A LINEAR FRACTIONAL OPTIMIZATION OVER AN INTEGER EFFICIENT SET

摘要

Mathematical optimization problems with a goal function, have many applications in various fields like financial sectors, management sciences and economic applications. Therefore, it is very important to have a powerful tool to solve such problems when the main criterion is not linear, particularly fractional, a ratio of two affine functions. In this paper, we propose an exact algorithm for optimizing a linear fractional function over the efficient set of a Multiple Objective Integer Linear Programming (MOILP) problem without having to enumerate all the efficient solutions. We iteratively add some constraints, that eliminate the undesirable (not interested) points and reduce, progressively, the admissible region. At each iteration, the solution is being evaluated at the reduced gradient cost vector and a new direction that improves the objective function is then defined. The algorithm was coded in MATLAB environment and tested over different instances randomly generated.