A GLOBAL OPTIMIZATION APPROACH TO RATIONALLY CONSTRAINED RATIONAL PROGRAMMING

The rationally constrained rational programming (RCR) problem is shown, for the first time, to be equivalent to the quadratically constrained quadratic programming problem with convex objective function and constraints that are all convex except for one that is concave and separable. This equivalenc...

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Vydané v:Chemical engineering communications Ročník 115; číslo 1; s. 127 - 147
Hlavní autori: MANOUSIOUTHAKIS, VASILIOS, SOURLAS, DENNIS
Médium: Journal Article
Jazyk:English
Vydavateľské údaje: Elmont, NY Taylor & Francis Group 01.04.1992
Taylor & Francis
Predmet:
Applied sciences
Exact sciences and technology
Global Optimization Decomposition Reverse convex
Mathematical programming
Operational research and scientific management
Operational research. Management science
Equivalence
Global optimum
Quadratic programming
Algorithm
Convex programming
Optimization
Mathematical programming
ISSN:0098-6445, 1563-5201
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Popis
Shrnutí:The rationally constrained rational programming (RCR) problem is shown, for the first time, to be equivalent to the quadratically constrained quadratic programming problem with convex objective function and constraints that are all convex except for one that is concave and separable. This equivalence is then used in developing a novel implementation of the Generalized Benders Decomposition (GBDA) which, unlike all earlier implementations, is guaranteed to identify the global optimum of the RCRP problem. It is also shown, that the critical step in the proposed GBDA implementation is the solution of the master problem which is a quadratically constrained, separable, reverse convex programming problem that must be solved globally. Algorithmic approaches to the solution of such problems are discussed and illustrative examples are presented.
ISSN:0098-6445
1563-5201
DOI:10.1080/00986449208936033