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Augmented Lagrange primal-dual approach for generalized fractional programming problems. (English) Zbl 1276.49024

Summary: In this paper, we propose a primal-dual approach for solving the generalized fractional programming problem. The outer iteration of the algorithm is a variant of interval-type Dinkelbach algorithm, while the augmented Lagrange method is adopted for solving the inner min-max subproblems. This is indeed a very unique feature of the paper because almost all Dinkelbach-type algorithms in the literature addressed only the outer iteration, while leaving the issue of how to practically solve a sequence of min-max subproblems untouched. The augmented Lagrange method attaches a set of artificial variables as well as their corresponding Lagrange multipliers to the min-max subproblem. As a result, both the primal and the dual information is available for updating the iterate points and the min-max subproblem is then reduced to a sequence of minimization problems. Numerical experiments show that the primal-dual approach can achieve a better precision in fewer iterations.

MSC:

49M37 Numerical methods based on nonlinear programming
90C32 Fractional programming
49J35 Existence of solutions for minimax problems
49K35 Optimality conditions for minimax problems
49N15 Duality theory (optimization)
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