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An algorithm for generalized fractional programs

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Abstract

An algorithm is suggested that finds the constrained minimum of the maximum of finitely many ratios. The method involves a sequence of linear (convex) subproblems if the ratios are linear (convex-concave). Convergence results as well as rate of convergence results are derived. Special consideration is given to the case of (a) compact feasible regions and (b) linear ratios.

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References

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Authors and Affiliations

  1. Département de Mathématiques Appliquées, Université de Clermont II, Aubière, France

    J. P. Crouzeix (Professor)

  2. Département d'Informatique et de Recherche Opérationelle, Université de Montréal, Montréal, Ouébec, Canada

    J. A. Ferland (Professor)

  3. Department of Finance and Management Science, Faculty of Business, University of Alberta, Edmonton, Alberta, Canada

    S. Schaible (Professor)

Authors
  1. J. P. Crouzeix
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  2. J. A. Ferland
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  3. S. Schaible
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Additional information

Communicated by M. Avriel

The research of S. Schaible was supported by Grant Nos. A4534 and A5408 from NSERC. The authors thank two anonymous referees for their helpful remarks.

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Crouzeix, J.P., Ferland, J.A. & Schaible, S. An algorithm for generalized fractional programs. J Optim Theory Appl 47, 35–49 (1985). https://doi.org/10.1007/BF00941314

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