A global optimization approach for solving the convex multiplicative programming problem. (English) Zbl 0752.90056

Summary: We consider a convex multiplicative programming problem of the form \(\min\{f_ 1(x)\cdot f_ 2(x): x\in X\}\), where \(X\) is a compact convex subset of \(\mathbb{R}^ n\) and \(f_ 1\), \(f_ 2\) are convex functions which have nonnegative values over \(X\). Using two additional variables we transform this problem into a problem with a special structure in which the objective function depends only on two of the \((n+2)\) variables. Following a decomposition concept in global optimization we then reduce this problem to a master problem of minimizing a quasi-concave function over a convex set in \(\mathbb{R}^ 2_ +\). This master problem can be solved by an outer approximation method which requires performing a sequence of simplex tableau pivoting operations. The proposed algorithm terminates when the function \(f_ i\), \((i=1,2)\) are affine-linear and \(X\) is a polytope and it is convergent for the general convex case.


90C25 Convex programming
90-08 Computational methods for problems pertaining to operations research and mathematical programming
Full Text: DOI


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