Minimization of the ratio of functions defined as sums of the absolute values

H. Konno, K. Tsuchiya, R. Yamamoto

研究成果: Article査読

8 被引用数 (Scopus)

抄録

This paper addresses a new class of linearly constrained fractional programming problems where the objective function is defined as the ratio of two functions which are the sums of the absolute values of affine functions. This problem has an important application in financial optimization. This problem is a convex-convex type of fractional program which cannot be solved by standard algorithms. We propose a branch-and-bound algorithm and an integer programming algorithm. We demonstrate that a fairly large scale problem can be solved within a practical amount of time.

本文言語English
ページ(範囲)399-410
ページ数12
ジャーナルJournal of Optimization Theory and Applications
135
3
DOI
出版ステータスPublished - 2007 12
外部発表はい

ASJC Scopus subject areas

  • 制御と最適化
  • 経営科学およびオペレーションズ リサーチ
  • 応用数学

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