A New Global Optimization Algorithm for a Class of Linear Fractional Programming

X. Liu, Y.L. Gao, B. Zhang and F.P. Tian
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X. Liu: School of Mathematics and Statistics, Ningxia University, Yinchuan 750021, China
Y.L. Gao: Ningxia Province Cooperative Innovation Center of Scientific Computing and Intelligent Information Processing, North Minzu University, Yinchuan 750021, China
B. Zhang: School of Mathematics and Statistics, Ningxia University, Yinchuan 750021, China
F.P. Tian: Ningxia Province Cooperative Innovation Center of Scientific Computing and Intelligent Information Processing, North Minzu University, Yinchuan 750021, China

Mathematics, 2019, vol. 7, issue 9, 1-21

Abstract: In this paper, we propose a new global optimization algorithm, which can better solve a class of linear fractional programming problems on a large scale. First, the original problem is equivalent to a nonlinear programming problem: It introduces p auxiliary variables. At the same time, p new nonlinear equality constraints are added to the original problem. By classifying the coefficient symbols of all linear functions in the objective function of the original problem, four sets are obtained, which are I i + , I i ? , J i + and J i ? . Combined with the multiplication rule of real number operation, the objective function and constraint conditions of the equivalent problem are linearized into a lower bound linear relaxation programming problem. Our lower bound determination method only needs e i T x + f i ? 0 , and there is no need to convert molecules to non-negative forms in advance for some special problems. A output-space branch and bound algorithm based on solving the linear programming problem is proposed and the convergence of the algorithm is proved. Finally, in order to illustrate the feasibility and effectiveness of the algorithm, we have done a series of numerical experiments, and show the advantages and disadvantages of our algorithm by the numerical results.

Keywords: global optimization; fractional programming; branch and bound; output-space; linear relaxation (search for similar items in EconPapers)
JEL-codes: C (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

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