A Chance Constrained Approach to Fractional Programming with Random Numerator

摘要

This paper presents a chance constrained programming approach to the problem of maximizing the ratio of two linear functions of decision variableswhich are subject to linear inequality constraints. The coefficient parameters of thenumerator of the objective function are assumed to be random variables with aknown multivariate normal probability distribution. A deterministic equivalent ofthe stochastic linear fractional programming formulation has been obtained and asubsidiary convex program is given to solve the deterministic problem.