Approximate Solutions and Duality Theorems for Continuous-Time Linear Fractional Programming Problems
Ching‐Feng Wen, Hsien-Chung Wu · Numerical Functional Analysis and Optimization · 2011
This article proposes a practical computational procedure to solve a class of continuous-time linear fractional programming problems by designing a discretized problem. Using the optimal solutions of proposed discretized problems, we construct a sequence of feasible solutions of continuous-time linear fractional programming problem and show that there exists a subsequence that converges weakly to a desired optimal solution. We also establish an estimate of the error bound. Finally, we provide two numerical examples to demonstrate the usefulness of this practical algorithm.