A Linear Fractional Program with Homogeneous Constraints by

Abstract

This paper proposes an algorithm for solving a linear fractional functionals program when some of its constraints are homogeneous. Using these homogeneous constraints a transformation matrix T is constructed. Matrix T transforms the given problem into another linear fractional functional program but with fewer constraints. A relationship between these two problems, which ensures that the solution of the original problem can be recovered from the solution of the transformed problem, is established. A simple numerical example illustrates the steps of the proposed algorithm.