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An Exact Method for Fractional Goal Programming

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Abstract

Goal Programming with fractional objectives can be reduced to mathematical programming with a linear objective under linear and quadratic constraints, thus optimal solutions can be obtained by using existing Global Optimization techniques. However, only heuristic procedures are suggested in the literature on the field. In this note we explore the practical applicability of a recent algorithm for nonconvex quadratic programming with quadratic constraints for this problem. Encouraging computational experiences for randomly generated instances with up to 14 fractional objectives are presented.

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Authors and Affiliations

  1. Département de Mathématiques et de Génie Industriel, École Polytechnique de Montréal, C.P. 6079, Succ. Centre-ville, Montréal, Québec, H3C 3A7, Canada

    Charles Audet

  2. Facultad de Matemáticas, Universidad de Sevilla, Tarfia s/n, 41012, Sevilla, Spain

    Emilio Carrizosa

  3. GERAD and Department of Quantitative Methods in Management, École des Hautes Études Commerciales, 3000 chemin de la Côte-Saint-Catherine, Montréal, Québec, H3T 2A7, Canada

    Pierre Hansen

Authors
  1. Charles Audet
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  2. Emilio Carrizosa
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  3. Pierre Hansen
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Audet, C., Carrizosa, E. & Hansen, P. An Exact Method for Fractional Goal Programming. Journal of Global Optimization 29, 113–120 (2004). https://doi.org/10.1023/B:JOGO.0000035028.40292.36

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  • DOI: https://doi.org/10.1023/B:JOGO.0000035028.40292.36

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