Abstract
The solution of a particular nonconvex program is usually very dependent on the structure of the problem. In this paper we identify classes of nonconvex problems involving either sums or products of ratios of linear terms which may be treated by analysis in a transformed space. In each class, the image space is defined by a mapping which associates a new variable with each original ratio of linear terms. In the image space, optimization is easy in certain directions, and the overall solution may be realized by sequentially optimizing in these directions.
In addition to these ratio problems, we also show how to use image space analysis to treat the subclass of problems whose objective is to optimize a product of linear terms. For each class of nonconvex problems, we present an algorithm that locates global solutions by computing both upper and lower bounds on the solution and then solving a sequence of linear programming sub-problems. We also demonstrate the algorithms described in this paper by solving several example problems.
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Falk, J.E., Palocsay, S.W. Image space analysis of generalized fractional programs. J Glob Optim 4, 63–88 (1994). https://doi.org/10.1007/BF01096535
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DOI: https://doi.org/10.1007/BF01096535