January ー6,ー979

EIS−T R−7 9一$
辮.
o.♂竃
Il’lll!llll’ ,1 ,i.lilL
ON THE APPLICATIONS OF
BILINEAR PROGRAMMING
BY
Hiroshi Konno
January 16,1979
一 1 −
On the Applications of Bilinear Programming
Hiroshi Konno*
1. 工n・ヒroduction
The purpose of this paper is to discuss sorne of the more
important applications of bilinear programming and to focus our
attention on its practical value. BUinear programming is a
technique for solving a special class of nonconvex guadratic
progra.rnming problem:
. . . ・ヒ ’ヒ t
minimize cixl+ciX2+XigX2
subject to Alxl=bzr xl)一〇 7 (1・1)
A2×2=b2f x221.O
where cieRni, bieRMi, AiERMiXni., xieRni, i=1,2’and QERnlXn2.
We refer to (1.1)’ as a bilinear programming problem (BLP) in a
standard form. Needless to say that a general bilinear programming
problem with mixed equality and inequality constraints can be
reduced to the standard form as in七he case of lエnear progra㎜■ng.
The author proposed a cut’ヒi血q plane algori’ヒhm for solving B:LP
and obtained some encouraqing results七hrough numerical experimenセs
[8]. Also Gallo and UikUcU [6] and Falk [4] proposed algorithms
of enumerative nature. More recently, Vaish and Shetty [18]r
Shetty and Sherali [16] ex’ヒended the results of [8] and established
finite convergence of the alqorithm・ 工’ヒ is hoped that.’ヒhese
★Associate Professorr Institute of 工nformation Sciences,
University of Tsukuba, lbarakir Japan.
一 2 一一
ef£orts in ’ ≠撃№盾窒奄狽?高奄メ@development will, in the near future,
enable us to solve this class qf problem$ efficien’ヒ1y・
Before going into ’ヒypical apPlications of BLP, We will briefly
sumarize its reiationship to other classes of mathematicaZ
programming problems.
First of all, we wil:L obtain a BLP if we allow cost coefficien・ヒs
c in a standard linear program:
:tbnl.:.j:et. xix.b,..o } (1.2)
to vary in a polyhedral convex set. We.will call such a problem:
’ ” t
mammlze c x
subゴect to Ax=b, x>0 (1.3)
Ac = br c > O
an.extended linear program .(ELP).
Secondly, i’ヒ is not difficult to show ’ヒhat a linear max−min
problem (LMMP):
mi斐1畏i聴P皇X+P8y 1 B・∵B2yΣb}(・・4)
where X and Y.are polyhedral convex sets,.can.be converted ’ヒ。 a
B:LP’ under some reg’ularity condition’ by ’ヒaki昇9 the partial dual
with respect to Y. This problem has been discussed by Falk [4]
as 一tATell as by Dantzig [2] and Konno [10].
Thirdlyr BLP has a close reiationship with a generalized linear
program ’ヒ。 be fully discussed in sec’ヒion 4.
Finally, i’ヒhas been proved in [9] ・ヒha・ヒ ・ヒhe minimization of a
concave quadratic fundtion sub)ect to iinear constraints (CQP):
一 3 −
minimize 2ctx+X’tgX ) a.s一>
subject to Ax= b r x20 J
where Q is symmetric and negative semi−definite, is equivalent
’ヒ。 a BLP:
minimize ctu+ctv+utQ v
subject to Au= b , u20 〉 (1.6)
Av = b r v)O
The relatidnship between 〈1.5) and (1.6) is fully discussed in
[9]. 工’ヒ is well k:nown [1 3】 that CQp is closely rela’ヒed to in’ヒeger
programming problems, so that BLP is indirectly related to integer
programs. Figure 1.1 summarizes the relationships among the
problems disqussed above.
va]riable
LP
colU田ns
・n搾∼獲「
GLP
CQns ain・ヒ
ILP
vaユ2iεま)le cost
㏄もfficienゼ
free variables
quadra.ti c
dbゴec丘ve
GLP蟹
CQP
9P
鑑”鞘 ^釜.
