Maximizing a Linear Fractional Function on a Pareto Efficient Frontier

S.T. Hackman and U. Passy
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S.T. Hackman: Georgia Institute of Technology
U. Passy: Israel Institute of Technology

Journal of Optimization Theory and Applications, 2002, vol. 113, issue 1, No 6, 83-103

Abstract: Abstract We consider the problem of maximizing a linear fractional function on the Pareto efficient frontier of two other linear fractional functions. We present a finite pivoting-type algorithm that solves the maximization problem while computing simultaneously the efficient frontier. Application to multistage efficiency analysis is discussed. An example demonstrating the computational procedure is included.

Keywords: Fractional programming; efficient frontier; application of sensitivity analysis; nonconvex optimization (search for similar items in EconPapers)
Date: 2002
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DOI: 10.1023/A:1014857230393

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