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Keywords
(11)
Chance Constraint
Convex Programming
Fractional Programming
Inequality Constraint
linear functionals
Multivariate Normal
Multivariate Normal Distribution
Objective Function
Probability Distribution
Random Variable
Stochastic Programming
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A Chance Constrained Approach to Fractional Programming with Random Numerator
A Chance Constrained Approach to Fractional Programming with Random Numerator,10.1007/s1085200991108,Journal of Mathematical Modelling and Algorith
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A Chance Constrained Approach to Fractional Programming with Random Numerator
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S. N. Gupta
This paper presents a chance constrained programming approach to the problem of maximizing the ratio of two linear functions of decision variables which are subject to linear inequality constraints. The coefficient parameters of the numerator of the
objective function
are assumed to be random variables with a known
multivariate normal
probability distribution. A deterministic equivalent of the stochastic linear
fractional programming
formulation has been obtained and a subsidiary convex program is given to solve the deterministic problem.
Journal:
Journal of Mathematical Modelling and Algorithms  JMMA
, vol. 8, no. 4, pp. 357361, 2009
DOI:
10.1007/s1085200991108
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References
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