spe’dial
strUC・ヒure
special structure
BZsP
Ll!LDvEP
duali−
zation
Figure
1.i
工n ・ヒhe sections
Lons to foilow,
we will pick up new examples oE
which are of practical and ・ヒheore・ヒical interests. :For other
[2r3r5 ,11] ・
examples readers are ref’ ?窒窒?п@to
BX.,P
一 4 −
2. Loca・ヒion−al:Location problems
There is a large arnount of literature under the tit’le of
location−aliocation theory (See [15]). Suppose we are given
a)aset of m poin・ヒs distribu‘ヒed in the plane
b) a▽ec・ヒor▽alue ・ヒ。 be attached’ヒ。 each point
c) a set of indivisible cen・ヒroids wi・ヒhout predetermined
locations
then ・ヒhe location−alloca・ヒion p:roblem in i・ヒs most general form is
to find loca・ヒions for m centroids ahd an allocation of vector
▽alue associated with n points to some cen’ヒroid so as ’ヒ。 m■n■mエze
the to・ヒal cos・ヒ. Here, we will show that one version of this
class of problems can be put in・ヒ。 the framework of BLP in a ▽ery
na・ヒural way.
(a) Single factory case
Let there be m cities Pi, i=1,...,m on a plane. Pi is located
at (pi,qi) relative to some coordinate system. We are required
to construct a fac・ヒory F somewhere on ・ヒhis plane・ This fac’ヒory
needs bj units of n different materials Mj, j=lr’”,n. Let us
assume that Pi can supply at most aij units of Mj for the unit
price ciゴand the unit transp。rtati。n c。st fゴ(pe「unit amount
per unit distance). Our concern is to minimize the total expense
whiqh is represented by the sum of total purchasing cost and the
total transportation cost. Let (xo,yo) be the location of the
factory to be constructed and let’uij be the amount of Mj to be
purchased at Pi. Then uij has to satisfy:
一 5 一
i三、Uiゴ≧bゴ’ ゴ=’r…’n’
(2.1)
0≦uij≦aiゴ’i=1’…rmr ゴ=1’…’n・
Total pu「chasinq cost C 吹@and total t「anspo「tation cost CT a「e
qiven by
Cp=i三・」三・ciゴuiゴ .. (2●2)・
CT=i三、ゴ三、 fゴ’uiゴd(pi’F) (2’3)
where d(pi’F)is the distance between Pi and F・エf we assume’
in additi・n’that the distance d(pi’F)is given by l n・rm i・e・’
d(pi’F)一dl(pi’F)…IPi−xO I+lqi−yO l (2・4)
’ヒhen ’ヒhe total cost C is qiven by
m n
c=i三、ゴ三、[ciゴuiゴ+fゴuiゴ(lpi””x・1+lqi−y・1)] (2・5)
By intr。fucing auxiliary variables’xiZ and yiZ satisfying
xil−xi2=pi−xO’xil≧0’xi2≧0’xilxi2=0’i =1’…’m’
(2.6)
yiゴyi2=qi−yO’yi1≧0’yi2≧0’yilyi2=0’i=1r…’m・
’ヒhe absolute value terms can be represented as:
lPi−Xo l=Xil+Xi2
(2.7)
lqi“一yo l−yil+yi2
So our problem is to
一 6 −
m n
m工n工m■ze C= i三、ゴ三、uiゴ[ciゴ+fゴ(xi・+xi2+yi・+yi2)]
subject to
m
ill’Uij)bj’ j=1,’”rnr
OsUij≦aiゴ’i=1’…’mr j=1’●’●’n’
Xu ’ Xi2 + Xo = Pi r
(2.8)
i = 1,ee’, mt
Yil 一 Yi2 + Yo = qi r
Xiz 20r Yiz 20r i=1,’”rrnr,Z=:lr2,
XilXi2=Or YilYi2=Or i=1,’”,M・
1●ヒ is straightforward the
’ヒ。 show that the oP’ヒimal solution of
orthogonality
associa七ed bilinear program in which ・ヒhe condition
in (2・8) i$ relaxed au’ヒomatically sa・ヒisfy ・ヒhe or・ヒhognality proper−
tY if f 鰍Q0r j=i,’”,n
and hence the problem can be solved by
in [8].
applying the algorithm developed
(b) Multi“factory case
Le’ヒus consider next the multi−factory▽ersion of the problem
discussed above・ The basic set’ヒinq of the problem is the same as
before except that
(i) K (Zl) factories F
k=1.・e・,K have to be constructed
k’
(“) each factory produces L different types of commodities
Czr Z=Zr’”rL
(iii) each produc’ヒhas to be shipPed to m cities P.,i=1,… rm.
