Title :
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
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;
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
DOI :
10.1109/ICSMC.2012.6377813
