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Liu, N. Q., Chen, Y. J., Liu, Y. K.. (1400). Approximating credibilistic constraints by robust counterparts of uncertain linear inequality. نشریه علمی دانشگاه سیستان و بلوچستان, 18(5), 37-51. doi: 10.22111/ijfs.2021.6254
N. Q. Liu; Y. J. Chen; Y. K. Liu. "Approximating credibilistic constraints by robust counterparts of uncertain linear inequality". نشریه علمی دانشگاه سیستان و بلوچستان, 18, 5, 1400, 37-51. doi: 10.22111/ijfs.2021.6254
Liu, N. Q., Chen, Y. J., Liu, Y. K.. (1400). 'Approximating credibilistic constraints by robust counterparts of uncertain linear inequality', نشریه علمی دانشگاه سیستان و بلوچستان, 18(5), pp. 37-51. doi: 10.22111/ijfs.2021.6254
Liu, N. Q., Chen, Y. J., Liu, Y. K.. Approximating credibilistic constraints by robust counterparts of uncertain linear inequality. نشریه علمی دانشگاه سیستان و بلوچستان, 1400; 18(5): 37-51. doi: 10.22111/ijfs.2021.6254

Approximating credibilistic constraints by robust counterparts of uncertain linear inequality

Iranian Journal of Fuzzy Systems
مقاله 4، دوره 18، شماره 5، آذر و دی 2021، صفحه 37-51    اصل مقاله (217.08 K)
نوع مقاله: Research Paper
شناسه دیجیتال (DOI): 10.22111/ijfs.2021.6254
نویسندگان
N. Q. Liu* 1؛ Y. J. Chen2؛ Y. K. Liu2
1College of Management and Economics, Tianjin University, Tianjin 300072, China
2College of Mathematics and Information Science, Hebei University, Baoding 071002, Hebei, China
چکیده
This paper studies a class of credibilistic optimization (CO) problems, in which a convex  objective is minimized subject to ambiguous credibilistic constraints. The considered CO problem is usually computational intractable. Our purpose in this paper is to  discuss the robust counterpart approximations of ambiguous credibilistic constraints. Under mild assumptions, the closed property about the feasible region of credibilistic constraint is discussed. Using the obtained results, this paper deals with the robust counterpart approximations of credibilistic constraints under two types of ambiguity sets of possibility distributions. The first type is exponential function-based ambiguity set of possibility distribution, while the second type of ambiguity set is a particular case of the first one, and it is based on range and expectation information of fuzzy variables. The developed approximation techniques are capable to utilize the knowledge of ambiguity sets of possibility distributions when building distribution uncertainty-immunized solutions. As a result, the obtained safe approximations of ambiguous credibilistic  constraints are computationally tractable convex/linear constraints.  To apply the proposed approximation approach, a portfolio optimization problem is addressed, in which the investor is to find a portfolio to maximize the value-at-risk of his total return under the support and expectation information of uncertain returns. We use two types of robust counterpart approximations to credibilistic constraints.  The computational results support our arguments.
کلیدواژه‌ها
Credibilistic optimization؛ credibilistic constraint؛ ambiguity set؛ safe approximation
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