Munich Personal RePEc Archive

An exact method for a discrete

multiobjective linear fractional
optimization

Chergui, M. E-A and Moulai, M.

LAID 3, Faculty of Mathematics, University of Sciences and

Technology Houari Boumediene (USTHB), BP 32, Bab Ezzouar
16111, Algiers, Algeria, XLIM, institut de recherche, université de
Limoges, France

9 June 2007

Online at https://mpra.ub.uni-muenchen.de/12097/
MPRA Paper No. 12097, posted 13 Dec 2008 06:31 UTC
Hindawi Publishing Corporation
Journal of Applied Mathematics and Decision Sciences
Volume 2008, Article ID 760191, 12 pages
doi:10.1155/2008/760191

Research Article
An Exact Method for a Discrete Multiobjective
Linear Fractional Optimization

Mohamed El-Amine Chergui and Mustapha Moulaı̈

LAID 3, Faculty of Mathematics, University of Sciences and Technology Houari Boumediene (USTHB),
BP 32, Bab Ezzouar 16111, Algiers, Algeria

Correspondence should be addressed to Mohamed El-Amine Chergui, [email protected]

Received 9 June 2007; Revised 9 January 2008; Accepted 17 March 2008

Recommended by Wai-Ki Ching

Integer linear fractional programming problem with multiple objective MOILFP is an important
field of research and has not received as much attention as did multiple objective linear fractional
programming. In this work, we develop a branch and cut algorithm based on continuous fractional
optimization, for generating the whole integer efficient solutions of the MOILFP problem. The
basic idea of the computation phase of the algorithm is to optimize one of the fractional objective
functions, then generate an integer feasible solution. Using the reduced gradients of the objective
functions, an efficient cut is built and a part of the feasible domain not containing efficient solutions
is truncated by adding this cut. A sample problem is solved using this algorithm, and the main
practical advantages of the algorithm are indicated.

Copyright q 2008 M. E.-A. Chergui and M. Moulaı̈. This is an open access article distributed under
the Creative Commons Attribution License, which permits unrestricted use, distribution, and
reproduction in any medium, provided the original work is properly cited.

1. Introduction

Fractional programming has been widely reviewed by many authors Schaible 1, Nagih,
and Plateau 2 and there are entire books and chapters devoted to this subject Craven 3,
Stancu-Minasian 4, Horst et al. 5, and Frenk and Schaible 6. A bibliography, with 491
entries presented by Stancu-Minasian 7, attracts our attention to the amount of work that
has been done in the field in recent years. This bibliography of fractional programming is a
continuation of five previous bibliographies by the author 8. Schaible 1 has published a
comprehensive review of the work in fractional programming, outlining some of its major
developments. Stancu-Minasian’s textbook 4 contains the state-of-the-art theory and practice
of fractional programming, allowing the reader to quickly become acquainted with what has
been done in the field.
The mathematical optimization problems with a goal function that is a ratio of two
linear functions have many applications: in finance corporate planning, bank balance sheet
2 Journal of Applied Mathematics and Decision Sciences

