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Stochastic linear fractional programming with the ratio of independent Cauchy variates

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  • S. N. Gupta
  • A. K. Jain
  • Kanti Swarup

Abstract

In this article is studied a stochastic linear fractional programming problem, in which the parameters of both the numerator and the denominator are assumed to be mutually independent Cauchy variates. The deterministic equivalent of the problem is obtained and is shown to be a linear fractional program. A numerical example is also added for illustration.

Suggested Citation

  • S. N. Gupta & A. K. Jain & Kanti Swarup, 1987. "Stochastic linear fractional programming with the ratio of independent Cauchy variates," Naval Research Logistics (NRL), John Wiley & Sons, vol. 34(2), pages 293-305, April.
    • Handle: RePEc:wly:navres:v:34:y:1987:i:2:p:293-305
    DOI: 10.1002/1520-6750(198704)34:23.0.CO;2-0
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    References listed on IDEAS

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    1. Arthur M. Geoffrion, 1967. "Stochastic Programming with Aspiration or Fractile Criteria," Management Science, INFORMS, vol. 13(9), pages 672-679, May.
    2. A. Charnes & W. W. Cooper, 1963. "Deterministic Equivalents for Optimizing and Satisficing under Chance Constraints," Operations Research, INFORMS, vol. 11(1), pages 18-39, February.
    3. A. Charnes & W. W. Cooper, 1962. "Programming with linear fractional functionals," Naval Research Logistics Quarterly, John Wiley & Sons, vol. 9(3‐4), pages 181-186, September.
    4. Kanti Swarup, 1965. "Letter to the Editor—Linear Fractional Functionals Programming," Operations Research, INFORMS, vol. 13(6), pages 1029-1036, December.
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