0.1:0.1:1.6
plot = Plots.plot(
    f,
    X;
    xlims = (0.1, 1.6),
    ylims = (-3, log(1.6)),
    label = false,
    width = 3,
)
for x_k in 0.1:0.5:1.6  ## Tip: try changing the number of points x_k
    g = x -> f(x_k) + ∇f(x_k) * (x - x_k)
    Plots.plot!(plot, g, X; color = :red, label = false, width = 3)
end
plot

Here is the model in JuMP:

function outer_approximate_log(x̄)
    f(x) = log(x)
    ∇f(x) = 1 / x
    model = Model(HiGHS.Optimizer)
    set_silent(model)
    @variable(model, 0.1 <= x <= 1.6)
    @variable(model, y)
    # Tip: try changing the number of points x_k
    @constraint(model, [x_k in 0.1:0.5:2], y <= f(x_k) + ∇f(x_k) * (x - x_k))
    @objective(model, Max, y)
    @constraint(model, x == x̄)  # <-- a trivial constraint just for testing.
    optimize!(model)
    @assert is_solved_and_feasible(model)
    return value(y)
end

outer_approximate_log (generic function with 1 method)

Here are a few values:

for x̄ in range(; start = 0.1, stop = 1.6, length = 15)
    ȳ = outer_approximate_log(x̄)
    Plots.scatter!(plot, [x̄], [ȳ]; label = false, color = :black)
end
plot

This formulation does not work if we want to minimize y.

Minimizing a convex function (inner approximation)

Instead of creating an outer approximation, we can also create an inner approximation. For example, given , we may want to approximate the true function by the red piecewise linear function:

f(x) = x^2
x̂ = -2:0.8:2  ## Tip: try changing the number of points in x̂
plot = Plots.plot(f, -2:0.01:2; ylims = (-0.5, 4), label = false, linewidth = 3)
Plots.plot!(plot, f, x̂; label = false, color = :red, linewidth = 3)
plot

To do so, we represent the decision variables by the convex combination of a set of discrete points :

The feasible region of the convex combination actually allows any point inside this shaded region:

I = [1, 2, 3, 4, 5, 6, 1]
Plots.plot!(x̂[I], f.(x̂[I]); fill = (0, 0, "#f004"), width = 0, label = false)
plot

Thus, this formulation does not work if we want to maximize .

Here is the model in JuMP:

function inner_approximate_x_squared(x̄)
    f(x) = x^2
    ∇f(x) = 2x
    x̂ = -2:0.8:2  ## Tip: try changing the number of points in x̂
    ŷ = f.(x̂)
    n = length(x̂)
    model = Model(HiGHS.Optimizer)
    set_silent(model)
    @variable(model, -2 <= x <= 2)
    @variable(model, y)
    @variable(model, 0 <= λ[1:n] <= 1)
    @constraint(model, x == sum(λ[i] * x̂[i] for i in 1:n))
    @constraint(model, y == sum(λ[i] * ŷ[i] for i in 1:n))
    @constraint(model, sum(λ) == 1)
    @objective(model, Min, y)
    @constraint(model, x == x̄)  # <-- a trivial constraint just for testing.
    optimize!(model)
    @assert is_solved_and_feasible(model)
    return value(y)
end

inner_approximate_x_squared (generic function with 1 method)

Here are a few values:

for x̄ in range(; start = -2, stop = 2, length = 15)
    ȳ = inner_approximate_x_squared(x̄)
    Plots.scatter!(plot, [x̄], [ȳ]; label = false, color = :black)
end
plot

Maximizing a convex function (inner approximation)

The inner approximation also works if we want to maximize "up" into a concave function.

f(x) = log(x)
x̂ = 0.1:0.5:1.6  ## Tip: try changing the number of points in x̂
plot = Plots.plot(f, 0.1:0.01:1.6; label = false, linewidth = 3)
Plots.plot!(x̂, f.(x̂); linewidth = 3, color = :red, label = false)
I = [1, 2, 3, 4, 1]
Plots.plot!(x̂[I], f.(x̂[I]); fill = (0, 0, "#f004"), width = 0, label = false)
plot

Here is the model in JuMP:

function inner_approximate_log(x̄)
    f(x) = log(x)
    x̂ = 0.1:0.5:1.6  ## Tip: try changing the number of points in x̂
    ŷ = f.(x̂)
    n = length(x̂)
    model = Model(HiGHS.Optimizer)
    set_silent(model)
    @variable(model, 0.1 <= x <= 1.6)
    @variable(model, y)
    @variable(model, 0 <= λ[1:n] <= 1)
    @constraint(model, sum(λ) == 1)
    @constraint(model, x == sum(λ[i] * x̂[i] for i in 1:n))
    @constraint(model, y == sum(λ[i] * ŷ[i] for i in 1:n))
    @objective(model, Max, y)
    @constraint(model, x == x̄)  # <-- a trivial constraint just for testing.
    optimize!(model)
    @assert is_solved_and_feasible(model)
    return value(y)
end

inner_approximate_log (generic function with 1 method)

Here are a few values:

for x̄ in range(; start = 0.1, stop = 1.6, length = 15)
    ȳ = inner_approximate_log(x̄)
    Plots.scatter!(plot, [x̄], [ȳ]; label = false, color = :black)
end
plot

Piecewise linear approximation

If the model is non-convex (or non-concave), then we cannot use an outer approximation, and the inner approximation allows a solution far from the true function. For example, for , we have:

f(x) = sin(x)
plot = Plots.plot(f, 0:0.01:2π; label = false)
x̂ = range(; start = 0, stop = 2π, length = 7)
Plots.plot!(x̂, f.(x̂); linewidth = 3, color = :red, label = false)
I = [1, 5, 6, 7, 3, 2, 1]
Plots.plot!(x̂[I], f.(x̂[I]); fill = (0, 0, "#f004"), width = 0, label = false)
plot

We can force the inner approximation to stay on the red line by adding the constraint λ in SOS2(). The SOS2 set is a Special Ordered Set of Type 2, and it ensures that at most two elements of λ can be non-zero, and if they are, that they must be adjacent. This prevents the model from taking a convex combination of points 1 and 5 to end up on the lower boundary of the shaded red area.

Here is the model in JuMP:

function piecewise_linear_sin(x̄)
    f(x) = sin(x)
    # Tip: try changing the number of points in x̂
    x̂ = range(; start = 0, stop = 2π, length = 7)
    ŷ = f.(x̂)
    n = length(x̂)
    model = Model(HiGHS.Optimizer)
    set_silent(model)
    @variable(model, 0 <= x <= 2π)
    @variable(model, y)
    @variable(model, 0 <= λ[1:n] <= 1)
    @constraints(model, begin
        x == sum(λ[i] * x̂[i] for i in 1:n)
        y == sum(λ[i] * ŷ[i] for i in 1:n)
        sum(λ) == 1
        λ in SOS2()  # <-- this is new
    end)
    @constraint(model, x == x̄)  # <-- a trivial constraint just for testing.
    optimize!(model)
    @assert is_solved_and_feasible(model)
    return value(y)
end

piecewise_linear_sin (generic function with 1 method)

Here are a few values:

for x̄ in range(; start = 0, stop = 2π, length = 15)
    ȳ = piecewise_linear_sin(x̄)
    Plots.scatter!(plot, [x̄], [ȳ]; label = false, color = :black)
end
plot