An Efficient Algorithm for Solving Convex–Convex Quadratic Fractional Programs

被引：0

作者：

R. Yamamoto

H. Konno

机构：

[1] Chuo University,Department of Industrial and Systems Engineering

[2] MTB Investment Technology Institute Company,undefined

来源：

Journal of Optimization Theory and Applications | 2007年 / 133卷

关键词：

Nonlinear fractional programs; Global optimization; Dinkelbach method; Nonconvex quadratic programming problems; Integer programming; Local search algorithms; Portfolio analysis;

D O I：

暂无

中图分类号：

学科分类号：

摘要：

This paper is concerned with an efficient algorithm for solving a convex-convex type quadratic fractional program whose objective function is defined as the ratio of two convex quadratic functions and whose constraints are linear. This is a typical nonconcave maximization problem with multiple local maxima.

引用

页码：241 / 255

页数：14

共 14 条

[1]

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[2]

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[3]

Schaible S.(1967)On nonlinear fractional programming Manag. Sci. 13 492-498

[4]

Dinkelbach W.(1991)Global optimization of fractional programs J. Glob. Optim. 1 173-182

[5]

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[6]

Phillips A.T.(2001)Maximization of the ratio of two convex quadratic functions over a polytope Comput. Optim. Appl. 20 43-60

[7]

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[8]

Mackinlay C.(1983)Parametric approaches to fractional programs Math. Program. 26 345-362

[9]

Gotoh J.(undefined)undefined undefined undefined undefined-undefined

[10]

Konno H.(undefined)undefined undefined undefined undefined-undefined

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