management, marine transportation, water resources, health care, and so forth. Indeed, in
such situations, it is often a question of optimizing a ratio debt/equity, output/employee,
actual cost/standard cost, profit/cost, inventory/sales, risk-assets/capital, student/cost,
doctor/patient, and so on subject to some constraints 9. In addition, if the constraints are
linear, we obtain the linear fractional programming LFP problem.
Different approaches have been proposed in the literature to solve both continuous LFP
and integer linear fractional programming ILFP problems. These can be divided in studies
that have developed solution methods e.g., 4, 10–14 and those which concentrated on
applications e.g., 4, 6.
The multiple objective linear fractional programming MOLFP problem is one of the
most popular models used in multiple criteria decision making. Numerous studies and
applications have been reported in the literature in hundreds of books, monographs, articles,
and books’ chapters. For an overview of these studies and applications, see, for instance, 4, 7–
9, 15–22, and references therein.
Contrary to the multiple objective linear programming MOLP problem, Steuer 9
shows that the efficient solutions set in MOLFP problem is not necessarily closed; some interior
points of the feasible solutions set may be efficient, while others are not, and efficient extreme
solutions need not all be connected by a path of efficient edges. It becomes difficult to generate
the whole efficient solutions. As the efficient set may be too difficult to determine, Kornbluth
and Steuer 20 propose an algorithm for MOLFP problem that generates the set of the so-called
weakly efficient solutions by means of a simplex-based algorithm. A new technique to optimize
a weighted sum of the linear fractional objective functions is proposed by Costa 19. This
technique generates only one nondominated solution of the MOLFP problem associated with
a given weight vector. At each stage of the technique, the nondominated domain is divided in
two subdomains and each of them is analyzed in order to discard the one not containing the
nondominated solutions. The process ends when the remaining domains are so little that the
differences among their nondominated solutions are lower than a predefined error.
In this paper, we have proposed a technique for generating the efficient set of the
MOLFP problem with integer variables by using all the decision criteria in an active way.
This last problem, called MOILFP, is more difficult to solve than the MOLFP problem taking
into account the integrity of variables. Indeed, finding all efficient solutions of multiobjective
combinatorial optimization problems is, in general, NP-complete 23.
We should like to point out that the MOILFP problem has not received as much attention
as did the multiple objective integer linear programming MOILP problem, what justified our
interest to study this problem.
In 15, a considerable computation is necessary to obtain an optimal integer solution of
an ILFP problem in the first stage, since the authors used a branch and bound method see, e.g.,
24. In our method, we use only the Cambini and Martein’s 10 method to obtain an optimal
solution for the relaxed ILFP problem and an integer solution is detected by the branching
process of the branch and bound method. In addition, a cutting plane is constructed taking into
account all the criteria. In this manner, we are able to eliminate not only noninteger solutions of
the feasible domain, but also integer solutions which are not efficient. Thus our method avoids
to scan all the integer feasible solutions of the problem.
The notations and definitions used throughout this work are presented in Section 2. In
Section 3, the algorithm generating all efficient solutions for the MOILFP problem is developed
and the main theoretical results are proposed. An illustrative example is given in Section 4
M. E.-A. Chergui and M. Moulaı̈ 3

and a computational experience is reported in Section 5. Section 6 provides some concluding

remarks.

2. Problem formulation

The purpose of this paper is to develop an exact method for solving the multiple objective integer
linear fractional program MOILFP:
⎧
⎪
⎪ c1 x α1
⎪
⎪max Z1 x  1
⎪
⎪ d x β1
⎪
⎪
⎪
⎪
⎪
⎪ c2 x α2
⎪
⎪max Z 2 x 
⎨ d2 x β2
p .
.. 2.1
⎪
⎪
⎪
⎪
⎪
⎪
⎪
⎪ ck x αk
⎪
⎪max Zk x  k
⎪
⎪ d x βk
⎪
⎪
⎩x ∈ S, x integer

where k ≥ 2; ci , di are 1 × n vectors; αi , βi are scalars for each i ∈ {1, 2, . . . , k}; S  {x ∈ Rn |

Ax ≤ b, x ≥ 0}; A is an m × n real matrix; and b ∈ Rm . Throughout this article, we assume that
S is a nonempty, compact polyhedron set in Rn and di x βi > 0 over S for all i ∈ {1, 2, . . . , k}.
Many approaches for analyzing and solving the MOLFP problem use the concept of
efficiency. A point x ∈ Rn is called an efficient solution, or Pareto-optimal solution, for MOLFP
problem when x ∈ S, and there exists no point y ∈ S such that Zi y ≥ Zi x, for all i ∈
{1, . . . , k} and Zi y > Zi x for at least one i ∈ {1, . . . , k}. Otherwise, x is not efficient and the
vector Zy dominates the vector Zx, where Zx  Zi xi1,...,k .
The approach adopted in this work for detecting all integer efficient solutions of problem
P  is based on solving a linear fractional programming problem, at each stage l:

