抄録
A new class of fuzzy stochastic optimization models - two-stage fuzzy stochastic programming with Value-at-Risk (VaR) criteria is established in this paper. An approximation algorithm is proposed to compute the VaR by combining discretization method of fuzzy variable, random simulation technique and bisection method. The convergence theorem of the approximation algorithm is also proved. To solve the twostage fuzzy stochastic programming problems with VaR criteria, we integrate the approximation algorithm, neural network (NN) and particle swarm optimization (PSO) algorithm, and hence produce a hybrid PSO algorithm to search for the optimal solution. A numerical example is provided to illustrate the designed hybrid PSO algorithm.
本文言語 | English |
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ホスト出版物のタイトル | IEEE International Conference on Fuzzy Systems |
ページ | 1402-1407 |
ページ数 | 6 |
DOI | |
出版ステータス | Published - 2009 |
イベント | 2009 IEEE International Conference on Fuzzy Systems - Jeju Island 継続期間: 2009 8月 20 → 2009 8月 24 |
Other
Other | 2009 IEEE International Conference on Fuzzy Systems |
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City | Jeju Island |
Period | 09/8/20 → 09/8/24 |
ASJC Scopus subject areas
- ソフトウェア
- 人工知能
- 応用数学
- 理論的コンピュータサイエンス