Groupe d’études et de recherche en analyse des décisions

G-95-22

Generalized Convex Multiplicative Programming via Quasiconcave Minimization

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We present a new method for minimizing the sum of a convex function and a product of k nonnegative convex functions over a convex set. This problem is reduced to a k-dimensional quasiconcave minimization problem which is solved by a conical branch-and-bound algorithm. Comparative computational results are provided on test problems from the literature.

, 38 pages

Ce cahier a été révisé en février 1996