In this paper, we present a duality theory for fractional programming problems in the face of data uncertainty via robust optimization. By employing conjugate analysis, we establish robust strong duality for an uncertain fractional programming problem and its uncertain Wolfe dual programming problem by showing strong duality between the deterministic counterparts: robust counterpart of the primal model and the optimistic counterpart of its dual problem. We show that our results encompass as special cases some programming problems considered in the recent literature. Moreover, we also show that robust strong duality always holds for linear fractional programming problems under scenario data uncertainty or constraint-wise interval uncertainty, and that the optimistic counterpart of the dual is tractable computationally.
Positivity – Springer Journals
Published: Feb 12, 2013
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