Distributionally robust fractional optimization of probability of exceedance

DOI10.1007/S10898-025-01582-6MaRDI QIDQ6851198zbMATH OpenFDO

Authors Migual A. Lejeune, H. N. Nguyen

Publication date 27 February 2026

Published in Journal of Global Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/S10898-025-01582-6

zbMATH Keywords

biconvex reformulationchance constraintdistributionally robust fractional optimizationmoment-based ambiguityprobability of exceedancestochastic reward-risk ratioWasserstein ambiguity

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Stochastic programming (90C15) Robustness in mathematical programming (90C17) Fractional programming (90C32)

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Cited in

(2)

• Distributionally robust optimal uncertainty quantification under Phi-divergence ambiguity
• Convexification of fractional distributionally robust probability maximization problems under phi-divergence ambiguity

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