Global Optimization of Multiplicative Programs

Authors:
Hong-Seo Ryoo;Nikolaos V. Sahinidis
Affiliations:
University of Illinois at Chicago, Department of Mechanical and Industrial Engineering, 842 West Taylor Street, Chicago, IL 60607, USA/;University of Illinois at Urbana-Champaign, Department of Chemical and Biomolecular Engineering, 600 South Mathews Avenue, Urbana, IL 61801, USACorresponding author. e-mail: nikos@uiuc.edu ...
Venue:
Journal of Global Optimization
Year:
2003

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Abstract

This paper develops global optimization algorithms for linear multiplicative and generalized linear multiplicative programs based upon the lower bounding procedure of Ryoo and Sahinidis [30] and new greedy branching schemes that are applicable in the context of any rectangular branch-and-bound algorithm. Extensive computational results are presented on a wide range of problems from the literature, including quadratic and bilinear programs, and randomly generated large-scale multiplicative programs. It is shown that our algorithms make possible for the first time the solution of large and complex multiplicative programs to global optimality.