An outcome-space normal cone method for generalized concave multiplicative problems

: 10h15, ngày 10/03/2016 (Thứ Năm)

: D3-106

: Seminar Tối ưu

: Trần Ngọc Thăng

: Toán Tin

Tóm tắt báo cáo

Generalized Multiplicative programming problems have important applications in areas such as engineering, finance, economics, VLSI chip design and other fields. Although they are NP-hard global optimization problems, even for the case that the feasible set is a polytope and the objective function is the product of linear functions, they have attracted a lot of attention from researchers and practitioners.

This paper addresses an outcome-space outer approximation algorithm for solving the problem of globally maximizing the sum of products of concave functions over a nonempty convex compact set. From the relationship between normal cones in decision space and ones in outcome space, the approximate cutting-planes are established by solving the systems of linear equations which lead the computational efficiency of the proposed algorithm. Some illustrative examples are given and the numerical experiments are reported.

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