A finite algorithm for concave minimization over a polyhedron

TLDR: A new algorithm for solving the problem of minimizing a nonseparable concave function over a polyhedron of the branch-and-bound type finds a globally optimal extreme point solution in a finite number of steps.

Abstract: We present a new algorithm for solving the problem of minimizing a nonseparable concave function over a polyhedron. The algorithm is of the branch-and-bound type. It finds a globally optimal extreme point solution for this problem in a finite number of steps. One of the major advantages of the algorithm is that the linear programming subproblems solved during the branch-and-bound search each have the same feasible region. We discuss this and other advantages and disadvantages of the algorithm. We also discuss some preliminary computational experience we have had with our computer code for implementing the algorithm. This computational experience involved solving several bilinear programming problems with the code.