Global Maximization of a Generalized Concave Multiplicative Problem in the Outcome Space
نویسندگان
چکیده
In this work we propose an outcome space approach for globally solving generalized concave multiplicative problems, a special class of nonconvex problems which involves the maximization of a finite sum of products of concave functions over a nonempty compact convex set. It is shown that this nonconvex maximization problem can be reformulated as an indefinite quadratic problem with infinitely many linear inequality constraints. A relaxation-constraint enumeration algorithm is used to solve such indefinite quadratic programming problem. A computational experience is reported.
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