Introduction and Basic Components: (Iii) Optimization and Simulation

Introduction and Basic
Components
(iii) Optimization and Simulation
Water Resources Systems Planning and Management: M1L3 D. Nagesh Kumar, IISc
Objectives
 Understand the concept of optimization and simulation

 Classification of optimization and simulation problems
 Economic criteria in water resources
 Learn about the challenges in water resources
2 Water Resources Systems Planning and Management: M1L3 D. Nagesh Kumar, IISc
Modelling Techniques
 Modelling or system analysis techniques - Developed during the Second
World War to deploy limited resources in an optimum manner

 These techniques were aided for military operations - known as operation
research techniques
 Popular operations research techniques include
 Optimization methods
 Simulation
 Game theory
 Queuing theory etc
 Among, these, the popular ones in water resources field are optimization
and simulation.
Optimization
 Science of choosing the best amongst a number of possible alternatives
 Identify the best through evaluation from a number of possible solutions
 Driving force in the optimization is the objective function (or functions)
 Optimal solution is the one which gives the best (either maximum or
minimum) solution under all assumptions and constraints
 An optimization model can be stated as:
Objective function: Maximize (or Minimize) f(X)

Subject to the constraints
gj(X) ≥ 0, j = 1,2,..,m
hj(X) = 0, j = m+1, m+2,.., p
X is the vector of decision variables; g(X) are the inequality constraints;
h(X) are the equality constraints.
Classification of Optimization Techniques
Optimization problems can be classified based on the

 Type of constraints
 Nature of design variables
 Physical structure of the problem
 Nature of the equations involved
 Permissible value of the design variables
 Deterministic/ Stochastic nature of the variables
 Separability of the functions and number of objective functions
Classification based on existence of constraints
 Constrained optimization problems: Subject to one or more
constraints
 Unconstrained optimization problems: No constraints exist
Classification based on physical structure of the problem
Optimization problems are classified as optimal control and non-optimal

control problems.
(i)Optimal control problems
Problem involving a number of stages
Each stage evolves from the preceding stage in a prescribed manner.
Defined by two types of variables: the control or design and state variables.
Control variables define the system and controls how one stage evolves into the next
State variables describe the behavior or status of the system at any stage
Problem is to find a set of control variables such that the total objective function (also
known as the performance index, PI) over all stages is minimized, subject to a set of
constraints on the control and state variables.
Classification based on the physical structure of the problem…
An OC problem can be stated as follows:
Find X which minimizes
Subject to the constraints
where xi is the ith control variable, yi is the ith state variable, and fi is the
contribution of the ith stage to the total objective function. gj, hk, and qi are
the functions of xj, yj ; xk, yk and xi, yi , respectively, and l is the total
number of states.
(ii) Problems which are not optimal control problems are called non-optimal
control problems.
Classification based on the nature of the equations
involved
Optimization problems can be classified as
(i)Linear programming: Objective function and all the constraints are ‘linear’
functions of the design variables
(ii)Nonlinear programming : Any of the functions among the objectives and
constraint functions is nonlinear
(iii)Geometric programming : Objective function and constraints are
expressed as polynomials
(iv)Quadratic programming: Best behaved nonlinear programming problem
with a quadratic objective function and linear constraints and is concave (for
maximization problems)
* For details refer lecture notes
Classification based on the permissible values of the
decision variables
Objective functions can be classified as integer and real-valued

programming
(i)Integer programming problem: Some or all of the design variables of an
optimization problem are restricted to take only integer (or discrete) values
(ii)Real-valued programming problem: Minimize (or maximize) a real
function by systematically choosing the values of real variables from within an

allowed set. When the allowed set contains only real values, it is called a real-
valued programming problem
Classification based on deterministic/ Stochastic nature
of the variables
Optimization problems can be classified as deterministic or stochastic

programming problems
(i) Deterministic programming problem: In a deterministic system, for the

same input, the system will produce the same output always. In this type of
problems all the design variables are deterministic.
(ii) Stochastic programming problem: In this type of problem, some or all

