Global optimization of convex multiplicative programs by duality theory

Authors:
Rúbia M. Oliveira;Paulo A. V. Ferreira
Affiliations:
Faculty of Electrical & Computer Engineering, University of Campinas, Campinas/SP, Brazil;Faculty of Electrical & Computer Engineering, University of Campinas, Campinas/SP, Brazil
Venue:
COCOS'03 Proceedings of the Second international conference on Global Optimization and Constraint Satisfaction
Year:
2003

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Abstract

A global optimization approach for convex multiplicative problems based on the generalized Benders decomposition is proposed. A suitable representation of the multiplicative problem in the outcome space reduces its global solution to the solution of a sequence of quasiconcave minimizations over polytopes. Some similarities between convex multiplicative and convex multiobjective programming become evident through the methodology proposed. The algorithm is easily implemented; its performance is illustrated by a test problem.