A Finite Branch-and-Bound Algorithm for Linear Multiplicative Programming

Authors:
Takahito Kuno
Affiliations:
Institute of Information Sciences and Electronics, University of Tsukuba, Tsukuba Ibaraki 305-8573, Japan
Venue:
Computational Optimization and Applications
Year:
2001

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Abstract

On the basis of Soland's rectangular branch-and-bound, we develop an algorithm for minimizing a product of p (≥2) affine functions over a polytope. To tighten the lower bound on the value of each subproblem, we install a second-stage bounding procedure, which requires O(p) additional time in each iteration but remarkably reduces the number of branching operations. Computational results indicate that the algorithm is practical if p is less than 15, both in finding an exact optimal solution and an approximate solution.