An Algorithm for Stochastic Convex-Concave Fractional Programs with Applications to Production Efficiency and Equitable Resource Allocation

We propose an algorithm to solve convex and concave fractional programs and their stochastic counterparts in a common framework. Our approach is based on a novel reformulation that involves differences of square terms in the constraints, and subsequent employment of piecewise-linear approximations of the concave terms. Using the branch-and-bound framework, our algorithm adaptively refines the … Read more