On a nonseparable convex maximization problem with continuous knapsack constraints

Authors:
H. Edwin Romeijn;Joseph Geunes;Kevin Taaffe
Affiliations:
Department of Industrial and Systems Engineering, University of Florida, P.O. Box 116595, Gainesville, FL. 32611-6595, USA;Department of Industrial and Systems Engineering, University of Florida, P.O. Box 116595, Gainesville, FL. 32611-6595, USA;Department of Industrial Engineering, Clemson University, USA
Venue:
Operations Research Letters
Year:
2007

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Abstract

We develop a polynomial-time algorithm for a class of nonseparable convex maximization problems with continuous knapsack constraints based on an analysis of the Karush-Kuhn-Tucker optimality conditions and the special problem structure. This problem class has applicability in areas such as production and logistics planning and financial engineering.