Minimization of the sum of several linear fractional functions
branch-and-bound algorithmCharnes-Cooper transformationconcave minimizationconvex minimizationgeneralized convex multiplicative programming algorithmglobal optimizationlinear fractional functionslinear programming problemlinear-fractional programmingnonconvex constraintsprimal-dual parametric simplex algorithms
The authors consider a rank-\(p\) linear-fractional programming problem, which consists in minimizing the sum of \(p\) ratios of affine functions over a polytope (the denominators are assumed to be strictly positive on the feasible set). By means of the Charnes-Cooper transformation, this problem can be reduced to an equivalent problem in which the objective function is the sum of \(p-1\) ratios with a linear function, for which primal-dual parametric simplex algorithms are proposed if \(p= 2\) or \(3\). The new problem can in turn be reformulated, after introducing \(2p-2\) auxiliary variables, into a concave minimization problem on a convex set, the objective function of which is the optimal value function of a convex minimization problem; a generalized convex multiplicative programming algorithm for solving this problem is discussed. Finally, another reformulation leads to a linear programming problem with \(p-1\) additional nonconvex constraints of a simple type; a branch-and-bound algorithm for solving this problem is presented. Computational experience showing that up to rank-10 problems can be solved by these methods is reported. For the entire collection see [Zbl 0961.00019].
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