In this paper, we propose a primal-dual approach for solving the generalized fractional programming problem. The outer iteration of the algo-rithm is a variant of interval-type Dinkelbach algorithm, while the augmented Lagrange method is adopted for solving the inner min-max subproblems. This is indeed a very unique feature of the paper because almost all Dinkelbach-type algorithms in the literature addressed only the outer iteration, while leaving the issue of how to practically solve a sequence of min-max subproblems un-touched. The augmented Lagrange method attaches a set of articial variables as well as their corresponding Lagrange multipliers to the min-max subprob-lem. As a result, both the primal and the dual information is available for updating the iterate points and the min-max subproblem is then reduced to a sequence of minimization problems. Numerical experiments show that the primal-dual approach can achieve a better precision in fewer iterations.
All Science Journal Classification (ASJC) codes
- Business and International Management
- Strategy and Management
- Control and Optimization
- Applied Mathematics