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Portfolio optimization using elliptic entropy and semi-entropy of coherent fuzzy numbers

INFORMATION SCIENCES 2022年 614卷 240-262页

作者： Gupta, Pankaj Univ Delhi Dept Operat Res Delhi 110007 India

This paper explores the elliptic entropy and the elliptic semi-entropy of a coherent fuzzy number and discusses several of their properties. We propose a methodology that incorporates the adaptive index, k, of the coherent fuzzy number representing an individual investor's stock market assessment (pessimistic, optimistic, or neutral). We combine the adaptive index with the elliptic entropy and semi-entropy to obtain risk measures incorporating investor attitude. We use the proposed risk measures in a portfolio optimization problem that uses coherent fuzzy numbers to model the asset returns. The optimization models are solved using a genetic algorithm. We apply the proposed methodology to a large-scale case study involving 100 assets to demonstrate its effectiveness. The realworld performance of the proposed approach is illustrated using an out-of-sample analysis. Based on the results we obtained, we discuss the advantages and disadvantages of elliptic entropy and semi-entropy. Finally, we compare the proposed methodology with other approaches in the literature and demonstrate its superiority. (c) 2022 Elsevier Inc. All rights reserved.

关键词： Fuzzy portfolio optimization Credibility theory Coherent fuzzy numbers Elliptic entropy Elliptic semi-entropy multi-objective programming Genetic algorithm

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Aircraft Sequencing and Scheduling in Parallel-Point Merge Systems for multiple Parallel Runways

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TRANSPORTATION RESEARCH RECORD 2022年第3期2676卷 108-124页

作者： Donmez, Kadir Cetek, Cem Kaya, Onur Eskisehir Tech Univ Dept Air Traff Control Eskisehir Turkey Eskisehir Tech Univ Dept Ind Engn Eskisehir Turkey

The Point Merge System (PMS) is one of the approaches that offer systematic sequencing in terminal maneuver area (TMA) which was developed at the EUROCONTROL Experimental Centre in 2006. The Parallel-Point Merge System (P-PMS) is used in TMAs with high air traffic density as a combination of two PMSs with opposite directions. However, it is difficult to optimize arrival sequences in such a system because of the additional separation requirements at common points as well as at merge points. Additionally, it is important to operate at maximum efficiency with parallel runway systems when using the runway reassignment process. Reassigning arriving/departing aircraft to a different runway, however, can significantly affect delays and fuel consumption depending on the difference in taxi-in/out times. This effect is overlooked in most aircraft sequencing and scheduling optimization studies with PMS. This study proposes single and multi-objective programming models for a TMA with P-PMS to minimize total fuel consumption, total flight time, and total delay including taxi-in/out times. The models were implemented on the current layout of Istanbul Airport having two PMS with two merge points, three common points, and five parallel runways. The considered traffic scenarios included both dependent and independent runway operations for mixed arrival-departure sequences. The results revealed that arrival-departure sequencing considering taxi-in/out times resulted in shorter delays up to 77.5% and low level of fuel consumption up to 8.7%.

关键词： parallel-point merge system aircraft sequencing and scheduling multiple parallel runways multi-objective programming runway reassignment

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Emergency logistics scheduling with multiple supply-demand points based on grey interval

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Journal of Safety Science and Resilience 2022年第2期3卷 179-188页

作者： Zhiming Ding Xinrun Xu Shan Jiang Jin Yan Yanbo Han University of Chinese Academy of Sciences Beijing100049China Institute of Software Chinese Academy of Sciences Beijing050052China Beijing Key Laboratory on Integration and Analysis of Large-scale Stream Data Beijing100124China North China University of Technology Beijing100144China

This study aimed to address the problem of post-disaster emergency material dispatching from multiple supply points to multiple demand *** large-scale natural disasters,it is very important for multiple emergency material supply points to serve as sources of materials for multiple disaster sites and to determine emergency material scheduling solutions ***,the quantity of emergency materials required at each disaster site is *** address this issue,in this study,we developed an emergency material scheduling model with multiple logistics supply points for multiple demand points based on the grey interval *** optimize the proposed multi-supply-point and multi-demand-point emergency material scheduling mode,a multi-objective optimization algorithm based on a genetic algorithm was *** results demonstrate that the multi-objective optimization method can solve the emergency logistics scheduling problem better than the particle swarm optimization multi-objective solution ***,the multi-supply point and multi-demand point emergency material dispatch model and optimization algorithm provides robust support for emergency management system decision-makers when they need to respond quickly to disaster relief activities.

