A Finite Algorithm for Globally Optimizing a Class of Rank-Two Reverse Convex Programs

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Abstract

In this paper, we propose an algorithm for solving a linear program with an additional rank-two reverse convex constraint. Unlike the existing methods which generate approximately optimal solutions, the algorithm provides a rigorous optimal solution to this nonconvex problem by a finite number of dual pivot operations. Computational results indicate that the algorithm is practical and can solve fairly large scale problems.

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