Stochastic fractional programming for minimizing variability

S. N. Gupta, Rajnesh Mudaliar, Kuldeep Kumar

Research output: Contribution to journalArticleResearchpeer-review


In situations where risk aversion is involved, minimization of the variability of the economic criterion under consideration is indispensable. This paper provides a typical stochastic fractional programming model for minimizing the absolute value of the coefficient of variation of a linear function of decision variables under the assumption that the coefficient parameters of the decision variables have a known multivariate normal probability distribution. The stochastic problem is shown to be equivalent to a deterministic problem whose solution can be obtained by solving a related quadratic programming problem.
Original languageEnglish
Pages (from-to)495-501
Number of pages7
JournalJournal of Information and Optimization Sciences
Issue number2
Publication statusPublished - 8 Mar 2018


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