Branch-and-bound outer approximation algorithm for sum-of-ratios fractional programs (Q711696): Difference between revisions

The author presents a method for solving the global optimization problem \[ \text{Maximize }\quad \sum_{i=1}^p \frac{\langle n_i,y\rangle +g_i}{\langle d_i,y\rangle +h_i}\quad \text{ s.t. } y \in Y, \] where the objective function is a sum of ratios of affine functions and the feasible set, \(Y\), is a nonempty compact convex subset of \(\bigcap_{i=1}^p\left\{ x \in \mathbb{R}^n \mid \langle d_i,x\rangle +h_i > 0\right\}\). This problem is shown to be equivalent to an indefinite quadratic program, for which an algorithm is developed by combining a branch and bound search with an outer approximation process.