Global Minimization of Increasing Positively Homogeneous Functions over the Unit Simplex |
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Authors: | AM Bagirov AM Rubinov |
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Institution: | (1) School of Information Technology and Mathematical Sciences, The University of Ballarat, Vic, 3353, Australia |
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Abstract: | In this paper we study a method for global optimization of increasing positively homogeneous functions over the unit simplex, which is a version of the cutting angle method. Some properties of the auxiliary subproblem are studied and a special algorithm for its solution is proposed. A cutting angle method based on this algorithm allows one to find an approximate solution of some problems of global optimization with 50 variables. Results of numerical experiments are discussed. |
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Keywords: | global optimization cutting angle method increasing positively homogeneous function |
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