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An efficient solution of nonlinear enhanced interval optimization problems and its application to portfolio optimization
Soft Computing ( IF 4.1 ) Pub Date : 2021-01-05 , DOI: 10.1007/s00500-020-05541-z
P. Kumar , A. K. Bhurjee

A general optimization problem whose parameters and decision variables are intervals, is known as an enhanced interval optimization problem. This article has focused on nonlinear enhanced interval optimization problem. Here, a methodology is derived to determine the efficient solutions of this problem. Theoretical justification for the existence of the solution to this problem is discussed. In this process, the original problem is transformed into a deterministic form, which is free from interval uncertainty. Relation between the solution of the original problem and the corresponding deterministic problem is established. Furthermore, numerical examples are provided to support the theoretical development.



中文翻译:

非线性增强区间优化问题的有效解法及其在证券组合优化中的应用

以参数和决策变量为间隔的一般优化问题称为增强间隔优化问题。本文重点关注非线性增强区间优化问题。在这里,得出一种确定该问题有效解决方案的方法。讨论了解决该问题的方法的理论依据。在此过程中,原始问题被转换为确定性形式,没有区间不确定性。建立了原始问题的解决方案和相应的确定性问题之间的关系。此外,提供了数值示例以支持理论发展。

更新日期:2021-01-05
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