Global optimization for sum of linear ratios problem with coefficients (Q2493767): Difference between revisions

The following nonconvex optimization problem is considered: \[ \max f(x)\equiv \sum^m_{i=1}c_in_i(x)/d_i(x)\text{ subject to }x\in X\equiv\{x|Ax\leq b\}y, \] where \(m\geq 2\), \(n_i(x)\geq 0\), \(d_i(x)>0\) are for all \(x\in X\) affine functions on \(\mathbb R^n\), and \(c_i\) are constant coefficients, \(i=1,\dots,m\). The problem has applications e.g., in transportation planning, finance and investment, government planning, and other areas. A branch and bound algorithm for finding the global optimal solution of the problem is proposed, its convergence is proved, and its numerical effectiveness is demonstrated on smaller numerical examples with \(n=3\).