A Numerical Method for Solving a Class of Continuous-Time Linear Fractional Programming Problems

In this paper, we discuss a class of infinite-dimensional optimization problems called continuous-time linear fractional programming problems ($FP$). We provide a discrete approximation procedure to find numerical solutions of $(FP)$ and to establish the estimation for the error bound of approximate solutions. Moreover, in order to reduce the consumption of computational time of solving large scale finite-dimensional linear programs, we further develop recurrence algorithms to take over the conventional methods.