1
Let
ui.j : the amount of Mj to be purchased at Pi and shipped
to F
k
一・ 7 −
k
x’i’z : amount of Cz to be shipped to Pi from Fk
b5. : amount of Mj required at Fk
aij : maximum supply of Mj at Pi
cl」 : unit price of Mj at Pi
dS : amo’unt of Cz produced at Fk
eiz : demand for Cz at Pi
(Pi rqi): location of pi
(Xk,yk): location of Fk
d(PirFk): distance between Pi and Fk
fj : unit transportation cost of Mj
gz : unit transportation cost of Cz
The total cost is given by
n K
m
c一’i ’z一 一z一 c.,u!y.
i=1ゴ=lk=1 ■J ■コ
+il、 kl、(Zl、 gZXいゴ三、 fゴu蓋ゴ)d(pi’Fk)
(2.9)
Aiso u5・j and x5. z .have to satisfy:
il、 u釜コ≧b誉’ゴー・’…’n’k一・’…’K,
k=Kti u5’j s aij,’ i == i,’”,m, j= i,・e・,n,
iltl]i xi’zS d5 , Z=i,’”rL, k= i,’”rK,
(2.10)
一 8 −
5 k . .,
k41 X’」Xz:eizr i=1,’”rm, Z=1,…,L,
u葦ゴ≧・一葦Z≧・r Vitゴrk’Z
Hence the problem is to minimize (2.9) subject to (2.IO) which is
a BLP provided that d(・,・) is defined by 1 norm as be fore. We
assumed here that there are no inter−fac’ヒory material flows.
Should・ヒhere be such flows, 『ヒhe problem can no longer be formu−
lated in the frarnework of b“inear programming.
3. Applications i n mu l t i−att.r i b g.一t.pmt t z l i ty an a l y s i s
Suppose a decision maker is facistg a problem of choo.sing the
’best’ among rn possible alternatives Ai c i=lr.e.rm in the
st・chastic envir・尊ment where n p。ssible events Eゴ’ゴ=lr…’n
take place with probability pij when Ai is chosen.
1、e’ヒ us suppose also ’ヒhat there a:re K independent attribu’ヒes
(objectives) Tk, k=1,e・・,K and that the ut“ity associated with
the七rip・e(Ai・ Eゴ’Tk)’is given by a量ゴ・A・s・we−assume−that the
overall utility of the decision maker is additiVe, i.e.r the
expected.utility ui obtained by choosing Ai is given by
ui=k5ti ;ti wkpija5・」 . ’ (3.i)
where wk is the weight representing the relative importance of Tk.
diven wk’piゴ’a葦ゴ’一the best a・ternative is the・ne.c・rresp・nding
to rnax u・.
ISis〈m i
rヒ sometimes hapPens, however, due to the lack of information
一 9 −
that wks and pl.」s are not known exactly. Typically, the analyst
has to interview the decision Lmaker to estimate wks and the best
we can hope for is the in・ヒer▽al estimates
W−k S Wk S Wk , k= i,・.・,K.
where w一一k and wk are given constants (see [14]).
SimiZar argument applies as well to the probability measure pij・
Let us suppose here ’ヒhat
Eiゴ≦Piゴ≦Piゴ’ i=1’…’m’j=1’…’n’
n
ゴ三、Pi」=’”=”●.●’m・
where’ P2ij and pij are given constants.
工n this case, we may not be able to identify the bes・ヒ al・ヒerna・ヒi▽e
due to uncertainty. Howeverr some of the alternatives’ @may be
eliminated as inefficient ones by solving BLP’s.
Let
W= {W=(Wl,’”,wk)lw..k S wk E wd−k, k=1,・・e,K} (3.2)
pi= {pi=(pil. r’”pin)IEI」 s pl」 s Pij,
n
j=it’”,n;J.4i Pij=i} i:ir・“’,m・ (3.3)
which we assume to be nonempヒy. Let
!ii=:min’{k=Kti j¥ti wkpija5・jlw(w, pi(pi} . (3.4)
K n
”i= max{k三、ゴ三、 wkpiゴa釜ゴlw∈W’pi∈pi} (3.5)
工t is obvious ・ヒhat A can be elimina・ヒed from・ヒhe candidates of
s
一 10 一
〇ptimai alternatiVeS if !{!r>Us.