the design variables are expressed probabilistically (non-deterministic or
stochastic).
Classification based on separability of the functions
Optimization problems can be classified as separable and non-separable
programming problems
(i) Separable programming problems: In this type of problem, the objective

function and the constraints are separable.
Function is said to be separable if it can be expressed as the sum of n

single-variable functions,
f 1  xi  , f 2  x 2  ,... f n  x n  ,
n
)   f i  xi 
f ( Xi.e.
i 1
(ii) Non-separable programming problems: Objective function is not

separables
Classification based on the number of objective
functions
Objective functions can be classified as single-objective and multi-objective
programming problems.
(i) Single-objective programming: There is only a single objective function.
(ii) Multi-objective programming: A multiobjective programming problem

can be stated as follows:
f1  X  , f 2  X  ,... f k  X 
Find X which maximizes/ minimizes
Subject to gj(X) ≤ 0 , j = 1, 2, . . . , m
where f1, f2, . . . fk denote the objective functions to be maximized/

minimized simultaneously
Simulation
 Simulation process duplicates the system’s behaviour by designing a model of the
system and conducting experiments for a better understanding of the system

functioning in various probable scenarios
 Simulation reproduces the response of the system to any imposed future conditions
 Main advantage of simulation is its ability to accurately describe the reality
 Operating policies can be tested through simulation before implementing in actual
situations
 Water resources systems are too complex to be expressed in any analytical expression.
 Simulation model duplicates the system’s operation with a defined operational policy,
parameters, time series of flows, demands etc

 Design parameters and the operation policy are evaluated through the objective
function or some reliability measures.
Steps in Simulation
1. Problem definition: Define the goals of the study
2. System definition: Identify the water resources system components and its
hydrological aspects. Identify the performance measures to be analysed.

3. Model design: Understand the behavior of actual system. Decide the model
structure by determining the variables describing the system, its interaction

and various parameters of structures. Decide the inputs (time series of flows,
demands of the system, operation policies etc) and outputs (hydrological
variables and design variables).
4. Data Collection: Determine the type of data to be collected. New/ Old data is
collected/ gathered.
5. Validation: Test the model and apply the model to the problem
Classification of Simulation models
 Simulation models can be
i. Physical (e.g. a scale model of a spillway)
ii. Analog (system of electrical components such as resistors or capacitors arranged
to act as an analog to the hydrological components) or
iii. Mathematical (action of a system expressed as equations or logical statements.
 Simulation models can be
i. Static (fixed parameters and operational policy) or
ii. Dynamic (takes into account the change in the parameters of the system and the
operational policy with time) in nature.
Classification of Simulation models…
 Simulation models can be deterministic or stochastic
 Simulation models can be statistical or process oriented, or a mixture of both.
 Pure statistical models are based solely on data (field measurements). Regressions
and artificial neural networks are examples

 Pure process oriented models are based on knowledge of the fundamental processes
that are taking place. In this, calibration using field data is required to estimate the
parameter values in the process relationships.
 Hybrid models incorporate some process relationships into regression models or
neural networks.
Comparison between Optimization and Simulation
 Optimization models eliminate the worst solutions.
 Simulation tools evaluate the performance for various configurations of the system;
but they are not effective for choosing the best configuration.
 Simulation simply addresses ‘what-if’ scenarios – what may happen if a particular
scenario is assumed or if a particular decision is made. Users have to specify the

value of design or decision variables for conducting simulation.
 Simulation is not feasible when there are too many alternatives for decision
variables, which demand an enormous computational effort.

 Optimization will determine the best decision; but the solution is often based on
many limiting assumptions.

