Generic Algorithm for Generalized Fractional Programming

被引:20
作者
Chen, H. J. [2 ]
Schaible, S. [1 ,3 ]
Sheu, R. L. [2 ]
机构
[1] Univ Calif Riverside, AG Anderson Grad Sch Management, Riverside, CA 92521 USA
[2] Natl Cheng Kung Univ, Dept Math, Tainan 70101, Taiwan
[3] Chung Yuan Christian Univ, Dept Appl Math, Chungli 32023, Taiwan
关键词
Generalized fractional programming; Dinkelbach-type algorithm; Convergence analysis; BOND PORTFOLIO OPTIMIZATION;
D O I
10.1007/s10957-008-9499-7
中图分类号
C93 [管理学]; O22 [运筹学];
学科分类号
070105 ; 12 ; 1201 ; 1202 ; 120202 ;
摘要
We propose a unified framework to study various versions of Dinkelbach-type algorithms for solving the generalized fractional programming problem. Classical algorithms used carefully selected iterate points and incorporated subtle convergence proofs. Our generic algorithm, however, is natural and simple. Moreover, the convergence analysis can be carried out through geometric observations and fundamental properties of convex functions. Consequently, the classical results are either refined or strengthened with new insights.
引用
收藏
页码:93 / 105
页数:13
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