caa a22 4500 463169646 CHVBK 20180406164809.0 cr unu---uuuuu 170326e20071201xx s 000 0 eng 10.1007/s10957-007-9284-z doi (NATIONALLICENCE)springer-10.1007/s10957-007-9284-z Minimization of the Ratio of Functions Defined as Sums of the Absolute Values [Elektronische Daten] [H. Konno, K. Tsuchiya, R. Yamamoto] This paper addresses a new class of linearly constrained fractional programming problems where the objective function is defined as the ratio of two functions which are the sums of the absolute values of affine functions. This problem has an important application in financial optimization. This problem is a convex-convex type of fractional program which cannot be solved by standard algorithms. We propose a branch-and-bound algorithm and an integer programming algorithm. We demonstrate that a fairly large scale problem can be solved within a practical amount of time. Springer Science+Business Media, LLC, 2007 Fractional programming problems nationallicence Global optimization nationallicence Branch and bound algorithms nationallicence 0-1 integer programming nationallicence Portfolio optimization nationallicence Konno H. Department of Industrial and Systems Engineering, Chuo University, Tokyo, Japan aut Tsuchiya K. Department of Industrial and Systems Engineering, Chuo University, Tokyo, Japan aut Yamamoto R. Department of Industrial and Systems Engineering, Chuo University, Tokyo, Japan aut Journal of Optimization Theory and Applications Springer US; http://www.springer-ny.com 135/3(2007-12-01), 399-410 0022-3239 135:3<399 2007 135 10957 https://doi.org/10.1007/s10957-007-9284-z text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.1007/s10957-007-9284-z text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Konno H. Department of Industrial and Systems Engineering, Chuo University, Tokyo, Japan aut NATIONALLICENCE 700 1- Tsuchiya K. Department of Industrial and Systems Engineering, Chuo University, Tokyo, Japan aut NATIONALLICENCE 700 1- Yamamoto R. Department of Industrial and Systems Engineering, Chuo University, Tokyo, Japan aut NATIONALLICENCE 773 0- Journal of Optimization Theory and Applications Springer US; http://www.springer-ny.com 135/3(2007-12-01), 399-410 0022-3239 135:3<399 2007 135 10957 Metadata rights reserved Springer special CC-BY-NC licence nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-springer