c1 x α1
p1  max Z1 x  1 , x ∈ Sl , 2.2
d x β1

with S0  S and without the integrity constraint of variables. Note that in place of Z1 , one can
similarly consider the problem Pl  with another objective Zi for any i ∈ {2, . . . , r}.
If the optimal solution of Pl  is integer, it is compared to all of the potentially efficient
solutions already found and the set of efficient solutions is actualized. The growth direction of
each criterion is determined by using its gradient. The method uses this information to deduce
a cut able to delete integer solutions which are not efficient for the problem P  and determines
a new integer solution. In the case where this optimal solution is not integer, two new linear
fractional programs are created by using the branching process well known in branch and
bound method. Each of them will be solved like the problem Pl .
To this aim—let xl∗ be the first integer solution obtained after solving problem Pl  by
using, eventually, the branching process—one defines Bl as the set of indices of basic variables
and Nl as the set of indices of nonbasic variables of xl∗ . Let γji be the jth component of the
reduced gradient vector γ i defined by 2.3 for each fixed i ∈ {1, 2, . . . k};

γ i  βi ci − αi di , 2.3
4 Journal of Applied Mathematics and Decision Sciences

where ci , di , αi, and βi are updated values. Let us note that the gradient vector of Zi and the
corresponding reduced gradient vector γ i for each fixed index i, i ∈ {1, 2, . . . , k}, have the same
sign. Thus calculating γ i is enough to determine the growth direction for each criterion.
In order to give the mathematical expression of the cut, we define the following sets at xl∗ :
   
Hl  j ∈ Nl | ∃i ∈ {1, 2, . . . , k}; γji > 0 ∪ j ∈ Nl | γji  0, ∀i ∈ {1, 2, . . . , k} , 2.4

Sl 1  x ∈ Sl | xj ≥ 1 . 2.5
j∈Hl

An efficient cut is a cut which removes only nonefficient integer solutions.

In Section 3, the approach to solve program P  is presented.

3. Methodology for solving MOILFP

In this section, an exact method based on the branching process and using an efficient cut for
generating all integer efficient solutions for problem P  is presented. First of all, the proposed
method is presented in detail, the algorithm for solving the multiple objective integer linear
fractional programming problems is then described. We finish the section with the theoretical
results which prove the convergence of the algorithm.

3.1. Description of the method

Starting with an optimal solution of an LFP problem, the domain of feasible integer solutions
is partitioned into subdomains using the principle of branching to the search for integer
solutions. As soon as an integer solution is found in a new domain, it is compared to solutions
already found and hence the set of all the potentially efficient solutions is updated. An efficient
cut is then added for deleting integer solutions that are not efficient. To construct this cut, the
growth directions of the criteria are used. The search for the efficient solutions is made in each
subdomain created. A given domain contains no efficient solutions when none criterion can
grow. This last is said an explored domain. The search for the efficient solutions is stopped
only if all created domains were explored domains.
First, Cambini and Martein’s 10 algorithm is used for solving the following continuous
linear fractional program:

c1 x α1
p max Z1 x  , x ∈ S0. 3.1
d1 x β1

This is based on the concept of optimal level solution. A feasible point x is an optimal
level solution for the linear fractional program P0 , if x is optimal for the linear program:

P x  max c1 x α1 , d1 x  d1 x, x ∈ S0. 3.2

If, in addition, x is a vertex of the feasible solutions set S0 , x is said to be a basic optimal
level solution. Obviously, an optimal solution for the linear fractional program P0  is a basic
M. E.-A. Chergui and M. Moulaı̈ 5

optimal level solution. According to this, the algorithm generates a finite sequence of basic
optimal level solutions, the first one, say x0 , is an optimal solution for the linear program:

min d1 x β1 , x ∈ S0. 3.3

If x0 is unique, then it is also a basic optimal level solution for program P0 , otherwise,
solve the linear program Px0  to obtain a basic optimal level solution.
The solution of the program P0  obtained in a finite sequence of optimal level solutions
is optimal if and only if γj1 ≤ 0 for all j ∈ J01 , where
 
