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Maximizing a Linear Fractional Function on a Pareto Efficient Frontier |
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| Authors: | S.T. Hackman U. Passy |
| Affiliation: | (1) School of Industrial and Systems Engineering, Georgia Institute of Technology, Atlanta, Georgia;(2) Faculty of Industrial Engineering and Management, Technion, Israel Institute of Technology, Haifa, Israel |
| Abstract: | We consider the problem of maximizing a linear fractional function on the Pareto efficient frontier of two other linear fractional functions. We present a finite pivoting-type algorithm that solves the maximization problem while computing simultaneously the efficient frontier. Application to multistage efficiency analysis is discussed. An example demonstrating the computational procedure is included. |
| Keywords: | Fractional programming efficient frontier application of sensitivity analysis nonconvex optimization |
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