Minimization of the Ratio of Functions Defined as Sums of the Absolute Values

H. Konno, K. Tsuchiya and R. Yamamoto ()
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H. Konno: Chuo University
K. Tsuchiya: Chuo University
R. Yamamoto: Chuo University

Journal of Optimization Theory and Applications, 2007, vol. 135, issue 3, No 7, 399-410

Abstract: Abstract 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.

Keywords: Fractional programming problems; Global optimization; Branch and bound algorithms; 0-1 integer programming; Portfolio optimization (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (1)

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DOI: 10.1007/s10957-007-9284-z

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