Minimization of the sum of three linear fractional functions

  • Authors:

  • Hiroshi Konno;Natsuroh Abe

  • Affiliations:

  • Department of Industrial Engineering and Management, Tokyo Institute of Technology, Japan;Arthur Anderson Co., Japan

  • Venue:
  • Journal of Global Optimization
  • Year:
  • 1999

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Abstract

In this paper, we will propose an efficient and reliable heuristic algorithm for minimizing and maximizing the sum of three linear fractional functions over a polytope. These problems are typical nonconvex minimization problems of practical as well as theoretical importance. This algorithm uses a primal-dual parametric simplex algorithm to solve a subproblem in which the value of one linear function is fixed. A subdivision scheme is employed in the space of this linear function to obtain an approximate optimal solution of the original problem. It turns out that this algorithm is much more efficient and usually generates a better solution than existing algorithms. Also, we will develop a similar algorithm for minimizing the product of three linear fractional functions.