Global Maximization of a Convex Function with Linear Inequality Constraints

1 June 1974

journal article
Published by Institute for Operations Research and the Management Sciences (INFORMS) in Operations Research

Vol. 22 (3) , 602-609
https://doi.org/10.1287/opre.22.3.602

Abstract

This paper presents an algorithm for the global maximization of a convex function subject to linear inequality constraints. It is computationally finite and is designed to converge rapidly on problems in which there are few local optima or the global optimum is significantly better than most of the other local optima.

Keywords

CONVEX FUNCTION
GLOBAL MAXIMIZATION
INEQUALITY
LOCAL OPTIMA
GLOBAL OPTIMUM
CONVERGE RAPIDLY
FUNCTION SUBJECT