APPROXIMATE SOLUTIONS AND DUALITY THEOREMS FOR CONTINUOUS-TIME LINEAR FRACTIONAL PROGRAMMING PROBLEMS

作者：Wen Ching Feng; Wu Hsien Chung^*

来源：Numerical Functional Analysis and Optimization, 2012, 33(1): 80-129.

DOI：10.1080/01630563.2011.629312

• Approximate solutions
• Continuous-time linear fractional programming problems
• Strong duality
• Weak convergence
• Weak duality

This article proposes a practical computational procedure to solve a class of continuous-time linear fractional programming problems by designing a discretized problem. Using the optimal solutions of proposed discretized problems, we construct a sequence of feasible solutions of continuous-time linear fractional programming problem and show that there exists a subsequence that converges weakly to a desired optimal solution. We also establish an estimate of the error bound. Finally, we provide two numerical examples to demonstrate the usefulness of this practical algorithm.

• 出版日期2012