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: | Kuno Takahito, Konno Hiroshi, Yamamoto Yoshitsugu |
Keywords: | optimization, programming: mathematical |
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