Abstract
An algorithm is suggested that finds the constrained minimum of the maximum of finitely many ratios. The method involves a sequence of linear (convex) subproblems if the ratios are linear (convex-concave). Convergence results as well as rate of convergence results are derived. Special consideration is given to the case of (a) compact feasible regions and (b) linear ratios.
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Communicated by M. Avriel
The research of S. Schaible was supported by Grant Nos. A4534 and A5408 from NSERC. The authors thank two anonymous referees for their helpful remarks.
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Crouzeix, J.P., Ferland, J.A. & Schaible, S. An algorithm for generalized fractional programs. J Optim Theory Appl 47, 35–49 (1985). https://doi.org/10.1007/BF00941314
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DOI: https://doi.org/10.1007/BF00941314