关键词： Emergency logistics scheduling multi-objective programming Disaster relief

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A simulated multi-objective model for flexible job shop transportation scheduling

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ANNALS OF OPERATIONS RESEARCH 2022年第2期311卷 899-920页

作者： Xu, Yiyi Sahnoun, M'hammed Ben Abdelaziz, Fouad Baudry, David CESI LINEACT Lab 80 Rue Edmund Halley Rouen Madrillet Innovat F-76800 St Etienne Du Rouvray France Neoma Business Sch 1 Rue Marchal Juin F-76130 Mont St Aignan France

This paper proposes a new dynamic algorithm based on simulation approach and multi-objective optimization to solve the FJSP with transportation assignment. The objectives considered in scheduling jobs and transportation tasks in a flexible job shop manufacturing system include makespan, robot travel distance, time difference with due date and critical waiting time. The results obtained from the computational experiments have shown that the proposed approach is efficient and competitive.

关键词： Flexible job shop scheduling multi-objective programming Simulation multi-agent systems Transportation

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Solution of multi-objective Linear programming Problems in Intuitionistic Fuzzy Environment 2

Solution of Multi-Objective Linear Programming Problems in I...

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2nd International Conference on Soft Computing for Problem Solving (SocProS)

作者： Bharati, S. K. Nishad, A. K. Singh, S. R. Banaras Hindu Univ Dept Math Varanasi 221005 Uttar Pradesh India

ISBN: (纸本)9788132216025;9788132216018

In the paper, we give a new method for solution of multi-objective linear programming problem in intuitionistic fuzzy environment. The method uses computation of the upper bound of a non-membership function in such way that the upper bound of the non-membership function is always less than the upper bound of the membership function of intuitionistic fuzzy number. Further, we also construct membership and non-membership function to maximize membership function and minimize non-membership function so that we can get a more efficient solution of a probabilistic problem by intuitionistic fuzzy approach. The developed method has been illustrated on a problem, and the result has been compared with existing solutions to show its superiority.

关键词： multi-objective programming Positive ideal solution Intuitionistic fuzzy sets Intuitionistic fuzzy optimization

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Study on non-linear planning model of green building energy consumption under multi-objective optimization

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INTERNATIONAL JOURNAL OF SYSTEM ASSURANCE ENGINEERING AND MANAGEMENT 2022年第SUPPL 1期13卷 437-443页

作者： Fan, Miao Su, Danna Bhatt, Mohammed Wasim Mangal, Adarsh Zheng Zhou Railway Vocat & Tech Coll Coll Railway Engn Zhengzhou 450000 Henan Peoples R China Cent Univ Punjab Dept Comp Sci Engn Ghudda India Engn Coll Ajmer Dept Math Ajmer India

The research on economic balance and balanced competition is the initial concept that has reflected the idea of multi-objective programming which is usually encountered in the modeling of green buildings. This concept has laid the base in building a multi-objective optimization problem, for the establishment of model and calculation. By establishing a nonlinear planning model for determining the control target value of the project and by calculating the results, it is assumed that the sample is estimated as a very large likelihood, with consistency and non-biasing. In this paper several variables are analyzed and focus has been paid to weather conditions by making several interpretations: If the weather is good, the p(it) = 1, the engine can successfully complete the project amount of the plan;if constructed, when the weather is not conducive to engineering construction, then p(it) < 1 indicates that the increasing amount caused by the imbalance is used. Thus, the imbalance of resources has increased the entire project cost;the usage of closer approach to investment reflects less payment, small use of funds, therefore lower will be the cost. By establishing a model to determine the control target value of the project, the total amount of actual investment is 153.439 million Yuan, after the results calculation is optimized and the total cost after the initial progress plan is 5.34 million Yuan, combined with the project. Using NLP cost optimization is obtained with the overall construction efficiency.

关键词： Nonlinear programming (NLP) Model research Green building energy consumption multi-objective programming

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The role of bank affiliation in bank efficiency: a fuzzy multi-objective data envelopment analysis approach

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ANNALS OF OPERATIONS RESEARCH 2022年第2期311卷 611-639页

作者： Boubaker, Sabri Do, Duc Trung Hammami, Helmi Ly, Kim Cuong EM Normandie Business Sch Metis Lab Le Havre France Vietnam Natl Univ Int Sch Hanoi Vietnam Swansea Univ Sch Management Swansea W Glam Wales Rennes Sch Business Rennes France Univ Nottingham Nottingham Univ Business Sch Nottingham England

This paper examines differences in bank efficiency between banks affiliated with single-bank holding companies and those affiliated with multi-bank holding companies by applying a fuzzy multi-objective two-stage data envelopment analysis technique. Using a sample of U.S. commercial banks covering 1994-2018, the results show that banks affiliated with multi-bank holding companies are more efficient than those affiliated with single-bank holding companies, suggesting that the former takes advantage of their parents' resources to enhance their efficiency, consistent with the internal capital market theory. They also show that banks with a powerful CEO exhibit lower efficiency than others. Moreover, there is an inverted U shape relationship between multi-bank holding company structure and bank efficiency, suggesting the presence of an optimal number of multi-bank holding subsidiaries that maximizes efficiency.

