Linear fractional program under interval and ellipsoidal uncertainty

Salahi, Maziar, and Fallahi, Saeed. "Linear fractional program under interval and ellipsoidal uncertainty." Kybernetika 49.1 (2013): 181-187. <http://eudml.org/doc/252513>.

@article{Salahi2013,
abstract = {In this paper, the robust counterpart of the linear fractional programming problem under linear inequality constraints with the interval and ellipsoidal uncertainty sets is studied. It is shown that the robust counterpart under interval uncertainty is equivalent to a larger linear fractional program, however under ellipsoidal uncertainty it is equivalent to a linear fractional program with both linear and second order cone constraints. In addition, for each case we have studied the dual problems associated with the robust counterparts. It is shown that in both cases, either interval or ellipsoidal uncertainty, the dual of robust counterpart is equal to the optimistic counterpart of dual problem.},
author = {Salahi, Maziar, Fallahi, Saeed},
journal = {Kybernetika},
keywords = {linear fractional program; robust optimization; uncertainty; second order cone; linear fractional program; robust optimization; uncertainty; second-order cone},
language = {eng},
number = {1},
pages = {181-187},
publisher = {Institute of Information Theory and Automation AS CR},
title = {Linear fractional program under interval and ellipsoidal uncertainty},
url = {http://eudml.org/doc/252513},
volume = {49},
year = {2013},
}

TY - JOUR
AU - Salahi, Maziar
AU - Fallahi, Saeed
TI - Linear fractional program under interval and ellipsoidal uncertainty
JO - Kybernetika
PY - 2013
PB - Institute of Information Theory and Automation AS CR
VL - 49
IS - 1
SP - 181
EP - 187
AB - In this paper, the robust counterpart of the linear fractional programming problem under linear inequality constraints with the interval and ellipsoidal uncertainty sets is studied. It is shown that the robust counterpart under interval uncertainty is equivalent to a larger linear fractional program, however under ellipsoidal uncertainty it is equivalent to a linear fractional program with both linear and second order cone constraints. In addition, for each case we have studied the dual problems associated with the robust counterparts. It is shown that in both cases, either interval or ellipsoidal uncertainty, the dual of robust counterpart is equal to the optimistic counterpart of dual problem.
LA - eng
KW - linear fractional program; robust optimization; uncertainty; second order cone; linear fractional program; robust optimization; uncertainty; second-order cone
UR - http://eudml.org/doc/252513
ER -