Methods for solving stochastic bilinear fractional max-min problems

In this paper the authors consider a stochastic bilinear fractional max-min problem with separate linear constraints. In the case when all the coefficients of the objective function are simple randomized, two ways for solving this problem will be employed: the minimum-risk approach and Kataoka’s model. The authors prove that, under some positivity conditions, these stochastic problems are equivalent with certain deterministic bilinear-fractional min-max (or max-min) problems. For solving these deterministic optimization problems a parametrical procedure will be presented.