An Interior-point Method for Generalized Linear-fractional Programming

Nesterov, Yurii;Nemirovskii, AS.
(1995) Mathematical Programming — Vol. 69, n° 1, p. 177-204 (1995)

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  • Nesterov, YuriiUCLouvain
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  • Nemirovskii, AS.
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Abstract
We develop an interior-point polynomial-time algorithm for a generalized linear-fractional problem. The latter problem can be regarded as a nonpolyhedral extension of the usual linear-fractional programming; typical example (which is of interest for control theory) is the minimization of the generalized eigenvalue of a pair of symmetric matrices linearly depending on the decision variables.
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Nesterov, Y., & Nemirovskii, AS. (1995). An Interior-point Method for Generalized Linear-fractional Programming. Mathematical Programming, 69(1), 177-204. https://hdl.handle.net/2078.5/83284 (Original work published 1995)