Chance constrained nonlinear fractional programming with random benchmark

Tian Xia; Jia Liu

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arXiv · 2312.15315

Chance constrained nonlinear fractional programming with random benchmark

Tian Xia·Jia Liu

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Abstract

This paper studies the chance constrained fractional programming with a random benchmark. We assume that the random variables on the numerator follow the Gaussian distribution, and the random variables on the denominator and the benchmark follow a joint discrete distribution. Under some mild assumptions, we derive a convex reformulation of chance constrained fractional programming. For practical use, we apply piecewise linear and tangent approximations to the quantile function. We conduct numerical experiments on a main economic application problem.

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Tian Xia, Jia Liu. 2023-12-23. Chance constrained nonlinear fractional programming with random benchmark. https://arxiv.org/abs/2312.15315

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