JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS: Vol. 19, No.

2, JUNE 1976
TECHNICAL NOTE
Minimization of Ratios
S. SCHAI BLE I
Communicated by S. E. Dreyfus
Abstract. Optimization problems are considered where ratios of func-
tionals of several different types (convex/concave, concave/convex,
convex/convex, and concave/concave) are to be minimized over a
convex set. All these problems are related to the minimization of a
quasi-convex functional or a quasi-concave functional.
Key Words. Optimization of ratios, fractional programming, equival-
ent problems, quasi-convex programs, quasi-concave programs.
1. Introduction
Various optimization problems in engineering and economics involve
the minimization of the ratio of physical or economical functions, or both,
for instance, cost/time, cost/volume, cost/benefit, or other quantities
measuring the efficiency of a system (for examples, see Ref. 1). These ratios
are, in general, nonconvex functionals. Therefore, the theory of convex
programming (see, for instance, Ref. 2-4) does not apply to these models. It
turns out that the concept of quasi-convex and quasi-concave functional
(Refs. 5-8) is appropriate in ratio optimization. The present paper deals with
ratios of functionals of the following type: (a) convex/concave, (b)
concave/convex, (c) convex/convex, and (d) concave/concave. All these
ratio optimization problems will be related to the minimization of a quasi-
convex functional or a quasi-concave functional.
In the literature, mostly models of type (a) have been considered (for a
duality theory, see Refs. 1, 9, 10). Applications, however, require also the
investigation of problems (b), (c), and (d). Type (c), for instance, occurs if the
t De pa r t me nt of Ope r a t i ons Re s e a r c h, St a nf or d Uni ver s i t y, St a nf or d, Cal i f or ni a; a nd
I ndus t r i e - Se mi na r de r Uni versi t ~i t K61n, K61n, We s t Ge r ma ny.
347
1976 Plenum Publishing Corporation, 227 West 17th Street, New York, N.Y. 100! 1. No part of this publication
may be reproduced, stored in a retrieval system, or transmitted, in any form or by any means, electronic, mechanical,
photocopying, microfilming, recording, or otherwise, without written permission of the pubiisher.
348 JOTA: VOL. 19, NO. 2, JUNE 1976
ratio cost/volume has to be minimized. Type (d) is encountered in minimiz-
ing the ratio revenue/profit, if costs are given by a convex functional and
revenue by a concave functional, as often assumed.
2. Background
Let L be a real normed linear space, S a nonempt y compact convex set
in L. Let fl, f2 " S-~ R be positive and continuous (many of the following
results are true also under more general assumptions). Consider the problem
where either
or
min s f(x) = fl(x)/fz(X), (1)
fl is convex, f2 is concave, (2)
or
f~ is concave, f2 is convex, (3)
or
fl is convex, f2 is convex, (4)
fl is concave, f2 is concave, (5)
Obviously, (2)-(5) cover also the corresponding maximization problems,
since
max(f l / f 2) = 1/ min(f 2/ f O.
According to Ref. 5, a functional g : S -+ R is called quasi-convex, if, for
all , ~& a ~(0, 1),
g(a + (1 - a)~) ~< max(&(), g(Y)).
The functional g is said to be quasi-concave if - g is quasi-convex.
Recently, the following two classes % of models were investigated
(Refs. 11-13):
~l-Modet: minimization of a continuous strictly quasi-convex func-
tional over a compact convex set;
c~2-Model: minimization of a continuous quasi-concave functional over
a compact convex set.
The class c~ 1 generalizes the class of convex programs. Many theoretical
results, as well as algorithms of convex programming~ still apply to ~1. In a
JOTA: VOL. 19, NO. 2, JUNE 1976 349
certain sense, ~1 is the largest class of models where each local minimum is a
global minimum (Refs. 11, 12). For models of class ~2, it was recently
proved by Bereanu (Ref. 13) that a global minimum is attained at an extreme
point and that there is no class essentially larger than q~2 with the same
property of an optimal solution (for more particular results, see Refs. 11,
12). Majthay and Whinston (Ref. 14) proposed an algorithm which calcu-
lates an optimal extreme point of a ~2-model with a polyhedral feasible
solution set S. A more particular method was given by Martos (Ref. 11).
