Fractional objective convex Matlab codes


(Mina Konari) #1

I need to know how i can solve a fractional program in Matlab?


(Mark L. Stone) #2

If you have formulated a convex optimization problem, you are welcome to seek help here as to whether/how it can be implemented in CVX. First, you should do some reading, as discussed below.

The book “Convex Optimization”, by Boyd and Vandenberghe, https://web.stanford.edu/~boyd/cvxbook/bv_cvxbook.pdf has various material on convex fractional programming. This includes detailed discussion of transforming linear fractional program into linear program in section 4.3.2, as well as matrix fractional problems. You may find new functions available in CVX and listed in http://cvxr.com/cvx/doc/funcref.html#new-functions to be helpful for certain problems. For instance, quad_over_lin, and matrix_frac.