Linear-fractional programming: Difference between revisions

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:<math>
\begin{align}
\text{maximize} \quad & \frac{\mathbf{c}^T\top \mathbf{x} + \alpha}{\mathbf{d}^T\top \mathbf{x} + \beta} \\
\text{subject to} \quad & A\mathbf{x} \leq \mathbf{b},
\end{align}
</math>
where <math>\mathbf{x} \in \mathbb{R}^n</math> represents the vector of variables to be determined, <math>\mathbf{c}, \mathbf{d} \in \mathbb{R}^n</math> and <math>\mathbf{b} \in \mathbb{R}^m</math> are vectors of (known) coefficients, <math>A \in \mathbb{R}^{m \times n}</math> is a (known) matrix of coefficients and <math>\alpha, \beta \in \mathbb{R}</math> are constants. The constraints have to restrict the [[feasible region]] to <math>\{\mathbf{x} |\mid \mathbf{d}^T\top \mathbf{x} + \beta > 0\}</math>, i.e. the region on which the denominator is positive.<ref name="CC">{{cite journal |last1=Charnes |first1=A. |last2=Cooper |first2=W. W. |author2-link=William W. Cooper|title=Programming with Linear Fractional Functionals|journal=Naval Research Logistics Quarterly |volume=9 |issue=3–4 |year=1962 |pages=181–186 |ref=harv|mr=152370|doi=10.1002/nav.3800090303}}</ref><ref name="BV">{{cite book|title=Convex Optimization|first1=Stephen P.|last1=Boyd|first2=Lieven|last2=Vandenberghe|year=2004|publisher=Cambridge University Press|isbn=978-0-521-83378-3|url=https://web.stanford.edu/~boyd/cvxbook/bv_cvxbook.pdf|accessdate=October 15, 2011|page=151}}</ref> Alternatively, the denominator of the objective function has to be strictly negative in the entire feasible region.
 
==Transformation to a linear program==