Abstract
In this paper, we develop a discrete approximation method for solving continuous-time linear fractional programming problems. Our method enables one to derive a recurrence structure which shall overcome the computational curse caused by the increasing numbers of decision variables in the approximate decision problems when the subintervals are getting smaller and smaller. Furthermore, our algorithm provides estimation for the error bounds of the approximate solutions. We also establish the convergence of our approximate solutions to the continuous-time linear fractional programming problems. Numerical examples are provided to illustrate the quality of the approximate solutions.
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