Global Optimization for Sum of Linear Ratios Problem Using New Pruning Technique

Abstract EN

A global optimization algorithm is proposed for solving sum of general linear ratios problem (P) using new pruning technique.

Firstly, an equivalent problem (P1) of the (P) is derived by exploiting the characteristics of linear constraints.

Then, by utilizing linearization method the relaxation linear programming (RLP) of the (P1) can be constructed and the proposed algorithm is convergent to the global minimum of the (P) through the successive refinement of the linear relaxation of feasible region and solutions of a series of (RLP).

Then, a new pruning technique is proposed, this technique offers a possibility to cut away a large part of the current investigated feasible region by the optimization algorithm, which can be utilized as an accelerating device for global optimization of problem (P).

Finally, the numerical experiments are given to illustrate the feasibility of the proposed algorithm.