关键词： Bank holding companies Bank efficiency CEO power multi-objective programming Data envelopment analysis

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A multi-objective optimization model for a multi-period mobile facility location problem with environmental and disruption considerations

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ANNALS OF OPERATIONS RESEARCH 2022年第2期346卷 1445-1470页

作者： Maliki, Fouad Souier, Mehdi Dahane, Mohammed Ben Abdelaziz, Fouad Mfg Engn Lab Tlemcen MELT Tilimsen Algeria High Sch Appl Sci Tlemcen Tilimsen Algeria High Sch Management Tlemcen Tilimsen Algeria Univ Lorraine LGIPM F-57000 Metz France NEOMA Business Sch Rouen France

The present work addresses a multi-period facility location decision during crisis-Pandemic-situation with highly uncertain demand. Our paper identifies failing distribution centres (DCs) over several periods of time and decides about relocation. Several scenarios arise: DCs can be opened, displaced from one location to another, closed or even reopened during a certain time, using mobile facility. We recommend a multi-objective non-linear mixed-integer mathematical model that identifies, for each period, the best possible location for DCs and their allocation to customers. Our model analyses the trade-off between economic costs and CO2 emissions generated by facilities operations. We suggest a multiobjective approach based on a Non-dominated Sorting Genetic Algorithm II (NSGA-II). Our simulations demonstrate how mobile facility should be managed to ensure a good balance between economic and environmental criteria.

关键词： Facility planning and design multi-objective programming Disruptions Environmental sustainability

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An interactive weighted fuzzy goal programming technique to solve multi-objective reliability optimization problem

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Journal of Industrial Engineering International 2019年第1-Sup期15卷 95-104页

作者： Kundu, Tanmay Islam, Sahidul Department of Mathematics University of Kalyani Kalyani 741235 West Bengal India

This paper presents an application of interactive fuzzy goal programming to the nonlinear multi-objective reliability optimization problem considering system reliability and cost of the system as objective functions. As the decision maker always have an intention to produce highly reliable system with minimum cost, therefore, we introduce the interactive method to design a high productivity system here. This method plays an important role to maximize the worst lower bound to obtain the preferred compromise solution which is close to the best upper bound of each objective functions. Until the preferred compromise solution is reached, new lower bounds corresponding to each objective functions will be determined based on the present solution to develop the updated membership functions as well as aspiration levels to resolve the proposed problem. Considering judgmental vagueness of decision maker, here we consider the resources as trapezoidal fuzzy numbers and apply total integral value of fuzzy number to transform into crisp one. To illustrate the methodology and performance of this approach, numerical examples are presented and evaluated by comparing with the other method at the end of this paper. © 2019, The Author(s).

关键词： Fuzzy programming Goal programming Interactive methods multi-objective programming Reliability

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multi-objective optimization of crude oil-supply portfolio based on interval prediction data

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ANNALS OF OPERATIONS RESEARCH 2022年第2期309卷 611-639页

作者： Sun, Xiaolei Hao, Jun Li, Jianping Chinese Acad Sci Inst Sci & Dev 15 Zhongguancun Beiyitiao Haidian Dist Beijing 100190 Peoples R China Univ Chinese Acad Sci Sch Publ Policy & Management 19A Yuquan Rd Beijing 100049 Peoples R China Univ Chinese Acad Sci Sch Econ & Management 80 Zhongguancun East Rd Haidian Dist Beijing 100190 Peoples R China

The optimization of crude oil-supply portfolio is a hot research issue in energy security, which is closely related to the implementation of national strategy and development of economy. Forecasting the demand of crude oil is the basis for portfolio optimization. Therefore, this paper innovatively introduces the decomposition hybrid interval prediction method and proposes a multi-objective programming model in order to provide decision-making support for the formulation of crude oil-supply portfolio scheme. Under the constraints of volume, price and risk, the minimum cost and risk of importing crude oil are achieved. Furthermore, by introducing optimization parameters and risk preference factors, and setting different scenarios for numerical simulation, the results show that (1) decomposition hybrid prediction methods perform better than single prediction methods. (2) As the optimization parameter increases, costs and risks are significantly decreased. Decision-makers can set large parameters to achieve significant optimization of the objective function. (3) The total cost of imported crude oil fluctuates sharply, while the total risk decreases with the increase of risk preference factors under the different scenarios. (4) The fluctuation of price and risk adjustment factors will cause the change of oil-supply portfolio optimization scheme.

关键词： Energy supply security Country risk Decomposition hybrid methodology Interval prediction multi-objective programming

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