DocumentCode :
2164546
Title :
Bi-objective fuzzy optimization model for multiproject and multi-item investment based on the perspective of real options
Author :
Yu, Jing ; Xu, Bin ; Shi, Yong
Author_Institution :
Res. on Fictitious Econ. & Data Sci., Univ. of Grad., Beijing, China
Volume :
2
fYear :
2010
fDate :
26-28 Feb. 2010
Firstpage :
765
Lastpage :
769
Abstract :
This paper presents a new fuzzy chance-constrained programming model to find the Pareto solution set for multiproject and multi-item investment combination based on the perspective of real options. The proposed 0-1 integer programming model has two objectives subject to fuzzy cash supply chain constraint conditions, and the escalating GA will be employed to solve the above optimization model with a small modification of constraint handling. A simulation experiment illustrating the application of the proposed model will be presented and Pareto-optimal solutions will be obtained. A comparison shows that EMGA has some advantages over the classical GA.
Keywords :
Pareto optimisation; fuzzy set theory; genetic algorithms; integer programming; investment; EMGA; Pareto solution set; Pareto-optimal solutions; biobjective fuzzy optimization model; fuzzy cash supply chain constraint conditions; fuzzy chance-constrained programming model; integer programming model; multiitem investment; multiproject investment; simulation experiment; Constraint optimization; Educational institutions; Entropy; Finance; Fuzzy sets; Information science; Investments; Linear programming; Stochastic processes; Supply chains; fuzzy set; investment combination; modified EMGA; multiproject-multiple-item; real options;
fLanguage :
English
Publisher :
ieee
Conference_Titel :
Computer and Automation Engineering (ICCAE), 2010 The 2nd International Conference on
Conference_Location :
Singapore
Print_ISBN :
978-1-4244-5585-0
Electronic_ISBN :
978-1-4244-5586-7
Type :
conf
DOI :
10.1109/ICCAE.2010.5451792
Filename :
5451792
Link To Document :
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