Duality and Sensitivity Analysis for Fractional Programs (REVISED)
Name
OR-042-75.pdf
Size
1.9 MB
Format
Adobe PDF
Checksum (MD5)
b3d48642bd8a11e67e6fed05cd87d116
Author(s)
Bitran, Gabriel R.
Magnanti, Thomas L.
Date Issued
April 1975
Publisher
Massachusetts Institute of Technology, Operations Research Center
Series/Report no.
Operations Research Center Working Paper ; OR 042-75
Abstract
In this paper, we consider algorithms, duality and sensitivity analysis for optimization problems, called fractional, whose objective function is the ratio of two real valued functions. We discuss a procedure suggested by Dinkelbach for solving the problem, its relationship to certain approaches via variable transformations, and a variant of the procedure which has convenient convergence properties. The duality correspondences that are developed do not require either differentiability or the existence of optimal solution. The sensitivity analysis applies to linear fractional problems, even when they "solve" at an extreme ray, and includes a primal-dual algorithm for parametric right-hand-side analysis.
MIT Department
Massachusetts Institute of Technology. Operations Research Center
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