J01  j ∈ N0 | dj1 > 0 . 3.4

Otherwise, there exists an index j ∈ J01 for which γj1 > 0. The nonbasic variable xr , r ∈ J01 , which
must enters the basis is indicated by the index r such that
⎧ ⎫
cr1 ⎨ cj1 ⎬
 max , j ∈ J01 . 3.5
d1 ⎩ d1 ⎭
r j

The original format of the objectives fractional functions and original structure of the
constraints is maintained and the iterations are carried out in an augmented simplex table
which includes m 3k rows. The first m rows correspond to the original constraints, the m
3i − 1 1 and m 3i − 1 2 rows correspond to the numerator and denominator of the
objective fractional function Zi , i ∈ {1, 2, . . . , k}, of program P , respectively, and the m 3i
row corresponds to the γli vector at step l.
At each stage of the algorithm, all the rows are modified as usual through the pivot
operation when the nonbasic variable xr , r ∈ J01 , enters the basis, except the m 3i rows, for
i ∈ {1, 2, . . . , k}, which are modified using the γli formula 2.3.
Each program Pl  corresponds to node l in a structured tree. A node l of the tree is
fathomed if the corresponding program Pl  is not feasible or Hl  ∅ explored domain.
If the optimal solution xl of program Pl  is not integer, let xj be one component of xl
such that xj  αj, where αj is a fractional number. The node l of the tree is then separated
in two nodes which are imposed by the additional constraints xj ≤ ⌊αj ⌋ and xj ≥ ⌊αj ⌋ 1,
where ⌊αj ⌋ indicates the greatest integer less than αj . In each node, the linear fractional program
obtained must be solved, until an integer feasible solution is found. In presence of an integer

feasible solution, the efficient cut j∈Hl xj ≥ 1 is added to the program and the new program is
solved using the dual simplex method. The method terminates when all the created nodes are
fathomed.

3.2. Algorithm

The algorithm generating the set of all integer efficient solutions of program P  is presented
in the following steps. The nodes in the tree structure are treated according to the backtracking
principle.

Step 1. Initialization: l  0, create the first node with the program P0 . Eff  ∅; integer-
efficient set of program P 
6 Journal of Applied Mathematics and Decision Sciences

Step 2. General step: as long as a nonfathomed node exists in the tree, do: choose the node not yet
fathomed, having the greatest number l, solve the corresponding linear fractional program Pl 
using the dual simplex method and the Cambini and Martein’s method. Initially, for solving
program P0 , only the Cambini and Martein’s method is used.
If program Pl  has no feasible solutions, then the corresponding node is fathomed.
Else, let xl be an optimal solution. If xl is not integer, go to Step 3, else go to Step 4.

Step 3. Branching process partition of the problem into mutually disjoint and jointly exhaustive
sub-problems: choose one coordinate xj of xl such that xj : αj , with αj fractional number,
and separate the actual node l of the tree in two nodes k, k ≥ l 1, and h, h ≥ l 1, h /  k.
In the current simplex table, the constraint xj ≥ ⌊αj ⌋ is added and a new domain is
considered in node k and similarly, the constraint xj ≥ ⌊αj ⌋ 1 is added to obtain another
domain in node h. Each created program must be solved using the same process until an
integer feasible solution is found, go to Step 2.

Step 4. Update the set Eff: if Zxl  is not dominated by Zx for all x ∈ Eff, then Eff : Eff ∪ {xl }.
If there exists x ∈ Eff such that Zxl  dominates Zx, then Eff : Eff \ {x} ∪ {xl }.
Construct the efficient cut: determine the sets Nl and Hl .
If Hl  ∅, then the corresponding node is fathomed. Go to Step 2.

Else, add the efficient cut j∈Hl xj ≥ 1 to the program Pl . Go to Step 2.

The following theorems show that the algorithm generates all integer efficient solutions
of program P  in a finite number of stages.

Theorem 3.1. Suppose that Hl  / ∅ at the current integer solution xl∗ . If x is an integer efficient solution
in domain Sl \ {xl∗ }, then x ∈ Sl 1 .

