Analysis of a class of fractional programming problems

We propose a solution strategy for fractional programming problems of the form max_xxg(x)/ (u(x)), where the function satisfies certain convexity conditions. It is shown that subject to these conditions optimal solutions to this problem can be obtained from the solution of the problem max_xxg(x) + u(x), where is an exogenous parameter. The proposed strategy combines fractional programming andc-programming techniques. A maximal mean-standard deviation ratio problem is solved to illustrate the strategy in action.