• TAYLOR SERIES APPROACH FOR SOLVING CHANCE- CONSTRAINED BI-LEVEL INTEGER LINEAR FRACTIONAL PROGRAMMING PROBLEM

Abstract

This paper presents a solution approach to bi-level integer linear fractional programming problem with individual chance constraints (CHBLIFP). We assume that there is randomness in the right-hand side of the constraints only and that the random variables are normally distributed. The basic idea in treating (CHBLIFP) is to convert the probabilistic nature of this problem into a deterministic bi-level integer linear fractional programming problem (BLIFP). A solution of bi-level integer linear fractional programming problem is presented using a Taylor series combined with the cutting- plane algorithm till we obtain a compromise solution. A numerical example is provided to demonstrate the correctness of the proposed approach.