Continuous time linear-fractional programming. The minimum-risk approach

DOI10.1051/RO:2000121MaRDI QIDQ2713142zbMATH OpenOpenAlexFDO

Authors Stefan Tigan, I. M. Stancu-Minasian

Publication date 20 September 2001

Published in RAIRO. Operations Research (Search for Journal in Brave)

Full work available at URL https://eudml.org/doc/116587, https://semanticscholar.org/paper/8c6e5d432b266296e325ce2110d02ebd7c3a1045

zbMATH Keywords

minimum-risk problemstochastic continuous time linear-fractional programming

Mathematics Subject Classification ID

Stochastic programming (90C15) Fractional programming (90C32)

Review text

The authors apply the minimum-risk approach to the stochastic continuous time linear-fractional problem. They assume that the coefficients of the objective functions are simply randomized, and show, under some positivity conditions, that the stochastic continuous time linear-fractional problem is equivalent to certain deterministic continuous time linear-fractional problem, while the stochastic continuous time linear-fractional problem with an objective function having a linear-fractional kernel is equivalent to a deterministic continuous time nonlinear-fractional problem. Some parametric procedures are proposed for solving these deterministic equivalent problems. These procedures involve approximations by discrete optimization problems.

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(13)

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• Saddle-point type optimality criteria, duality and a new approach for solving nonsmooth fractional continuous-time programming problems
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• Using the parametric approach to solve the continuous-time linear fractional Max-min problems
• Optimality criteria and duality for nonlinear fractional continuous-time programming
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