Similariy, if
K n
urs…m’n{ 去O、ゴ三、 wk(prゴaiゴ」psゴa慧ゴ)lwξW’pr∈pr’ps∈ps}〉・(3・6)
then As can be eliminated. Problems (3.4)(3.5) and (3.6) are all
bilinear programming problem with a very special structure. Let
us take for example (3.4) suppressing index i:
. . . IS R k
mユn’m’ze k三、ゴ三、 a」Pゴwk
sub」ect t・ゴ1、 pゴ=・’Eゴ≦Pゴ≦i5」 r」一・’…’n;(3’7)
W一一kSWkSWkr k”1,’”rK
mi he next ’ヒheorem characterizes the form of an oPヒimal solution
of (3.7).
Theorem 3.1
There exists wir k=1,’”,K; pir j=1,’”,n which is optimal
t。(3・7)・A’s。’w直islequa・t・線・r百k f・r a・・k’and pゴis
equal t。2ゴ。「p」excep樗。「p。ssibly one index」・・
Proof: W and P are bounded polyhedral convex sets. Hence by
the fundamental theorem of bilinear programming [8], there
exis’ヒs an op’ヒimal solution (w★rp★) where w★ and p★ are ex’ヒreme
poin’ヒs Qf W and P, respectively. 工t is easy to see ・ヒhat any
extreme point of W and P has the property s’ヒated in ’ヒhe theorem・ll
Also it may be more appropriate in some cases to normalize wk,
一” 11 一’
K
k=1,・e・,K @so that they satisfy the condition kEz Wk=Xr in WhiCh
case we still have a biZinear programming problem with someWhat
more complicated structure. For the background material of
utility analysis the readers are referred to Keeney and Raiffa
[7] and to Sarin [14].
4. 11gtn si1igiE}s2g111−gg!}gsglLlggsl−IU!sgiEny12Eggxg1!n standard generaiized iinear program
:Let us consider ‘ヒhe generalized linear proqram (GLP) in・ヒroduced
by Dantzig and Wolfe [1】
n
m■n■m■ze Σ C.X.
ゴ=1 ココ
s ubゴect t.ゴ三、 a」Xゴ=b (4・・)
xゴ≧・’(:1)εCゴ’』」=・,…,n
where ajεRM’cゴεRl and CゴεRm+’is a c・mpact cQnvex set f・r
ゴー・’…rn・N・te that minimizati・n is taken・V・・ (:/r)as we・・as
x」・The alg。rithm f。r s・lving GLP pr・ceeds r・ughly as f・↓1。ws・
1’ven(1)εCゴ…・’…’Zゴ’j一’n’一一
program:
z.
minimize 慧Σ]CそXそ
ゴ=lz ・1⊃コ
subject t・」三、Z鞠一b’ (4.2)
xl≧・’Z一・’…’・j;ゴー・’…,n
.一 12 一
and let TeRM be an optimal rnultiplier vector for .this linear
proqram. 工’ヒ can be shown ’ヒhat if
cゴπaゴ≧・∀(:l/εC」一=・,…,n・
then the current’solution is optimal. 工f, on the o・ヒher hand,
there exists an indexゴand a vect・r(:1)εCゴf・r which cゴーtr・aゴく・’
then ・ヒhe obゴecti▽e function will be improved by introducing this
@into the basis. To find the vectors (gl,) for which
vector
cゴーπaゴ<0’we s。lve the following n subp「oblems・
minimize{cゴー一Taゴ1 〈:1) ecゴ}rゴー・’…’n (4・3)
Let
i:1)satiSfy瞬・r七hen we wi・・intr・duce this一・u一
▽eciヒor into (4・2) and prQceed・ 工’ヒ has been shown ’ヒhat ‘ヒhis
alqori七hm converqes ・ヒ。 an opti血al. solu・ヒion of (4.1) in finitely
many steps if C. are polyhedral for all ゴ.
J
Now let us consider ・ヒhe non−s・ヒandard G1」P wi・ヒh some free ▽ariables,
1.e.t
n
minimize Z c.x.
