A Deterministic Approach to Linear Programs with Several Additional Multiplicative Constraints

Authors:
Takahito Kuno;Hiroshi Konno;Akira Irie
Affiliations:
Institute of Information Sciences and Electronics, University of Tsukuba, Tsukuba, Ibaraki 305-8573, Japan. takahito@is.tsukuba.ac.jp;Department of Industrial Engineering and Management, Tokyo Institute of Technology, O-okayama, Meguro-ku, Tokyo 152-8550, Japan. konno@me.titech.ac.jp;Department of Industrial Engineering and Management, Tokyo Institute of Technology, O-okayama, Meguro-ku, Tokyo 152-8550, Japan. akira@me.titech.ac.jp
Venue:
Computational Optimization and Applications
Year:
1999

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Abstract

We consider a global optimization problem of minimizinga linear function subject to p linear multiplicative constraintsas well as ordinary linear constraints. We show that this problem can reduce to a 2p-dimensional reverse convex program,and present an algorithm for solving the resulting problem.Our algorithm converges to a globally optimal solution and yieldsan ε-approximate solution in finite timefor any ε 0. We also report some results of computational experiment.