Proof. Let x be an integer solution in domain Sl \ {xl∗ } such that x / ∈ Sl 1 , then j∈Hl xj  0, that
implies xj  0 for all index j ∈ Hl .
From the simplex table corresponding to the optimal solution xl∗ , the criteria are eval-
uated by

 i
j∈Nl cj xj αi
Zi x   for i ∈ {1, . . . , k}, 3.6
j∈Nl dji xj βi

where

αi
 Zi xl∗ . 3.7
βi

Then we can write

 i
j∈Nl \Hl cj xj αi
Zi x   , ∀i ∈ {1, . . . , k}. 3.8
i
j∈Nl \Hl dj xj βi
M. E.-A. Chergui and M. Moulaı̈ 7

In the other hand, γji  βi cji − αi dji ≤ 0, for all index j ∈ Nl \ Hl and γji  βi cji − αi dji < 0 for
at least one criterion, implies that cji ≤ αi dji /βi for all j ∈ Nl \Hl because βi  di xl∗ βi > 0 for all
criterion i ∈ {1, . . . , k}. The decision variables being nonnegative, we obtain cji xj ≤ αi dji /βi xj
for all j ∈ Nl \ Hl and hence

αi dji αi dji
cji xj ≤ xj ⇒ cji xj αi ≤ xj αi . 3.9
j∈Nl \Hl j∈Nl \Hl βi j∈Nl \Hl j∈Nl \Hl βi

For any criterion Zi , i ∈ {1, . . . , k}, the following inequality is obtained

 i
j∈Nl \Hl cj xj αi
Zi x  
i
j∈Nl \Hl dj xj βi

j∈Nl \Hl αi dji /βi xj αi
⇒ Zi x ≤  i
j∈Nl \Hl dj xj βi
3.10
 i
αi /βi  j∈Nl \Hl dj xj βi
⇒ Zi x ≤  i
j∈Nl \Hl dj xj βi

αi
⇒ Zi x ≤ ⇒ Zi x ≤ Zi xl∗ .
βi

Consequently, Zi x ≤ Zi xl∗  for all i ∈ {1, . . . , k} and Zi x < Zi xl∗  for at least one
index. Hence Zxl∗  dominates Zx and the solution x is not efficient.

Corollary 3.2. Suppose that Hl /  ∅ at the current integer solution xl∗ . Then the constraint j∈Hl xj ≥ 1
is an efficient cut.

Proof. By the above theorem, no efficient solution is deleted when the constraint j∈Hl xj ≥ 1 is
added. We can say that this is an efficient valid constraint. In the other hand, xl∗ does not satisfy
this constraint since xj  0, for all j ∈ Nl . We conclude that the constraint is an efficient cut.

Proposition 3.3. If Hl  ∅ at the current integer solution xl∗ , then Sl \ {xl∗ } is an explored domain.

Proof. Hl  ∅ means that xl∗ is an optimal integer solution for all criterion, hence xl∗ is an ideal
point in the domain Sl and Sl \ {xl∗ } does not contain efficient solutions.

Theorem 3.4. The described algorithm terminates in a finite number of iterations and generates all the
efficient solutions of program P .

Proof. The set S of feasible solutions of problem P , being compact, contains a finite number
of integer solutions. Each time an optimal integer solution xl∗ is calculated, the efficient cut is
added. Thus according to the above theorem and corollary, at least the solution xl∗ is eliminated
when one studies any subproblem Pk , k > l, but no efficient solution is deleted.
8 Journal of Applied Mathematics and Decision Sciences

Table 1
B Rhs x3 x4
x2 8/7 2/7 1/7
x1 32/7 1/7 4/7
c1 −4/7 −1/7 −4/7
d1 −13/7 2/7 1/7
γ1 −3/7 −8/7
c2 4/7 1/7 4/7
d2 −15/7 −2/7 −1/7
γ2 1/7 8/7
c3 24/7 −1/7 3/7

