Stochastic simulation-based genetic algorithm for chance constrained fractional programming problem

DOI10.1504/IJOR.2010.034359MaRDI QIDQ604791zbMATH OpenFDO

Authors A. Udhayakumar, Vincent Charles, V. Rhymend Uthariaraj

Publication date 12 November 2010

Published in International Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1504/IJOR.2010.034359

zbMATH Keywords

chance constrained fractional programmingchance constraint programmingcontinuous distributiongasgenetic algorithmsrandom variablesstochastic programmingstochastic simulation

Mathematics Subject Classification ID

Stochastic programming (90C15) Fractional programming (90C32) Approximation methods and heuristics in mathematical programming (90C59)

Review text

Summary: The field of chance constrained fractional programming (CCFP) has grown into a huge area over the last few years because of its applications in real life problems. Therefore, finding a solution technique to it is of paramount importance. The solution technique so far has been deriving deterministic equivalence of CCFP with random coefficients in the objective function and/or constraints and is possible only if random variable follows some specified distribution with known parameters. This paper presents a stochastic simulation-based genetic algorithm (GA) for solving CCFP problems, where random variables used can follow any continuous distribution. The solution procedure is tested on a few numerical examples. The results demonstrate that the suggested approach could provide researchers a promising way for solving various types of chance constrained programming (CCP) problems.

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