」=1 ]コ
n
sub」ect to」三、 aゴxゴ=b
(4 . 4)
Xj≧0’ ゴ=1’…’Z;
xゴ…・’ ゴーZ+・’…’n,
(C.]i,)eCjr j=ir’”,n.
The standard technique of replacing a free variable by two non−
negative variables destroys the structure of the problemr as we
一 13 一
shall see. Let
Xj=Xゴ1旧X j2, Xjl)O, Xj220r j=Z+lr’”,n.
・ヒhen
『ヒhe problem is
mln−mlze
Z n n
,三、cゴxj+ゴ三Z+、 cゴ・xゴ・一 S三Z+、 cゴ2xj2
1 n n
subject to ゴ三、ajxj+j三Z+、 aj.xゴ・一ゴ三Z+、 a」x」2準b
xゴ≧0’ ゴ=1’…’Z (4・5)
xゴ1rxゴ2≧Or ゴ=Z+1’…’n
㈲εcゴー=・”●●’z
酬:llεcゴ’訊…’n・
Hence the colums of this problem are no Zonger independent and
G]sP
algorithm wouid not work.
consider
the simplest case of ・ヒhe above in which a,蟹s
Now let us
J
ゴ曹sa「e allowed to m・ve in c・mpact c。nvex
are constant and onZy c
in this case:
sets, i.e.,
closed interval
Z n
m工n■m工ze
Z c.x.+ Z c,x.
j:1 ]] j=z+1 JJ
Z n
subject to
Z a.x. + X, a.x. =b 〉 (4.6)
ゴ=z+1’コ]
j・=i コ]
xゴ≧0’ ゴ=1’●’●rZ;
9ゴ≦Cゴ≦Cゴ’ ゴ=1’…’n・
since x.≧0, ゴ=1,…
)
,Z, it is obvious that optimal c 梶fs are gj’s
for j=1,..・rZ. Hence
the problem simplifies somewhat ’ヒo
一 14 一
Z n
Y4X:
minimize Z c.x. + E
ゴ=1一]コ ゴ=z+1 ]]
Z n
sub」ect t。,三ユaゴxゴ+j三Z+、 aゴxゴ =b (4’7)
x.>0, ゴ=1,・・’,Z;
コ 一’
9j≦yゴ≦Cゴ’ j=Z+1’…’n・
Apply the standard elimination technique to obtain.an expression
of xk’k=Z+1’…rn with「erpect七。 xゴ’ゴ=1’…rlr i・e・’let
z
xj=dゴ・+k三、 dゴkxk’ j=Z+”…’n・ (4・8)
Substituting (4.8) into (4.7), we ob七ain
Z n n
m’n’m’ze j三、[2ゴ+k三Z+、dkゴyklx」+ゴ三Z+、dゴ・yゴ
z
sqb」ect t.ゴ三、 aSxゴ=b賢 ’ (4●9)
x.>0, ゴ=1,… ,1
⊃.一
9ゴ∼yゴ≦C」’ 」=Z+1 ・.…’n・
which is a BLP. The followinq theorem characterizes ’ヒhe form of
an optimal solution.
Theorem 4.I
Suppose (4.9) has an optimal solution. Then there exists y5,
x芸’ゴ=1’…rn which is optimal t。(4・9)such that y5=9ゴ’
ゴ=・’∵・rZ and y; is either 9ゴ。r Uj’f・rゴーZ+・’…’n・
Proof: By the fundamen’ヒal theorem of BLP [8】, ther exis’ヒs an
optimal solution y*=(yS+l r e”,yfi) where y* is an extreme point
一 i5 一
・fthe c・n白traint set’{(yZ+・’…’yn)19ゴ≦yj≦5’
梶@r」一Z+Z’・・in}・ll
We have shown that bilinear programming technique gives a way to
solve (4・4)・ Our a:nalysis have shown, at the same 七ime, tha・ヒ』a
GLP without nonnegativity conditi。n・n x」’s are essentialユy
di fferen’ヒ from the standard GLP which belongs ・ヒ。 a class of nice
convex problems.
5. Complementary planning problems
Le t
us consider the problem
コ m工n■m■ze
subゴect to
t
CIXI
+d茎y、
AIXI
+ BIYI ) bl
+c茎x2+d茎y2
(5.1)
A2×2 + B2Y2 ) b2
Xl )
t
XIX2
0, Yi
)O, X2)O, Y2)O
= o
where cl r c2 eRZ, di eRni, Ai eRMiXZ, Bi ERMiXni, bi eRMi,
ni
di
’
i=1,2 and xi,yi are variable vectors of appropriate. dimen$ions...
