Robust programming problems based on the mean-variance model including uncertainty factors

Takashi Hasuike; Hiroaki Ishii

doi:10.1063/1.3078129

Robust programming problems based on the mean-variance model including uncertainty factors

Takashi Hasuike^*, Hiroaki Ishii

^*Corresponding author for this work

Research output: Contribution to journal › Conference article › peer-review

Abstract

This paper considers robust programming problems based on the mean-variance model including uncertainty sets and fuzzy factors. Since these problems are not well-defined problems due to fuzzy factors, it is hard to solve them directly. Therefore, introducing chance constraints, fuzzy goals and possibility measures, the proposed models are transformed into the deterministic equivalent problems. Furthermore, in order to solve these equivalent problems efficiently, the solution method is constructed introducing the mean-absolute deviation and doing the equivalent transformations.

Original language	English
Pages (from-to)	224-235
Number of pages	12
Journal	AIP Conference Proceedings
Volume	1089
DOIs	https://doi.org/10.1063/1.3078129
Publication status	Published - 2009 Apr 13
Externally published	Yes
Event	International MultiConference of Engineers and Computer Scientists, IMECS 2008 - Hong Kong, China Duration: 2008 Mar 19 → 2008 Mar 21

Keywords

Fuzzy optimization
Mean-variance model
Nonlinear programming
Robust optimization

ASJC Scopus subject areas

Physics and Astronomy(all)

Access to Document

10.1063/1.3078129

Cite this

@article{695643233a044200bca34b60cf6acacc,

title = "Robust programming problems based on the mean-variance model including uncertainty factors",

abstract = "This paper considers robust programming problems based on the mean-variance model including uncertainty sets and fuzzy factors. Since these problems are not well-defined problems due to fuzzy factors, it is hard to solve them directly. Therefore, introducing chance constraints, fuzzy goals and possibility measures, the proposed models are transformed into the deterministic equivalent problems. Furthermore, in order to solve these equivalent problems efficiently, the solution method is constructed introducing the mean-absolute deviation and doing the equivalent transformations.",

keywords = "Fuzzy optimization, Mean-variance model, Nonlinear programming, Robust optimization",

author = "Takashi Hasuike and Hiroaki Ishii",

year = "2009",

month = apr,

day = "13",

doi = "10.1063/1.3078129",

language = "English",

volume = "1089",

pages = "224--235",

journal = "AIP Conference Proceedings",

issn = "0094-243X",

publisher = "American Institute of Physics Publising LLC",

note = "International MultiConference of Engineers and Computer Scientists, IMECS 2008 ; Conference date: 19-03-2008 Through 21-03-2008",

}

TY - JOUR

T1 - Robust programming problems based on the mean-variance model including uncertainty factors

AU - Hasuike, Takashi

AU - Ishii, Hiroaki

PY - 2009/4/13

Y1 - 2009/4/13

N2 - This paper considers robust programming problems based on the mean-variance model including uncertainty sets and fuzzy factors. Since these problems are not well-defined problems due to fuzzy factors, it is hard to solve them directly. Therefore, introducing chance constraints, fuzzy goals and possibility measures, the proposed models are transformed into the deterministic equivalent problems. Furthermore, in order to solve these equivalent problems efficiently, the solution method is constructed introducing the mean-absolute deviation and doing the equivalent transformations.

AB - This paper considers robust programming problems based on the mean-variance model including uncertainty sets and fuzzy factors. Since these problems are not well-defined problems due to fuzzy factors, it is hard to solve them directly. Therefore, introducing chance constraints, fuzzy goals and possibility measures, the proposed models are transformed into the deterministic equivalent problems. Furthermore, in order to solve these equivalent problems efficiently, the solution method is constructed introducing the mean-absolute deviation and doing the equivalent transformations.

KW - Fuzzy optimization

KW - Mean-variance model

KW - Nonlinear programming

KW - Robust optimization

UR - http://www.scopus.com/inward/record.url?scp=63849165530&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=63849165530&partnerID=8YFLogxK

U2 - 10.1063/1.3078129

DO - 10.1063/1.3078129

M3 - Conference article

AN - SCOPUS:63849165530

SN - 0094-243X

VL - 1089

SP - 224

EP - 235

JO - AIP Conference Proceedings

JF - AIP Conference Proceedings

T2 - International MultiConference of Engineers and Computer Scientists, IMECS 2008

Y2 - 19 March 2008 through 21 March 2008

ER -

Robust programming problems based on the mean-variance model including uncertainty factors

Abstract

Keywords

ASJC Scopus subject areas

Access to Document

Other files and links

Fingerprint

Cite this