Outcome-Space branch and bound algorithm for solving linear multiplicative programming

Authors:
Yuelin Gao;Chengxian Xu;Yueting Yang
Affiliations:
School of Finance and Economics, Xi’an Jiaotong University, Xi’an, China;School of Finance and Economics, Xi’an Jiaotong University, Xi’an, China;Department of Mathematics, Beihua University, Jilin, China
Venue:
CIS'05 Proceedings of the 2005 international conference on Computational Intelligence and Security - Volume Part I
Year:
2005

Citing 5
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Abstract

This paper presents an outcome-space branch and bound algorithm for globally solving the linear multiplicative programming problems, in which we use a new two-level partition technique on rectangles and solve a simple relaxed quasiconcave programming problem at each branch node over outcome-space.We prove that the proposed algorithm is convergent. It can be shown by the numerical results that the proposed algorithm is effective.