4. An illustrative example

The following program P  is given as an example of multiple objective linear fractional

programming MOLFP in Kornbluth and Steuer 20:

x1 − 4
max Z1 x  ,
−x2 3
−x1 4
max Z2 x  ,
x2 1
max Z3 x  −x1 x2 , subject to − x1 4x2 ≤ 0, 2x1 − x2 ≤ 8, x1 ≥ 0, x2 ≥ 0, and integers.
4.1

Using the described algorithm, program P0  is first resolved and the optimal solution is
given in the simplex Table 1:
Since γj1 ≤ 0 for all j ∈ J01 , J01  N0  {3, 4}, then the obtained solution 32/7, 8/7 is
optimal for program P0 , but not integer. Therefore, two branches are possible.

1 x1 ≥ 5 ⇔ −1/7x3 − 4/7x4 ≥ 3/7. This is not possible and 1 is fathomed.
2 x1 ≤ 4 ⇔ −1/7x3 − 4/7x4 ≤ −4/7.

This constraint is added and the dual simplex method is applied. The integer optimal
solution of program P2  is obtained in Table 2.
γj1 ≤ 0 for all j ∈ J21 , J21  N2  {3, 5}, then the current solution 4, 1 is optimal. Eff :
{4, 1}, H2  {5}, and S3  {x ∈ S2 |x5 ≥ 1}.
The constraint x5 ≥ 1 is added to the current simplex table and after pivoting, we obtain
Table 3.
J31  ∅ then, 3, 0 is an optimal integer solution and Eff : {4, 1, 3, 0}.
Proceeding in this manner, we obtain Table 4.
J41  ∅ then, 0, 0 is an optimal integer solution, Eff : {4, 1, 3, 0, 0, 0}, N4  {1, 10},
H4  {10}, and S5  {x ∈ S4 |x10 ≥ 1}.
The constraint x10 ≥ 1 is added and we obtain Table 5.
The dual is not feasible, then the corresponding node is fathomed.
The algorithm terminates since all nodes are fathomed and the integer efficient solutions
set of program P  is Eff  {4, 1, 3, 0, 2, 0, 1, 0, 0, 0}.
M. E.-A. Chergui and M. Moulaı̈ 9

Table 2
B Rhs x3 x5
x2 1 1/4 1/4
x1 4 0 1
x4 1 1/4 −7/4
c1 0 0 −1
d1 −2 1/4 1/4
γ1 0 −2
c2 0 0 1
d2 −2 −1/4 −1/4
γ2 0 2
c3 3 −1/4 3/4

Table 3
B Rhs x2 x6
x3 3 4 1
x1 3 0 1
x4 2 −1 −2
x5 1 0 −1
c1 1 0 −1
d1 −3 −1 0
γ1 −1 −3
c2 −1 0 1
d2 −1 1 0
γ2 −1 1
c3 3 1 1

Table 4
B Rhs x1 x10
x6 3 1 0
x3 0 1 4/3
x4 8 1 −1
x5 4 1 0
x7 2 0 −1
x9 1 3 8
x8 0 1 1
x2 0 −1 −1
c1 4 1 0
d1 −3 −1 −1
γ1 −1 −4
c2 −4 −1 0
d2 −1 1 1
γ2 −5 −4
c3 0 0 1
10 Journal of Applied Mathematics and Decision Sciences

Table 5
Rhs x11 x10
x6 2 1 −1
x3 −1 1 1/3
x4 7 1 −2
x5 3 1 −1
x7 2 0 −1
x9 −2 3 5
x8 −1 1 0
x2 1 −1 0
x1 1 −1 1
c1 3 1 −1
d1 −2 −1 0
γ1 −1 −4
c2 −3 −1 1
d2 −2 1 0
γ2 −5 −4
c3 0 0 1

