Modified Dinkelbach-type algorithm for generalized fractional programs with infinitely many ratios

J. Y. Lin, R. L. Sheu

Research output: Contribution to journalArticlepeer-review

8 Citations (Scopus)

Abstract

In this paper, we extend the Dinkelbach-type algorithm of Crouzeix, Ferland, and Schaible to solve minmax fractional programs with infinitely many ratios. Parallel to the case with finitely many ratios, the task is to solve a sequence of continuous minmax problems, P(αk)=min x∈X(maxt∈T[ft(x)- αkgt(x)]), until {αk} converges to the root of P(α)=0. The solution of P(α k ) is used to generate α k+1. However, calculating the exact optimal solution of P(αk ) requires an extraordinary amount of work. To improve, we apply an entropic regularization method which allows us to solve each problem P(α k ) incompletely, generating an approximate sequence {α̃k}, while retaining the linear convergence rate under mild assumptions. We present also numerical test results on the algorithm which indicate that the new algorithm is robust and promising.

Original languageEnglish
Pages (from-to)323-343
Number of pages21
JournalJournal of Optimization Theory and Applications
Volume126
Issue number2
DOIs
Publication statusPublished - 2005 Aug 1

All Science Journal Classification (ASJC) codes

  • Control and Optimization
  • Management Science and Operations Research
  • Applied Mathematics

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