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Linear Stochastic Fractional Programming with Sum-of-Probabilistic-Fractional Objective

V Charles (v.chals***at***gmail.com)
D Dutta (ddutta***at***nitw.ernet.in)

Abstract: Fractional programming deals with the optimization of one or several ratios of functions subject to constraints. Most of these optimization problems are not convex while some of them are still generalised convex. After about forty years of research, well over one thousand articles have appeared on applications, theory and solution methods for various types of fractional programs. The present article focuses on the stochastic sum-of-probabilistic-fractional program, which was one of the least researched fractional program until nineteenth century. We propose an interactive conversion technique with the help of deterministic parameter, which converts the sum-of-probabilistic-fractional objective into stochastic constraint. Then the problem reduces to stochastic programming with linear objective of sum-of-deterministic parameters. The reduced problem has been solved and illustrated with numerical examples.

Keywords: Stochastic Programming, Fractional Programming, Sum-of-Probabilistic, Quadratic Fractional Programming.

Category 1: Stochastic Programming

Citation: [1] Dr.V.Charles [2005], Optimization of Stochastic Fractional Programming Problems, Ph.D thesis, NIT Warangal. [2] SRSFPP01062005, SDM Institute for Management Development,Mysore, KA,INDIA-570 011. JUNE 2005.

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Entry Submitted: 06/01/2005
Entry Accepted: 06/01/2005
Entry Last Modified: 06/02/2005

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