An Efficient Algorithm for Solving a Class of Fractional Programming Problems

Yongjian Qiu, Yuming Zhu and Jingben Yin

Mathematical Problems in Engineering, 2021, vol. 2021, 1-12

Abstract:

This paper presents an efficient branch-and-bound algorithm for globally solving a class of fractional programming problems, which are widely used in communication engineering, financial engineering, portfolio optimization, and other fields. Since the kind of fractional programming problems is nonconvex, in which multiple locally optimal solutions generally exist that are not globally optimal, so there are some vital theoretical and computational difficulties. In this paper, first of all, for constructing this algorithm, we propose a novel linearizing method so that the initial fractional programming problem can be converted into a linear relaxation programming problem by utilizing the linearizing method. Secondly, based on the linear relaxation programming problem, a novel branch-and-bound algorithm is designed for the kind of fractional programming problems, the global convergence of the algorithm is proved, and the computational complexity of the algorithm is analysed. Finally, numerical results are reported to indicate the feasibility and effectiveness of the algorithm.

Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnlmpe:5556130

DOI: 10.1155/2021/5556130

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