Robust fractional programming (Q493047)

The aim of this paper is to combine fractional programming with robust optimization to provide a comprehensive overview of the solution methods, and to investigate the improvement of robust optimization on numerical examples. The author provides conditions that guarantee that a globally optimal solution or a sequence that converges to the globally optimal solution can be found by solving one or more convex problems. The author identifies two cases for which an exact solution can be obtained by solving a single optimization problem and shows that the general problem can be solved with an iterative root-finding method. The results are demonstrated on a return on investment maximization problem, data envelopment analysis and mean-variance optimization.