Auteur : Christian Malivert
Titre : An algorithm for bilinear fractional problems
Nbre de pages : 15
Document : Article (PDF)
Résumé : We consider a special class of nonconvex optimization problems involving a bilinear fractional objective and two convex polyhedrons as constraint sets. From the special structure of these problems it follows that the search for a solution can be restricted to vertices of the polyhedrons. We propose a cutting plane algorithm providing either a minimizing sequence of local solutions or a global minimum.