Possibilistic linear programming: a brief review of fuzzy mathematical programming and a comparison with stochastic programming in portfolio selection problem

作     者：Inuiguchi, M Ramík, J 

作者机构：Univ Ostrava Inst Res & Appl Fuzzy Modeling Ostrava 70103 Czech Republic Osaka Univ Grad Sch Engn Dept Elect & Informat Sci Suita Osaka 5650871 Japan 

出 版 物：《FUZZY SETS AND SYSTEMS》 (Fuzzy Sets Syst)

年 卷 期：2000年第111卷第1期

页      面：3-28页

核心收录：

学科分类：07[理学] 0714[理学-统计学（可授理学、经济学学位）] 0701[理学-数学] 0812[工学-计算机科学与技术（可授工学、理学学位）] 070101[理学-基础数学] 

基　　金：Czech Grant Agency  (201/98/0222) 

主　　题：fuzzy mathematical programming fuzzy constraint fuzzy goal possibility measure necessity measure simplex method stochastic programming portfolio selection 

摘      要：In this paper, we review some fuzzy linear programming methods and techniques from a practical point of view. In the first part, the general history and the approach of fuzzy mathematical programming are introduced. Using a numerical example, some models of fuzzy linear programming are described. In the second part of the paper, fuzzy mathematical programming approaches are compared to stochastic programming ones. The advantages and disadvantages of fuzzy mathematical programming approaches are exemplified in the setting of an optimal portfolio selection problem. Finally, some newly developed ideas and techniques in fuzzy mathematical programming are briefly reviewed. (C) 2000 Elsevier Science B.V. All rights reserved.