Global Minimization of Increasing Positively Homogeneous Functions over the Unit Simplex

A.M. Bagirov and A.M. Rubinov

Annals of Operations Research, 2000, vol. 98, issue 1, 187 pages

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. Copyright Kluwer Academic Publishers 2000

Keywords: global optimization; cutting angle method; increasing positively homogeneous function (search for similar items in EconPapers)
Date: 2000
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DOI: 10.1023/A:1019204407420

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