Table 6
n, m, α, 15,10,33 20,10,25 25,5,17 25,10,17
Efficient Mean 99,50 204,50 200,45 98,00
Solutions Max 215 324 397 228
Min 4 23 67 17
CPU Mean 38,52 185,96 400,48 306,74
second Max 54,39 337,08 673,17 367,11
Min 23,094 143,56 193,87 177,09
Simplex Mean 75837,7 126488,50 521763,45 255726,55
Iterations Max 101207 365750 719105 306665
Min 55851 2717 369414 145324
Efficient Mean 885,3 2341,50 2607,15 979,00
Cuts EC Max 1152 2593 3909 1268
Min 451 679 839 440
EC/Cuts Mean 0,91 0,97 0,84 0,81

5. Computational results

The computer program was coded in MATLAB 7.0 and run on a 3.40 GHz DELL pentium 4,
1.00 GB RAM. The used software was developed by the authors and was tested on randomly
generated problems. We show the results of the computational experiment in Table 6.
The method was tested with m  5 and 10 constraints with r  4 objectives functions
and n variables, n ∈ {15, 20, 25} randomly generated. The coefficients are uncorrelated integers
uniformly distributed in the interval 1, 100 for constraints and 1, 80 for objective functions
about the first two types of treated problems. For the latter two types of problems tested, the
M. E.-A. Chergui and M. Moulaı̈ 11

integer values of the matrix constraints vary in the interval 1, 50 and for those of criteria in
1, 30. The right-hand side value is set to α% of the sum of the coefficients integer part of
each constraint, where α ∈ {17, 25, 33}. With each instance n, m, α, a series of 20 problems is
solved and the whole efficient solution set was generated for all these problems.
The method being exact, it was expected that the iteration number of the simplex method
is very large taking into account the fact that, for this type of problems, the number of efficient
solutions increases quickly with the data size. In addition, we should like to point out that the
ratio EC/cuts tends toward the value one, showing that the number of efficient cuts introduced
into the method is very large compared to the full number of cuts and indicating that this type
of cuts has a positive impact on the research of the whole of efficient solutions.

6. Conclusion

In this paper, an exact method for generating all efficient solutions for multiple objective
integer linear fractional programming problems is presented The method does not require any
nonlinear optimization. A linear fractional program is solved using the Cambini and Martein’s
algorithm in the original format and then by using the well-known concept of branching
in integer linear programming, integer solutions are generated. The proposed efficient cut
exploits all the criteria in the simplex table, and only the parts of the feasible solutions domain
containing efficient solutions are explored. Also it is easy to implement the proposed cut
since to obtain integer solution xk 1 from xk , one has just to append the cut in the simplex
table corresponding to xk and carry out pivoting iterations as in an ordinary linear fractional
programming problem. The described method solves MOILFP problems in the general case.
However, in order to make the algorithm more powerful, the tree structure of the algorithm
can be exploited for construction of a parallel algorithm. For large scale problems, the number
of efficient solutions can be very high so that it becomes unrealistic to generate them all. In
this case, one can choose only the increasing directions of criteria which satisfy a desirable
augmentation. This can be made by building the sets Hl in an interactive way at each step of
the algorithm.

Acknowledgments

The authors are grateful to anonymous referees for their substantive comments that improved
the content and presentation of the paper. This research has been completely supported by the
laboratory LAID3 of the High Education Algerian Ministry.

References
1 S. Schaible, “Fractional programming: applications and algorithms,” European Journal of Operational
Research, vol. 7, no. 2, pp. 111–120, 1981.
2 A. Nagih and G. Plateau, “Problèmes fractionnaires: tour d’horizon sur les applications et méthodes
de résolution,” RAIRO Operations Research, vol. 33, no. 4, pp. 383–419, 1999.
3 B. D. Craven, Fractional Programming, vol. 4 of Sigma Series in Applied Mathematics, Heldermann, Berlin,
Germany, 1988.
4 I. M. Stancu-Minasian, Fractional Programming: Theory, Methods and Applications, vol. 409 of Mathematics
and Its Applications, Kluwer Academic Publishers, Dordrecht, The Netherlands, 1997.
5 R. Horst, P. M. Pardalos, and N. V. Thoai, Introduction to Global Optimization, vol. 48 of Nonconvex
Optimization and Its Applications, Kluwer Academic Publishers, Dordrecht, The Netherlands,
2nd edition, 2000.
12 Journal of Applied Mathematics and Decision Sciences

