Title :
The Pareto-Frontier Solution to the MultiProject & Multiple Item Stochastic Chance-Constrained Investment Combination
Author :
Yu, Jing ; Xu, Bin ; Shi, Yong
Author_Institution :
Res. Center on Fictitious Econ. & Data Sci., Grad. Univ. of Chinese Acad. of Sci., Beijing, China
Abstract :
This paper aims to solve the multi-project multi-item investment combination under stochastic surroundings. A new stochastic chance-constrained programming model for investigating its problem will be presented, in which there are three objectives with some stochastic constraints to construct a 0-1 integer programming model, and demonstrate how to use PSO to solve the optimization model with a small modification of constraint-handling rule. A simulation experiment is employed to illustrate the application of the proposed model to get the Pareto-optimal solutions by applying the modified algorithm PSO.
Keywords :
Pareto optimisation; constraint handling; integer programming; investment; particle swarm optimisation; stochastic programming; 0-1 integer programming model; Pareto-frontier solution; constraint-handling rule; multiproject multi-item investment combination; particle swarm optimization; stochastic chance-constrained investment combination; stochastic chance-constrained programming model; Constraint optimization; Data engineering; Density functional theory; Entropy; Finance; Fluid flow measurement; Investments; Linear programming; Stochastic processes; investment combination; modified PSO; mult-projec and multiple-item; stochastic chance- constrained;
Conference_Titel :
Business Intelligence and Financial Engineering, 2009. BIFE '09. International Conference on
Conference_Location :
Beijing
Print_ISBN :
978-0-7695-3705-4
DOI :
10.1109/BIFE.2009.121
