An inexact proximal point method for solving generalized fractional programs

Authors:
Jean-Jacques Strodiot;Jean-Pierre Crouzeix;Jacques A. Ferland;Van Hien Nguyen
Affiliations:
Department of Mathematics, University of Namur (FUNDP), Namur, Belgium;LIMOS, CNRS-UMR 6158, Université Blaise Pascal, Clermont-Ferrand, France;DIRO, Université de Montréal, Montreal, Canada;Department of Mathematics, University of Namur (FUNDP), Namur, Belgium
Venue:
Journal of Global Optimization
Year:
2008

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Abstract

In this paper, we present several new implementable methods for solving a generalized fractional program with convex data. They are Dinkelbach-type methods where a prox-regularization term is added to avoid the numerical difficulties arising when the solution of the problem is not unique. In these methods, at each iteration a regularized parametric problem is solved inexactly to obtain an approximation of the optimal value of the problem. Since the parametric problem is nonsmooth and convex, we propose to solve it by using a classical bundle method where the parameter is updated after each `serious step'. We mainly study two kinds of such steps, and we prove the convergence and the rate of convergence of each of the corresponding methods. Finally, we present some numerical experience to illustrate the behavior of the proposed algorithms, and we discuss the practical efficiency of each one.