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A reformulation-linearization technique for optimization over simplices |
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| Authors: | Selvi Aras den Hertog Dick Wiesemann Wolfram |
| Institution: | 1.Imperial College Business School, Imperial College London, South Kensington Campus, London, SW7 2AZ, UK ;2.Amsterdam Business School, University of Amsterdam, 1018 TV, Amsterdam, The Netherlands ; |
| Abstract: | Mathematical Programming - We study non-convex optimization problems over simplices. We show that for a large class of objective functions, the convex approximation obtained from the... |
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