 Full advantage of systems techniques: Optimization should be used to define a
relatively small number of good alternatives that can later be tested, evaluated and
improved by means of simulation.
Economics in Water Resources
 Economics in engineering deals with applying economic criteria to select the
best solution from a group of feasible alternatives

 Evolving the best economic policy for planning and management of an
engineering project
 Ranking and selection of alternatives are done based on the principles of
engineering economics
 Magnitude of consequences expected from employing each alternative are
assessed and converted into commensurable units for comparison.
Concepts used in economic analysis
Cash flow diagram:
 Assess the consequences of each alternative and assign a monetary value for each
consequence
 Graphic representation of each monetary value with time is called a cash flow
diagram.
 Benefits are represented as upward arrows and costs as downward arrows.
 Drawn to convert the time stream of monetary value into an equivalent single
number.
 All cash flows are combined into an equivalent single lump sum at the end of a
period. 50 50 50 50 50 50 50
Benefits
 At the beginning, Costs 40

500
a large expenditure is made.
Cash flow diagram
 Benefits are received thereafter every year.
Concepts used in economic analysis…
Discount factors:
 Amounts at different times have different values.
 All monetary values are converted into equivalent amounts at some definite time
using discount factors, for comparison.

Many discount factors are used:
 Compound amount factor – An amount P invested at the beginning of first year
grows to Q at the end of n years, Q = P(1+i)n

 Present worth factor – Inverse of the above, gives the present value of a future
amount, P = Q/(1+i)n
 Sinking fund factor – Amount X that will be received at the end of each year to get
Q at the end of n years, X = Q i / [(1+i)n -1]
Concepts used in economic analysis…
Discount factors:
 Capital recovery factor – Amount X that should be invested at the end of each year, if
amount P is invested at the beginning of first year, X = P i (1+i)n / [(1+i)n -1]

 Series compound factor – Amount Q that will be received at the end of nth year, if an
amount X is invested at the end of each year, Q = X [(1+i)n -1] / i

 Series present worth factor – Present value of P if an amount X is invested at the end
of each year, P = X [(1+i)n -1] / i (1+i)n

Other terms
 Sunk cost: Money spent already which has no economic relevance in deciding future
alternatives
 Salvage value: Value of the unused life of an element at the end of the period of
analysis. Salvage value, S = I (1 – U/L), where I = initial value, U = unused life and L
= total life.
Discounting Techniques
 Discounting techniques are used to find the feasible one among various
alternatives.
 Commonly used discounting techniques are:
1. Benefit-cost ratio method
2. Present worth method
3. Rate of return method
4. Annual cost method
The first two methods are explained
Benefit – Cost ratio method
 BC ratio: Ratio of the present worth of benefits and the present worth of cost
n
Bt
B t  0 1  i 
t
R  n
C Ct

t  0 1  i 
t
where
Bt and Ct are the monetary values of benefits and costs incurred at time t
respectively
i is the discount rate
n is the life of the project in time steps (years or months or weeks).
Benefit – Cost ratio method…
Steps for choosing the best alternative are:

1. Calculate the BC ratio for each alternative
2. Retain all alternatives with BC>1 and reject the rest. If sets of mutually
exclusive alternatives are involved then go to steps 3, 4 and 5.
3. Rank the set of mutually exclusive alternatives in the order of increasing
cost. Calculate the BC ratio using incremental cost and incremental benefit
of the next alternative above the least costly alternative.
4. Choose the more costly alternative of the incremental BC >1. Otherwise
choose the less costly alternative.
5. Repeat the analysis for all alternatives in the order of rank.
BC ratio: Example
Two alternative plans are feasible. The estimated cost of 1 st plan is 70 lakhs and the
corresponding benefit is 80 lakhs. The cost for the 2nd plan is 85 lakhs and benefit is 100
lakhs. Which plan should be selected?
Solution
BC ratio for 1st plan = 80/70 = 1.14; BC ratio for 2nd plan = 100/85 = 1.176
Since BC ratios are >1, according to steps 3 and 4, rank the plans based on cost.
Plan 1 is ranked 1 and plan 2 is ranked 2.
Now, incremental cost (2nd plan over 1st plan) = 85 – 70 = 15; Incremental benefit (2nd
plan over 1st plan) = 100 – 80 =20
Incremental BC ratio = 20/15 = 1.33; Since Incremental BC ratio > 1, the more costly
alternative should be selected.
Therefore, plan 2 is chosen.
Present worth method
 Net worth (benefit – cost ) for each year is computed and discounted to the present
with using the present worth factor – Net Present Value (NPV).
B0  C0 B1  C1 Bn  Cn
NPV    ..... 
1  i  0 1  i  1 1  i  n
where Bt and Ct are the monetary values of benefits and costs incurred at time t
respectively, i is the discount rate and n is the life of the project.
The steps for selecting the best alternative are:
1. Determine the NPV of each alternative.
2. Retain those alternatives with NPV > 0 and reject the rest. If there is any mutually
exclusive alternative, then proceed to steps 3 and 4. Otherwise, stop.
3. Choose the one with greatest NPV from the set of mutually exclusive alternatives.
4. If in a set of mutually exclusive alternatives, some have benefits that cannot be

