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DOI 10.1007/s10898-005-2098-3
1. Introduction
Generalized Geometric Programming (GGP) Problems are frequent in vari-
ous elds, such as engineering design, location-allocation, chemical process,
and management problems. Many theoretical and algorithmic contributions
of GGP have also been proposed. The developments of global optimization
methods for GGP problems focus mainly on deterministic and heuristic
approaches. Horst and Pardalos (1995) and Pardalos and Romeijn (2002)
provided an impressive overview of these approaches. Recently, Maranas
and Floudas (1997), Floudas et al. (1999) and Floudas (2000) (these three
methods are called Floudas methods in this study) developed methods
for solving GGP problems to obtain a global optimum. However, their
methods are only applicable to GGP problems with positive variables. This
study proposes a technique for improving these methods such that they can
also handle GGP problems containing free (i.e., positive, zero or negative)
variables.
2 HAN-LIN LI AND JUNG-FA TSAI
Minimize G0 (Y ) = G+
0 (Y ) G0 (Y )
subject to Gk (Y ) = G+
k (Y ) Gk (Y ) lk , k = 1, . . . , K,
ln yi y i , y i = ln x i , i = 1, . . . , n,
n
pi yi
+
G0 (Y ) = cp e i=1 , p = 1, . . . , T0 ,
Cp >0
n
pi yi
G
0 (Y ) = cp e i=1 , p = 1, . . . , T0 ,
Cp <0
n
kqi yi
G+
k (Y ) = hkq ei=1 , k = 1, . . . , K, q = 1, . . . , Tk ,
hkq >0
n
kqi yi
G
k (Y ) = hkq ei=1 , k = 1, . . . , K, q = 1, . . . , Tk ,
hkq <0
TREATING FREE VARIABLES 3
2. Propositions
Consider xi , x i < xi x i , x i can be zero or negative. Denote i and i as
two 0-1 variables, as dened below:
4 HAN-LIN LI AND JUNG-FA TSAI
Proof. Let us rst prove that constraints (i), (ii), and (iii) imply xi =
xi0 i (1 2i ); as stated below:
If (i) is activated then i = 0, which results in xi = 0 and xi0 i (1 2i ) = 0.
If (ii) is activated then i 2i 1 = 1 i + i (means i = 1 and i = 0),
which implies xi = xi0 and xi0 i (1 2i ) = xi0 .
If (iii) is activated then i + i 2 = 3 i 2i (means i = 1 and i = 1),
which implies xi = xi0 and xi0 i (1 2i ) = xi0 .
The next step is to prove that the equality xi = xi0 i (1 2i ) is fully con-
verted into constraints (i), (ii), and (iii). If i = 0 then the equality means
xi = 0, which is the same as in (i), and does not violate with (ii) and (iii). If
i = 1 and i = 0 then the equality is the same as in (ii) and does not vio-
late with (i) and (iii). Similarly, if i = 1 and i = 1 then the equality is the
same as in (iii). The above demonstrates that the equality xi = xi0 i (1 2i )
is equivalent to constraints (i), (ii), and (iii).
and
i
Remark 2. If iI i is an odd value, then iI (1 2i ) = 1. If
i
iI i is an even value, then iI (1 2i ) = 1.
PROPOSITION 3. Let
{0, 1} and
t an integer variable, where =
i
iI i 2t and 0 t 2 iI i + 1 , then iI (1 2i ) = 1 2 .
1
Proof. If iI i is odd then is 1, and if iI i is even then is 0.
This proves the proposition.
For instance, if i = 4 then = 4 2t for 0 t 2, which forces t = 2
iI
and = 0. If i = 5 then = 5 2t for 0 t 3 , which requires t = 2 and
iI
= 1.
z = z0 (1 2 ). (5)
Proof.
If = 0 then w = 0 and r = 0 based on (i) and (iv), which results in z =
w 2r = z0 (1 2 ) = 0.
If = 1 and = 0 then w = z0 (from (ii)) and r = 0 (from (iii)), which results
in z = z0 = z0 (1 2 ).
If = 1 and = 1 then w = z0 (from (ii)) and r = z0 (from (v)), which results
in z = z0 = z0 (1 2 ).
The above cases support that z = z0 (1 2) = w 2r.
T0
Minimize cp (wp 2rp )
p=1
Tk
subject to hkq (wkq 2rkq ) lk for k = 1, . . . , K,
q=1
TREATING FREE VARIABLES 7
(a1) 0 wp zp , p = 1, . . . , T0 ,
pi ypi
(a2) wp e + z(1 p ) 0, p = 1, . . . , T0 ,
pi ypi
(a3) wp + e + z(p 1) 0, p = 1, . . . , T0 ,
(a4) 0 rp zp , p = 1, . . . , T0 ,
(a5) rp zp , p = 1, . . . , T0 ,
pi ypi
(a6) rp e + z(2 p + p ) 0, p = 1, . . . , T0 ,
(a7) rp + e pi ypi + z(p + p 2) 0, p J , p = 1, . . . , T0 ,
n
(a8) pi n + 1 p , p = 1, . . . , T0 ,
i=1
(a9) p pi , p = 1, . . . , T0 , i = 1, . . . , n,
(a10) p = pi 2tp , p = 1, . . . , T0 ,
iI
(a11) 0 tp 21 ( pi + 1), p = 1, . . . , T0 ,
iI
(a12) x pi pi xpi x pi pi , p=1, . . . , T0 , i=1, . . . , n,
ypi
(a13) x pi (pi 2pi 1) + e
xpi (1 pi + pi )x pi + eypi , pi J, p = 1, . . . , T0 ,
i = 1, . . . , n,
(a14) x pi (pi + pi 2) eypi
xpi x pi (3 pi 2pi ) eypi , pi J, p = 1, . . . , T0 ,
i = 1, . . . , n,
(a15) x pi (pi 1) + eypi
xpi x pi (1 pi ) + eypi , pi
/ J, p = 1, . . . , T0 ,
i = 1, . . . , n,
(a16) ln ypi ln x pi , p=1, . . . , T0 , i=1, . . . , n,
Remark 5. For a general signomial form z = x11 x22 xnn where the num-
ber of variables with free lower bounds is k(k < n), the number of extra
binary variables used to transform z into some proper forms solvable using
Floudas methods is 2 + 2n. Moreover, the number of additional constraints
in the transformation is 13 + 7n + 2k.
5. Examples
EXAMPLE 1.
z10 = e2.1y1 +y2+ +3y3 , z20 = ey1 , z30 = e2y2 , z40 = ey2 ,
z50 = ey3 , and xj0 = eyj , for j = 1, 2, 3.
EXAMPLE 3.
Minimize Z(X) = x12 x20.5 x31 + 8x11 x42 8x4
subject to
x1 x20.5 x30.5 3,
2x1 + x2 x3 + x4 6,
1 x1 5, 3 x2 7, 1 x3 10, 1 x4 5.
6. Conclusions
This study proposes a method for improving Floudas methods to treat free
variables in GGP programs. The improvement is achieved by converting the
logical relationship among the variables in a product term into a set of lin-
ear mixed 0-1 inequalities, which can be merged conveniently into Floudas
TREATING FREE VARIABLES 13
methods. This study also develops some useful rules to effectively convexify
more general signomial terms in GGP programs.
Acknowledgements
The authors would like to thank the anonymous referees for contribut-
ing their valuable comments regarding this paper, and thus signicantly
improving the quality of this paper.
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