Interactive multiobjective random fuzzy programming: Necessity-based value at risk model

Author

Uno, T. ; Tsuda, H. ; Katagiri, H. ; Kato, K. ; Tsubaki, H.

Author_Institution

Inst. of Socio-Arts & Sci., Univ. of Tokushima, Tokushima, Japan

fYear

2012

fDate

14-17 Oct. 2012

Firstpage

727

Lastpage

732

Abstract

This article considers multiobjective linear programming problems (MOLPP) where random fuzzy variables are contained in objective functions and constraints. The purpose of the proposed decision making model is to optimize values at risk under the constraints using a necessity measure. An interacitve algorithm is constructed in order to obtain a satisficing solution for the decision maker from among a set of Pareto optimal solutions.

Keywords

Pareto optimisation; decision making; fuzzy set theory; linear programming; random processes; risk management; MOLPP; Pareto optimal solution; constraints; decision making model; interacitve algorithm; interactive multiobjective random fuzzy programming; multiobjective linear programming problem; necessity measure; necessity-based value at risk model; random fuzzy variable; values at risk optimization; Decision making; Linear programming; Pareto optimization; Programming; Random variables; Stochastic processes; Vectors; Multiobjective linear programming; Pareto optimal solutions; interactive algorithm; necessity; random fuzzy variable; value at risk;

fLanguage

English

Publisher

ieee

Conference_Titel

Systems, Man, and Cybernetics (SMC), 2012 IEEE International Conference on

Conference_Location

Seoul

Print_ISBN

978-1-4673-1713-9

Electronic_ISBN

978-1-4673-1712-2

Type

conf

DOI

10.1109/ICSMC.2012.6377813

Filename

6377813