Value of information and solution under VaR criterion for fuzzy random optimization problems

Shuming Wang, Junzo Watada

    研究成果: Conference contribution

    2 被引用数 (Scopus)

    抄録

    Under the Value-at-Risk (VaR) criterion, this paper studies on the value of information and solution for two stage fuzzy random optimization problems. First, the value of perfect information (VPI) in VaR criterion is discussed by studying the difference of the wait-and-see (WS) solution and the here-and-now (HN) solution to the two-stage fuzzy random programming with VaR criterion. Then, the value of fuzzy random solution n (VFRS) in VaR is examined by investigating the difference of the HN solution and the random solution (RS), as well as the difference of HN solution and the expected value (EV) solution. Finally, a lower bound and an upper bound for the HN solution are derived.

    本文言語English
    ホスト出版物のタイトル2010 IEEE World Congress on Computational Intelligence, WCCI 2010
    DOI
    出版ステータスPublished - 2010
    イベント2010 6th IEEE World Congress on Computational Intelligence, WCCI 2010 - Barcelona
    継続期間: 2010 7 182010 7 23

    Other

    Other2010 6th IEEE World Congress on Computational Intelligence, WCCI 2010
    CityBarcelona
    Period10/7/1810/7/23

    ASJC Scopus subject areas

    • 人工知能
    • 計算理論と計算数学

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