Volume 14, Issue 2 (10-2019)                   IJMSI 2019, 14(2): 33-42 | Back to browse issues page

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Saraj M, Sadeghi A, Mahdavi Amiri N. Solving A Fractional Program with Second Order Cone Constraint. IJMSI. 2019; 14 (2) :33-42
URL: http://ijmsi.ir/article-1-1314-en.html
Abstract:  

We consider a fractional program with both linear and quadratic equation in numerator and denominator  having second order cone (SOC) constraints. With a suitable change of variable, we transform the problem into a  second order cone programming (SOCP)  problem.

 For the quadratic fractional case, using a relaxation, the problem is reduced to a semi-definite optimization (SDO) program. The problem is solved with SDO relaxation and the obtained results are compared with the interior point method (IPM), a sequential quadratic programming (SQP) approach, an active set strategy and a genetic algorithm. It is observed that the SDO relaxation method is much more accurate and faster than the other methods. Finally,a few numerical examples are worked through to demonstrate the applicability of the procedure.

Type of Study: Research paper | Subject: General

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