Using the parametric approach to solve the continuous-time linear fractional max–min problems

Ching-Feng Wen () and Hsien-Chung Wu ()

Journal of Global Optimization, 2012, vol. 54, issue 1, 129-153

Abstract: A numerical algorithm based on parametric approach is proposed in this paper to solve a class of continuous-time linear fractional max-min programming problems. We shall transform this original problem into a continuous-time non-fractional programming problem, which unfortunately happens to be a continuous-time nonlinear programming problem. In order to tackle this nonlinear problem, we propose the auxiliary problem that will be formulated as a parametric continuous-time linear programming problem. We also introduce a dual problem of this parametric continuous-time linear programming problem in which the weak duality theorem also holds true. We introduce the discrete approximation method to solve the primal and dual pair of parametric continuous-time linear programming problems by using the recurrence method. Finally, we provide two numerical examples to demonstrate the usefulness of this algorithm. Copyright Springer Science+Business Media, LLC. 2012

Keywords: Approximate solutions; Continuous-time linear fractional max-min programming problems; Weak duality (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (4)

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DOI: 10.1007/s10898-011-9751-9

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