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Global Minimization of Increasing Positively Homogeneous Functions over the Unit Simplex (2000)

Bagirov, A.M. ; Rubinov, A.M.

Springer

Annals of operations research 98 (2000), S. 171-187

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ISSN: 1572-9338

Keywords: global optimization ; cutting angle method ; increasing positively homogeneous function

Source: Springer Online Journal Archives 1860-2000

Topics: Mathematics , Economics

Notes: Abstract In this paper we study a method for global optimization of increasing positively homogeneous functions over the unit simplex, which is a version of the cutting angle method. Some properties of the auxiliary subproblem are studied and a special algorithm for its solution is proposed. A cutting angle method based on this algorithm allows one to find an approximate solution of some problems of global optimization with 50 variables. Results of numerical experiments are discussed.

Type of Medium: Electronic Resource

URL: http://dx.doi.org/10.1023/A:1019204407420

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