3. Ratio Optimization Problems as ~l . Model s or ~z-Models
Recently, it was proved that
f(x) =fl(x)/fz(x)
in (2) is strictly quasi-convex (Ref. 6). Therefore, problem (2) is a call-model.
From this, it follows that problem (3) is a c2-model, since the objective
functionals in (2) and (3) are reciprocal and the reciprocal of a quasi-convex
functional is quasi-concave (Ref. 6).
However, (4) and (5) are neither ~l-models nor c2-models, in general,
as simple examples show. Consider, for instance, the following problem (4):
= (X 1 + 2X2 + X3)/(X 1 q" 1, 2,
mix{f (x) 2 2 2 2 2 2 ~>, 3}.
x2+x3)lxj j =
f(x) is not quasi-convex. To see this, let
i ' = (1, 1/2, 1), ; ' = (1/2, 1/2, 4/3).
One has
Since
f() = 910/819, f ( ; ) = 910/820.
f((1/2)(~ + ;)) = 349/313 > max(f(~), f(; )) = f(g),
f is not quasi-convex; therefore, (4) is not always a ~l-model. On the other
hand, also 1/ [ can be considered as an objective functional in a model of
type (4). Since f is not quasi-convex, 1/ f is not quasi-concave (Ref. 6).
Therefore, (4) is not always a c2-model. In the same way, it can be shown by
simple examples that (5) is neither a qCl-model nor a (2-model in general.
Therefore, (4) and (5) have none of the nice features of a cl-model or
qC2-model, since c~ are maximal with respect to their corresponding prop-
erty of an optimal solution. However, in the following it will be shown that
(4) and (5) can be related to an equivalent problem, which is a (a-model.
350 JOTA: VOL. 19, NO. 2, JUNE 1976
Notice, at first, that (5) can be considered as a particular case of (4). For
this, observe the identity
f ( x) = f l (x)f f 2(x) = [ l f f 2(x)]/ [1/ f l (x)].
Here, 1/fi is convex (Ref. 6), if fi is concave. Thus, only
min[fl(x)/f2(x)], where/ 1, f2 are convex, (6)
has to be investigated further. By the one-t o-one variable transformation
y = x/ f l ( x) , t = 1/ f l (x), x ~ S, (7)
probl em (4) becomes
rain [ 1/ t f 2( y / t ) ] T={ ( ~) ~Lx RI t >O, ( y / t ) ~S, t f l ( y/ t ) =l }. (8)
(,y)~r
Considering the definition of a convex functional (Ref. 2), it can easily be
verified that convexity of fi yields the convexity of tfi(y/t) (for twice
differentiable functionals, see Ref. 15). Since then tf2(y/t) is also quasi-
convex, the reciprocal functional 1/ t f 2(y/ t ) in (8) is quasi-concave (not
concave in general!). Thus, in (8), a quasi-concave functional has to be
minimized over T. Now, let the equality
t f l (y/ t ) = 1
in (8) be replaced by
tfx(y/t) <<- 1,
and denot e the enlarged set by 7"1. Because of the convexity of tfx(y/t), Tx is
a convex set, and t herefore
rain [1/tf2(y/t)] (9)
(,y)~rl
is a ~2-model. It will now be verified that (8) and (9) have the same set of
optimal solutions. For this, consider
(Y' )
t' e r l s ucht hat t ' f l ( y' / t ' ) <l .
(,)
It wi| l be shown that is not optimal in (9). Let ~,t be defined by
ff
:9It = y' / t ' and ~fl(y' /t' ) = 1.
JOTA: VOL. 19, NO. 2, JUNE 1976 35t
o vious,y oneha
1/ff2(~/~) < 1/t'f2(~/t) = 1/t'f2(y'/t').
(,')
Therefore, is not optimal in (9). Hence, (9) and (8) have the same set of
t'
optimal solutions. Thus, not only (8), but also (9) is equivalent to (4). As
already shown, (9) is a ~2-model. This proves the assertion that (4) [and also
(5)] is equivalent to a q~i-model.
