A GLOBAL OPTIMIZATION APPROACH TO RATIONALLY CONSTRAINED RATIONAL PROGRAMMING

Publisher Website
Google Scholar
Abstract
The rationally constrained rational programming (RCR) problem is shown, for the first time, to be equivalent to the quadratically constrained quadratic programming problem with convex objective function and constraints that are all convex except for one that is concave and separable. This equivalence is then used in developing a novel implementation of the Generalized Benders Decomposition (GBDA) which, unlike all earlier implementations, is guaranteed to identify the global optimum of the RCRP problem. It is also shown, that the critical step in the proposed GBDA implementation is the solution of the master problem which is a quadratically constrained, separable, reverse convex programming problem that must be solved globally. Algorithmic approaches to the solution of such problems are discussed and illustrative examples are presented.

This publication has 21 references indexed in Scilit: