Linearization method for a class of multiplicative programming with exponent (Q864775)

The authors study a class of multiplicative programming with exponent under multiplicative constraints (MPE). This particular class of optimization problems arises often in financial optimization, plant layout design problems and robust optimization. The authors begin with two introductory sections which contain the useful background definitions and an equivalent problem formulation (obtained using logarithms) for which one can then derive a linear relaxation. This is then used in a branch and bound scheme to solve the problem to optimality. The details of the algorithm are presented in section 3 and convergence properties are investigated and proven. The paper concludes with a short section containing the results of a numerical experimentation using the proposed algorithm.