quantified but are approximately equal, then choose the one with least cost.
Thank You
Water Resources Systems Planning and Management: M1L3 D. Nagesh Kumar, IISc

Introduction and Basic Components: (Iii) Optimization and Simulation

Uploaded by

Copyright:

Available Formats

You might also like

Introduction and Basic Components: (Iii) Optimization and Simulation

Uploaded by

Document Information

Original Description:

Original Title

Copyright

Available Formats

Share this document

Share or Embed Document

Sharing Options

Did you find this document useful?

Is this content inappropriate?

Copyright:

Available Formats

Introduction and Basic Components: (Iii) Optimization and Simulation

Uploaded by

Copyright:

Available Formats

Introduction and Basic

 Understand the concept of optimization and simulation

World War to deploy limited resources in an optimum manner

 Identify the best through evaluation from a number of possible solutions

 Driving force in the optimization is the objective function (or functions)

Objective function: Maximize (or Minimize) f(X)

Optimization problems can be classified based on the

 Nature of design variables

 Physical structure of the problem

 Nature of the equations involved

 Permissible value of the design variables

 Deterministic/ Stochastic nature of the variables

 Separability of the functions and number of objective functions

 Constrained optimization problems: Subject to one or more

Optimization problems are classified as optimal control and non-optimal

Each stage evolves from the preceding stage in a prescribed manner.

functions of the design variables

(ii)Nonlinear programming : Any of the functions among the objectives and

constraint functions is nonlinear

(iii)Geometric programming : Objective function and constraints are

(iv)Quadratic programming: Best behaved nonlinear programming problem

Objective functions can be classified as integer and real-valued

(ii)Real-valued programming problem: Minimize (or maximize) a real

function by systematically choosing the values of real variables from within an

Optimization problems can be classified as deterministic or stochastic

(i) Deterministic programming problem: In a deterministic system, for the

(ii) Stochastic programming problem: In this type of problem, some or all

(i) Separable programming problems: In this type of problem, the objective

Function is said to be separable if it can be expressed as the sum of n

(ii) Non-separable programming problems: Objective function is not

(i) Single-objective programming: There is only a single objective function.

(ii) Multi-objective programming: A multiobjective programming problem

where f1, f2, . . . fk denote the objective functions to be maximized/

system and conducting experiments for a better understanding of the system

 Main advantage of simulation is its ability to accurately describe the reality

 Operating policies can be tested through simulation before implementing in actual

parameters, time series of flows, demands etc

function or some reliability measures.

hydrological aspects. Identify the performance measures to be analysed.

structure by determining the variables describing the system, its interaction

i. Physical (e.g. a scale model of a spillway)

ii. Analog (system of electrical components such as resistors or capacitors arranged

to act as an analog to the hydrological components) or

iii. Mathematical (action of a system expressed as equations or logical statements.

 Simulation models can be

i. Static (fixed parameters and operational policy) or

operational policy with time) in nature.

 Simulation models can be deterministic or stochastic

 Simulation models can be statistical or process oriented, or a mixture of both.

and artificial neural networks are examples

scenario is assumed or if a particular decision is made. Users have to specify the

variables, which demand an enormous computational effort.

many limiting assumptions.

best solution from a group of feasible alternatives

assessed and converted into commensurable units for comparison.

 At the beginning, Costs 40

using discount factors, for comparison.