Global optimization for sum of linear ratios problem with coefficients
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Publication:2493767
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 \(n=3\).
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Cited in
(37)- Global optimization for sum of linear ratios problem using new pruning technique
- Solving sum of quadratic ratios fractional programs via monotonic function
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