Proximal Bundle Algorithms for Nonlinearly Constrained Convex Minimax Fractional Programs
- 129 Downloads
A generalized fractional programming problem is defined as the problem of minimizing a nonlinear function, defined as the maximum of several ratios of functions on a feasible domain. In this paper, we propose new methods based on the method of centers, on the proximal point algorithm and on the idea of bundle methods, for solving such problems. First, we introduce proximal point algorithms, in which, at each iteration, an approximate prox-regularized parametric subproblem is solved inexactly to obtain an approximate solution to the original problem. Based on this approach and on the idea of bundle methods, we propose implementable proximal bundle algorithms, in which the objective function of the last mentioned prox-regularized parametric subproblem is replaced by an easier one, typically a piecewise linear function. The methods deal with nondifferentiable nonlinearly constrained convex minimax fractional problems. We prove the convergence, give the rate of convergence of the proposed procedures and present numerical tests to illustrate their behavior.
KeywordsGeneralized fractional programs Method of centers Proximal point algorithm Bundle methods Quadratic programming
Mathematics Subject Classification90C32 90C25 49K35 49M37
The authors would like to thank an anonymous referee for his careful reading of the manuscript and his valuable remarks.
- 4.Frenk, J.B.G., Schaible, S.: Fractional programming. ERIM Report Series. Reference No. ERS-2004-074-LIS (2004)Google Scholar
- 29.Lemaréchal, C.: Bundle methods in nonsmooth optimization. In: Lemaréchal, C., Mifflin, R. (eds.) Nonsmooth Optimization. Pergamon Press, Oxford (1978)Google Scholar
- 44.Polyak, B.T.: Introduction to Optimization. Translations Series in Mathematics and Engineering. Optimization Software, Inc. Publications Division, New York (1987)Google Scholar
- 47.Addoune, S., Boufi, K., Roubi, A.: Proximal bundle algorithms for nonlinearly constrained convex generalized fractional programs. Internal Report, Laboratoire MISI, Faculté des Sciences et Techniques, Settat (2017)Google Scholar