On a recurrence algorithm for continuous-time linear fractional programming problems

• Published in: Computers & mathematics with applications (1987) Vol. 59; no. 2; pp. 829 - 852
• Main Authors: Wen, Ching-Feng, Lur, Yung-Yih, Guu, Sy-Ming, Stanley Lee, E.
• Format: Journal Article
• Language: English
• Published: Elsevier Ltd 2010
• Subjects: Continuous-time linear fractional programming problems; Continuous-time programming problems; Infinite-dimensional optimization problems; Continuous-time programming problems; Infinite-dimensional optimization problems; Continuous-time linear fractional programming problems
• ISSN: 0898-1221; 1873-7668
• DOI: 10.1016/j.camwa.2009.10.010

In this paper, we develop a discrete approximation method for solving continuous-time linear fractional programming problems. Our method enables one to derive a recurrence structure which shall overcome the computational curse caused by the increasing numbers of decision variables in the approximate decision problems when the subintervals are getting smaller and smaller. Furthermore, our algorithm provides estimation for the error bounds of the approximate solutions. We also establish the convergence of our approximate solutions to the continuous-time linear fractional programming problems. Numerical examples are provided to illustrate the quality of the approximate solutions.