Surrogate Constraints Algorithm for Reliability Optimization Problems with Two Constraints

Abstract

This paper presents an algorithm (called the N&M algorithm) for solving pure-integer separable nonlinear programming problems with two constraints. The N&M algorithm uses surrogate constraints and solves a given problem by effectively generating values of surrogate multiplier (i.e., surrogate problems) and solving the surrogate problems. Examples show that the N&M algorithm is superior to dynamic programming using the Lagrange multiplier in terms of number of iterations and narrowness of gap.