Maximizing a linear fractional function on a Pareto efficient frontier

Authors:
S. T. Hackman;U. Passy
Affiliations:
Associate Professor, School of Industrial and Systems Engineering, Georgia Institute of Technology, Atlanta, Georgia;Professor, Faculty of Industrial Engineering and Management, Technion, Israel Institute of Technology, Haifa, Israel
Venue:
Journal of Optimization Theory and Applications
Year:
2002

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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.