Using the parametric approach to solve the continuous-time linear fractional max–min problems
A numerical algorithm based on parametric approach is proposed in this paper to solve a class of continuous-time linear fractional max-min programming problems. We shall transform this original problem into a continuous-time non-fractional programming problem, which unfortunately happens to be a continuous-time nonlinear programming problem. In order to tackle this nonlinear problem, we propose the auxiliary problem that will be formulated as a parametric continuous-time linear programming problem. We also introduce a dual problem of this parametric continuous-time linear programming problem in which the weak duality theorem also holds true. We introduce the discrete approximation method to solve the primal and dual pair of parametric continuous-time linear programming problems by using the recurrence method. Finally, we provide two numerical examples to demonstrate the usefulness of this algorithm. Copyright Springer Science+Business Media, LLC. 2012
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Volume (Year): 54 (2012)
Issue (Month): 1 (September)
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- Ching-Feng Wen & Hsien-Chung Wu, 2011. "Using the Dinkelbach-type algorithm to solve the continuous-time linear fractional programming problems," Journal of Global Optimization, Springer, vol. 49(2), pages 237-263, February.
- Schaible, Siegfried & Ibaraki, Toshidide, 1983. "Fractional programming," European Journal of Operational Research, Elsevier, vol. 12(4), pages 325-338, April.
- Schaible, Siegfried, 1981. "Fractional programming: Applications and algorithms," European Journal of Operational Research, Elsevier, vol. 7(2), pages 111-120, June.
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