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

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 line...

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Published inMathematical Problems in Engineering Vol. 2008; no. 1; pp. 955 - 967
Main Authors Jiao, Hongwei, Feng, Qigao, Shen, Peiping, Guo, Yunrui
Format Journal Article
LanguageEnglish
Published New York Hindawi Limiteds 01.01.2008
Hindawi Publishing Corporation
Hindawi Limited
Subjects
Algorithms
Bond portfolios
Cluster analysis
Feasibility
Global optimization
Heuristic
Linear programming
Studies
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Summary: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.
Bibliography:ObjectType-Article-2
SourceType-Scholarly Journals-1
ObjectType-Feature-1
content type line 23
ISSN:1024-123X
1563-5147
DOI:10.1155/2008/646205