A Fast Algorithm for a Class of Generalized Fractional Programs

Management Science · 1996 · Volume 42 · Issue 10

Abstract

In many decision problems, criteria occur that can be expressed as ratios. The corresponding optimization problems are nonconvex programs of fractional type. In this paper, an algorithm for the numerical solution of these problems is introduced that converges always at superlinear speed. Numerical examples are presented.

Keywords

generalized fractional programs, algorithm, superlinear convergence, convex auxiliary problem, dual solutions, decision analysis, multiple criteria

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