Abstract
This paper develops global optimization algorithms for linear multiplicative and generalized linear multiplicative programs based upon the lower bounding procedure of Ryoo and Sahinidis [30] and new greedy branching schemes that are applicable in the context of any rectangular branch-and-bound algorithm. Extensive computational results are presented on a wide range of problems from the literature, including quadratic and bilinear programs, and randomly generated large-scale multiplicative programs. It is shown that our algorithms make possible for the first time the solution of large and complex multiplicative programs to global optimality.
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Ryoo, HS., Sahinidis, N.V. Global Optimization of Multiplicative Programs. Journal of Global Optimization 26, 387–418 (2003). https://doi.org/10.1023/A:1024700901538
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DOI: https://doi.org/10.1023/A:1024700901538