A parametric successive underestimation method for convex programming problems with an additional convex multiplicative constraint

A parametric successive underestimation method for convex programming problems with an additional convex multiplicative constraint

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Article ID: iaor19941949
Country: Japan
Volume: 35
Issue: 3
Start Page Number: 290
End Page Number: 299
Publication Date: Sep 1992
Journal: Journal of the Operations Research Society of Japan
Authors: , ,
Keywords: optimization, programming: mathematical
Abstract:

This paper addresses itself to an algorithm for a convex minimization probelm with an additional convex multiplicative constraint. A convex multiplicative constraint is such that a product of two convex functions is less than or equal to some constant. It is shown that this nonconvex problem can be solved by solving a sequence of convex programming problems. The basic idea of this algorithm is to embed the original problem into a problem in a higher dimensional space and to apply a parametric programming technique. A branch-and-bound algorithm is proposed for obtaining an ∈-optimal solution in finitely many iterations. Computational results indicate that this algorithm is efficient for linear programs with an additional linear multiplicative constraint.

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