凹多乘子规划问题的全局优化算法 |
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引用本文: | 靳利,周轲. 凹多乘子规划问题的全局优化算法[J]. 河南机电高等专科学校学报, 2009, 17(6): 151-153 |
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作者姓名: | 靳利 周轲 |
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作者单位: | 1. 河南师范大学,数学与信息科学学院,河南,新乡,453007;河南机电高等专科学校,河南,新乡,453002 2. 河南机电高等专科学校,河南,新乡,453002 |
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摘 要: | 针对广泛应用于经济管理、工程设计和证券分析等实际问题中的一类凹多乘子规划问题(P)给出了一全局优化算法。利用问题(P)的等价问题(P1)和函数的凹包络,建立了问题(P1)的松弛凸规划(PR1(H)),通过对(PR1(H))可行域的细分以及一系列(PR1(H))的求解过程,从理论上证明了算法收敛到问题(P)的全局最优解。
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关 键 词: | 全局优化 凹多乘子规划 凹包络 |
Global Optimization Algorithm for Concave Multiplicative Programming |
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Affiliation: | JIN Li, et al ( 1. Henan Normal University, Xinxiang 453007, China; 2.Henan Mechanical and Eleetronieal Engineering College, Xinxiang 453002, China) |
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Abstract: | Abstract:In this paper a global optimization algorithm is proposed for concave muhiplicative programming problem (P) ,which can be applied to economic management,engineering design, and portfolio analysis,and so on. Utilizing the equivalent problem ( PI ) of problem (P) and concave envelope,relaxed convex programming ( PR1 ( H ) ) about problem (P1) is established, through the successive refinement of the convex relaxation of the feasible region of the objective function and the solutions of a series of ( PR1 ( H ) ), and from theory the proof which the proposed algorithm is convergent to the global minimum is given. |
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Keywords: | global optimization concave multiplicative programming concave envelope |
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