Remark 3.1. Because of the compactness of S and continuity off1, the
feasible region T of (8) obtained by (7) is compact. The set T will not be
changed if, in (8), the inequality t > 0 is replaced by
t ~t o= l / k forsome k~max~l (x)[x 6S}.
The calculation of k may cause some additional computational effort. The
feasible region T1 of (9) is not compact. However, since each optimal
solution of (9) is optimal in (8), in TI the inequality t > 0 can be replaced by
t ~> to without cutting an optimal solution of (9) from T1. The remaining part
of 7"1 is then compact. Thus, the feasible region in the equivalent problem (9)
of (4) can be considered as compact.
Summarizing the preceding results, one has the following statement:
(2) is a c~l-model, (3) is a c2-model, and (4) and (5) are equivalent to a
c2-model.
The cOl-model (2) can be solved by a convex programming procedure
(Refs. 2-4). A global optimum of the ~2-model (3) is obtainable by an
algorithm of Majthay and Whinston (Ref. 14) provided S is polyhedral. For
the solution of the c2-model (9) equivalent to (4) [and (5)], one needs an
algorithm that calculates an optimal extreme point of a convex set, which
generally is not a polyhedron. If, for instance,
then
S={x~Rnl Ax<-b}, A=mx nmat r i x , bc R m,
i.e., the feasible region of the equivalent c2-model (9) is an intersection of a
convex polyhedron and a nonpolyhedral convex set, defined by one ine-
quality. Emphasis should be put on the development of an algorithm which
computes an optimal extreme point of such a set. For this, the procedure of
Majthay and Whinston might be useful.
352 JOTA: VOL. 19, NO. 2, JUNE 1976
References
1. SCHAIBLE, S., Fractional Programming: Transformations, Duality, and
Algorithmic Aspects, Stanford University, Department of Operations Research,
Technical Report No. 73-9, 1973.
2. LUENBERGER, D. G., Optimization by Vector Space Methods, John Wiley and
Sons, New York, New York, 1969.
3. LUENBERGER, D. G., Introduction to Linear and Nonlinear Programming,
Addison-Wesley Publishing Company, Massachusetts, 1973.
4. DANIEL, J. W., The Approximate Minimization of Functionals, Prentice-Hall,
Englewood Cliffs, New Jersey, 1971.
5. ARROW, K. J., and ENTHOVEN, A. C., Quasi-Convex Programming,
Econometrica, Vol. 29, pp. 779-800, 1961.
6. SCHAIBLE, S., Quasi-Convex Optimization in General'Real Linear Spaces,
Zeitschrift ffir Operations Research, Vol. 16, pp. 205-213, 1972.
7. SCHAIBLE, S., Quasi-Concavity and Pseudo-Concavity of Cubic Functions,
Mathematical Programming, Vol. 5, pp. 243-247, 1973.
8. FERLAND, J. m., MaximaIDomainsofQuasi-Convexity andPseudo-Convexity
for Quadratic Functions, Mathematical Programming, Vol. 3, pp. 178-192,
1972.
9. SCHAIBLE, S., Dual Fractional Programs, Stanford University, Department of
Operations Research, Technical Report No. 75-5, 1975.
10. RANI, O., and KAUL, R. N., Duality Theorems for a Class of Nonconvex
Programming Problems, Journal of Optimization Theory and Applications, Vol.
11, pp. 305-308, 1973.
11. MARTOS, B., The Direct Power of Adjacent Vertex Programming Methods,
Management Science, Vol. 12, pp. 241-252, 1965.
12. MARTOS, B., Quasi-Convexity and Quasi-Monoticity in Nonlinear
Programming, Studia Scientarium Mathematicarum Hungarica, Vol. 2, pp.
265-273, 1967.
13. BEREANU, B., On the Global Minimum of a Quasi- Concave Functional, Archiv
der Mathematik, Vol. 25, pp. 391-393, 1974.
14. MAJTHAY, A., and WHINSTON, A., Quasi-Concave Minimization Subject to
Linear Constraints, Discrete Mathematics, Vol. 9, pp. 35-59, 1974.
15. MANAS, M., On Trans[ormations of Quasi-Convex Programming Problems,
Eckonomicko-Matematicky Obzor, Cescoslovenska Akademie VED, Vol. 7,
pp. 93-99, 1968.