Globally Optimal Solutions to a Class of Fractional Optimization Problems Based on Proximal Gradient Algorithm

Abstract

This paper investigates a category of constrained fractional optimization problems that emerge in various practical applications. The objective function for this category is characterized by the ratio of a numerator and denominator, both being convex, semi-algebraic and differentiable with Lipschitz continuous gradients over the constraint sets. The constrained sets associated with these problems are closed, convex, and semi-algebraic. We propose an efficient algorithm that is inspired by the proximal gradient method, and we provide a thorough convergence analysis. Our algorithm is shown to converge to a critical point without the typical need for a nonnegative numerator, and this critical point becomes a globally optimal solution whenever the numerator is nonpositive at the initial point. Our approach is adaptable to unbounded constraint sets as well. Therefore, our approach is viable for many more practical models. Numerical experiments show that our method not only reliably reaches ground-truth solutions in some model problems but also outperforms several existing methods in maximizing the Sharpe ratio with real-world financial data.

arXiv comment24 pages, 2 figures