There are many real world applications of (5.1) and (5.2) such
as compiementary flow problems, ort.hogonal scheduling problems
to name only a few [10].
The classical technique to soive this problem [19] is to intro一一
duce an 1−dimensional vector u of o−1 components and repiace the
constraints xlx2 = o, xl ) O, x2 )O by:
X く M u
l ‘ 一一〇
一一 16 一一
X2 S Mo(ez“一u)
xz 2il O r x2 i:・ O・
where ez is the Z dimensionai vector all of whose components are
l’s and Mo is a constant satisfying
Mo z max {etxi 1’ Aixi+Biyi)bi, xizO, ysO}i i = i,2
Hence (5.1) is equivalent to .the following mixed O−Z integer
programming problem:
コ m■n■m■ze
subゴect to
c圭XZ+d圭y、+cSx2
t
+ diY2’
Alxl + Blyl ) bl
A2x2 + B2y2 ) b2
(5 .2 )
Xl−Mou≦O
X2 + MoU S Moen
xl 2: O, yl 2) O r x2
) o,
Y2 )O
U = (Ul’rU2 r’”,Uz)
u.=Oorl, j=
lr’”,Z.
]
This can be solved. by a usual branch and bound technique if Z
is small. 工nsteadr we will propose ano・ヒher classical apProachr
i.e., penalty function’approach by putting the constraint x:x2=O
in・ヒ。 the objec’ヒive function:
minimize c茎x、+d茎y、+c茎y2+Mxをx2
subject to Alxl+Blyl)bl 〉 (5.3)
A2x2 + B2y2 Z b2
xl 2: O, yl 2i: Or x2)O, y2 2: O・
一 17 一一
which.is a B:LP. Note ・ヒha・ヒ BLP fo:umulation (5.3) have fewe:r
variables and constxaints than its counterpart (5.2).
.T−h”..eprem 5.1
工fthe constraint set of(5.1)is bo㎜ded, then there exists
aconstant MO such that(5・1)is equi▽alent t。(5・3)f・r M刈0・
Proof: This can be pxoved by a standard techni(xue and wilZ be
ornitted・ l l
一 18 一
References
1
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Linear Programrning and Extensions r
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2
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3
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Program and to a Standard Complementary ProblemI㌧ Research
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Linear Constraints”, P.a.一a.thematical Programming ll, pp.117一一
127r 1976・
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19
Wa gnerr H e M e, 1Z1t1LU212!g!gsLggi n c i p l e s o f Q.. perations Re s e a r c h, (2nd ’edition),
Prentice−Hallr 1975e
INSTITしr「E OF ELECTRON I CS AND INFORSvlATION SC I ENCE
UN I VERS I TY OF TSUKLBA
SAKURA−MURA, N I I HAR I−GUN, I BARAKI JAPAN
REIPORT DOCUIVENTAT I ON PAGE
REPORT NUMBER
田工TLE
On the Applications of Bilinear Programming
AUTHOR(s)
Hi]poshi Konno
REPORT DATE
NUMBER OF PAGES
January ±6, 1979
l9
MA工N CA[PEGORY
CR CAT:EGOR工ES
Mathematical
Programming
5. 4.
KEY WORDS
Bilinear progpamming, location−alZocation problem, multi−attpibute
utility analysis,. genera−lized linear program, complementary planning
problem.
ABSTRACT
Some Of the mo:re impo:rtant applications of bilinear p:rog:ramming,
ロ
a technique for solving a special class of nonconvex quadrat:Lc programming
problem:
minimize clx、+clx2+x至Qx
・ubject t。 Alxl=bl・ xl≧O
A2x2=b2・ x2≧O
are discussed. Applications included a:ne (i) location−allocation p:【・oblems,
(ii)mμlti−attribute utility analy・i・・(iii)n。n−standard generalized linear
pr・gram, and(iv)c・mplementary planning pr・bl』m・. The relati。n・hip・f
bilinear programming problems to other classes of cl.assical mathematical
programming problems are also discussed.
SUPPLEtv[ENTARY NOTES