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Concavity cuts for disjoint bilinear programming
Author(s) -
Stéphane Alarie,
Charles Audet,
Brigitte Jaumard,
Gilles Savard
Publication year - 2001
Publication title -
mathematical programming
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 2.358
H-Index - 131
eISSN - 1436-4646
pISSN - 0025-5610
DOI - 10.1007/pl00011428
Subject(s) - disjoint sets , bilinear interpolation , mathematics , mathematical optimization , linear programming , degenerate energy levels , optimization problem , nonlinear programming , combinatorics , nonlinear system , statistics , physics , quantum mechanics
.   We pursue the study of concavity cuts for the disjoint bilinear programming problem. This optimization problem has two equivalent symmetric linear maxmin reformulations, leading to two sets of concavity cuts. We first examine the depth of these cuts by considering the assumptions on the boundedness of the feasible regions of both maxmin and bilinear formulations. We next propose a branch and bound algorithm which make use of concavity cuts. We also present a procedure that eliminates degenerate solutions. Extensive computational experiences are reported. Sparse problems with up to 500 variables in each disjoint sets and 100 constraints, and dense problems with up to 60 variables again in each sets and 60 constraints are solved in reasonable computing times.

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