I have a problem where I have a number of proposed initiatives each with a cost and payoff. I need to select a subset of these initiatives in order to maximize the ROI for the selected set as a whole while staying within a total cost constraint. Specifically, the problem is:

Maximize [sum(v_i*x_i)/sum(c_i*x_i)]
Subject to sum(c_i*x_i) <= C and x in {0,1}
Where v_i = payoff from initiative i, c_i = cost of initiative i, and x_i = 0/1 decision to select investment i or not

I understand that if the objective function in such a problem is just a sum then it is a 0/1 knapsack problem. If the function is a ratio as in this case, is there a specific name for this kind of a problem, or a recommended algorithm for solving it?

没有正确的解决方案

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