Risk management of CPM networks under randomness and fuzziness based on conditional Value-at-Risk

T. Hasuike*

*この研究の対応する著者

研究成果: Conference contribution

抄録

This paper considers an extended critical path method (CPM) in terms of risk management to analyze the criticality in a network with both randomness and fuzziness for activities duration times. In order to formulate the risk management mathematically, a new risk measure is proposed by synthesizing both the conditional Value-at-Risk (cVaR) for randomness and the order relation for fuzziness. The proposed model defined by the integrated risk measure is transformed into a linear programming problem using scenario simulation approach for randomness. Furthermore, in the case of normal distributions, the proposed model is transformed into an existing parametric linear programming problem, and so the strict solution algorithm is also developed.

本文言語English
ホスト出版物のタイトル21st International Conference on Production Research
ホスト出版物のサブタイトルInnovation in Product and Production, ICPR 2011 - Conference Proceedings
編集者Tobias Krause, Dieter Spath, Rolf Ilg
出版社Fraunhofer-Verlag
ISBN(電子版)9783839602935
出版ステータスPublished - 2011 1 1
外部発表はい
イベント21st International Conference on Production Research: Innovation in Product and Production, ICPR 2011 - Stuttgart, Germany
継続期間: 2011 7 312011 8 4

出版物シリーズ

名前21st International Conference on Production Research: Innovation in Product and Production, ICPR 2011 - Conference Proceedings

Other

Other21st International Conference on Production Research: Innovation in Product and Production, ICPR 2011
国/地域Germany
CityStuttgart
Period11/7/3111/8/4

ASJC Scopus subject areas

  • 制御およびシステム工学
  • コンピュータ サイエンスの応用
  • 産業および生産工学

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