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Outcome space algorithm for generalized multiplicative problems and optimization over the efficient set

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  • In this paper, an algorithm of the branch and bound type in outcome space is proposed for solving a global optimization problem that includes, as a special case, generalized multiplicative problems. As an application, we solve the problem of optimizing over the efficient set of a bicriteria concave maximization problem. Preliminary computational experiments show that this algorithm works well for problems where the dimensions of the decision space can be fairly large.
    Mathematics Subject Classification: Primary: 90C29; Secondary: 90C26.


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