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An Exact Method for Fractional Goal Programming |
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| Authors: | Charles Audet Emilio Carrizosa Pierre Hansen |
| Affiliation: | 1. Département de Mathématiques et de Génie Industriel, école Polytechnique de Montréal, C.P. 6079, Succ. Centre-ville, Montréal, Québec, H3C 3A7, Canada 2. Facultad de Matemáticas, Universidad de Sevilla, Tarfia s/n, 41012, Sevilla, Spain 3. GERAD and Department of Quantitative Methods in Management, école des Hautes études Commerciales, 3000 chemin de la C?te-Saint-Catherine, Montréal, Québec, H3T 2A7, Canada |
| Abstract: | Goal Programming with fractional objectives can be reduced to mathematical programming with a linear objective under linear and quadratic constraints, thus optimal solutions can be obtained by using existing Global Optimization techniques. However, only heuristic procedures are suggested in the literature on the field. In this note we explore the practical applicability of a recent algorithm for nonconvex quadratic programming with quadratic constraints for this problem. Encouraging computational experiences for randomly generated instances with up to 14 fractional objectives are presented. |
| Keywords: | fractional programming goal programming nonconvex optimization quadratic programming |
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