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Global Minimization of Increasing Positively Homogeneous Functions over the Unit Simplex

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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.

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Authors and Affiliations

  1. School of Information Technology and Mathematical Sciences, The University of Ballarat, Vic, 3353, Australia

    A.M. Bagirov & A.M. Rubinov

Authors
  1. A.M. Bagirov
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  2. A.M. Rubinov
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Bagirov, A., Rubinov, A. Global Minimization of Increasing Positively Homogeneous Functions over the Unit Simplex. Annals of Operations Research 98, 171–187 (2000). https://doi.org/10.1023/A:1019204407420

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  • DOI: https://doi.org/10.1023/A:1019204407420

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