Maximizing for the sum of ratios of two convex functions over a convex set

摘要

This paper presents an algorithm for globally maximizing a sum of convex-convex ratios problem with a convex feasible region, which does not require involving all the functions to be differentiable and requires that their sub-gradients can be calculated efficiently. To our knowledge, little progress has been made for globally solving this problem so far. The algorithm uses a branch and bound scheme in which the main computational effort involves solving a sequence of linear programming subproblems. Because of these properties, the algorithm offers a potentially attractive means for globally solving the sum of convex-convex ratios problem over a convex feasible region. It has been proved that the algorithm possesses global convergence. Finally, the numerical experiments are given to show the feasibility of the proposed algorithm.