MCS-PSO based risk programming for virtual enterprise

This paper designes a Monte Carlo Simulation combined Particle Swarm Optimization (MCS-PSO) for the stochastic risk programming model of virtual enterprise (VE). The stochastic characters of the risk in VE are considered, which are described by random variables. So a stochastic programming model is proposed for risk management of VE. In detail, this is a chance constraint programming model, One of the great advantages of this class of model is that it can actually describe the risk preference of the manager. When the number of risk factors and the number of actions increase, the size of the problem will be huge. Therefore Particle Swarm Optimization (PSO) is employed to sovle the problem. On the other hand, to deal with the random variables, Monte Carlo Simulation is combined with PSO (MCS-PSO). Finally, numerical examples are given to illustrate the effectiveness of the MCS-PSO and the result shows that the risk programming model is very useful for VE.