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A Deterministic Approach to Linear Programs with Several Additional Multiplicative Constraints |
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| Authors: | Takahito Kuno Hiroshi Konno Akira Irie |
| Affiliation: | (1) Institute of Information Sciences and Electronics, University of Tsukuba, Tsukuba, Ibaraki, 305-8573, Japan;(2) Department of Industrial Engineering and Management, Tokyo Institute of Technology, O-okayama, Meguro-ku, Tokyo, 152-8550, Japan |
| Abstract: | We consider a global optimization problem of minimizing a linear function subject to p linear multiplicative constraints as well as ordinary linear constraints. We show that this problem can reduce to a 2p-dimensional reverse convex program, and present an algorithm for solving the resulting problem. Our algorithm converges to a globally optimal solution and yields an  -approximate solution in finite time for any > 0. We also report some results of computational experiment. |
| Keywords: | global optimization deterministic approach reverse convex program linear multiplicative constraint low rank nonconvex structure |
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