6 J. B. G. Frenk and S. Schaible, “Fractional programming: Introduction and Applications,” in

Encyclopedia of Optimization, C. A. Floudas and P. M. Pardalos, Eds., pp. 162–172, Kluwer Academic
Publishers, Dordrecht, The Netherlands, 2001.
7 I. M. Stancu-Minasian, “A sixth bibliography of fractional programming,” Optimization, vol. 55, no. 4,
pp. 405–428, 2006.
8 I. M. Stancu-Minasian, “A fifth bibliography of fractional programming,” Optimization, vol. 45, no. 1–
4, pp. 343–367, 1999.
9 R. E. Steuer, Multiple Criteria Optimization: Theory, Computation, and Application, Wiley Series in
Probability and Mathematical Statistics: Applied Probability and Statistics, John Wiley & Sons, New
York, NY, USA, 1986.
10 A. Cambini and L. Martein, “Equivalence in linear fractional programming,” Optimization, vol. 23,
no. 1, pp. 41–51, 1992.
11 A. Charnes and W. W. Cooper, “Programming with linear fractional functionals,” Naval Research
Logistics Quarterly, vol. 9, no. 3-4, pp. 181–186, 1962.
12 D. Granot and F. Granot, “On integer and mixed integer fractional programming problems,” in
Studies in Integer Programming, vol. 1 of Annals of Discrete Mathematics, pp. 221–231, North-Holland,
Amsterdam, The Netherlands, 1977.
13 B. Martos, Nonlinear Programming: Theory and Method, North-Holland, Amsterdam, The Netherlands,
1975.
14 C. R. Seshan and V. G. Tikekar, “Algorithms for integer fractional programming,” Journal of the Indian
Institute of Science, vol. 62, no. 2, pp. 9–16, 1980.
15 M. Abbas and M. Moulaı̈, “Integer linear fractional programming with multiple objective,” Journal of
the Italian Operations Research Society, vol. 32, no. 103-104, pp. 15–38, 2002.
16 R. Caballero and M. Hernández, “The controlled estimation method in the multiobjective linear
fractional problem,” Computers & Operations Research, vol. 31, no. 11, pp. 1821–1832, 2004.
17 A. Cambini, L. Martein, and I. M. Stancu-Minasian, “A survey of bicriteria fractional problems,”
Advanced Modeling and Optimization, vol. 1, no. 1, pp. 9–46, 1999.
18 M. Chakraborty and S. Gupta, “Fuzzy mathematical programming for multi objective linear fractional
programming problem,” Fuzzy Sets and Systems, vol. 125, no. 3, pp. 335–342, 2002.
19 J. P. Costa, “Computing non-dominated solutions in MOLFP,” European Journal of Operational Research,
vol. 181, no. 3, pp. 1464–1475, 2007.
20 J. S. H. Kornbluth and R. E. Steuer, “Multiple objective linear fractional programming,” Management
Science, vol. 27, no. 9, pp. 1024–1039, 1981.
21 B. Metev and D. Gueorguieva, “A simple method for obtaining weakly efficient points in
multiobjective linear fractional programming problems,” European Journal of Operational Research,
vol. 126, no. 2, pp. 386–390, 2000.
22 O. M. Saad and J. B. Hughes, “Bicriterion integer linear fractional programs with parameters in the
objective functions,” Journal of Information & Optimization Sciences, vol. 19, no. 1, pp. 97–108, 1998.
23 M. Ehrgott and X. Gandibleux, “An annotated bibliography of multiobjective combinatorial
optimization,” Report in Wissenschaftmathematik no. 62, Fachbereich Mathematik, Universitat
Kaiserslautern, Kaiserslautern, Germany, 2000.
24 G. Nemhauser and L. Wolsey, Integer and Combinatorial Optimization, John Wiley & Sons, New York,
NY, USA, 1986.