OUTCOME SPACE ALGORITHM FOR GENERALIZED MULTIPLICATIVE PROBLEMS AND OPTIMIZATION OVER THE EFFICIENT SET

摘要

In this paper, an algorithm of the branch and bound type in outcome space is proposed for solving a global optimization problem that includes, as a special case, generalized multiplicative problems. As an application, we solve the problem of optimizing over the efficient set of a bicriteria concave maximization problem. Preliminary computational experiments show that this algorithm works well for problems where the dimensions of the decision space can be fairly large.