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An efficient method for generalized linear multiplicative programming problem with multiplicative constraints
1School of Mathematics and Statistics, Xidian University, Xi'an, 710071 China ; School of Mathematical Science, Henan Institute of Science and Technology, Xinxiang, 453003 China.
Abstract:
We present a practical branch and bound algorithm for globally solving generalized linear multiplicative programming problem with multiplicative constraints. To solve the problem, a relaxation programming problem which is equivalent to a linear programming is proposed by utilizing a new two-phase relaxation technique. In the algorithm, lower and upper bounds are simultaneously obtained by solving some linear relaxation programming problems. Global convergence has been proved and results of some sample examples and a small random experiment show that the proposed algorithm is feasible and efficient.
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