An Output-Space Based Branch-and-Bound Algorithm for Sum-of-Linear-Ratios Problem

Abstract

Founded on the idea of subdividing the [Formula: see text]-dimensional output space, a branch-and-bound algorithm for solving the sum-of-linear-ratios(SLR) problem is proposed. First, a two-stage equivalent transformation method is adopted to obtain an equivalent problem(EP) for the problem SLR. Second, by dealing with all nonlinear constraints and bilinear terms in EP and its sub-problems, a corresponding convex relaxation subproblem is obtained. Third, all redundant constraints in each convex relaxation subproblem are eliminated, which leads to a linear programming problem with smaller scale and fewer constraints. Finally, the theoretical convergence and computational complexity of the algorithm are demonstrated, and a series of numerical experiments illustrate the effectiveness and feasibility of the proposed algorithm.