AN ALGORITHM FOR SOLVING CONVEX-PROGRAMS WITH AN ADDITIONAL CONVEX CONCAVE CONSTRAINT

Authors
MUU LD
Citation
Ld. Muu, AN ALGORITHM FOR SOLVING CONVEX-PROGRAMS WITH AN ADDITIONAL CONVEX CONCAVE CONSTRAINT, Mathematical programming, 61(1), 1993, pp. 75-87
Citations number
19
Categorie Soggetti
Operatione Research & Management Science",Mathematics,"Operatione Research & Management Science",Mathematics,"Computer Applications & Cybernetics
Journal title
Mathematical programming → ACNP
ISSN journal
00255610
Volume
61
Issue
1
Year of publication
1993
Pages
75 - 87
Database
ISI
SICI code
0025-5610(1993)61:1<75:AAFSCW>2.0.ZU;2-Y
Abstract
An implementable decomposition method based on branch-and-bound techni ques is proposed for finding a global optimal solution of certain conv ex programs with an additional convex-concave constraint h (x, y) less -than-or-equal-to 0. A nonadaptive simplicial and an adaptive bisectio n are used for the branching operation, which is performed in y-space only. The bounding operation is based on a relaxation of the convex-co ncave constraint h(x, y) less-than-or-equal-to 0. The algorithm can be applied efficiently for linear programs with an additional affine mul tiplicative constraint.