Generalized-Hukuhara penalty method for optimization problem with interval-valued functions and its application in interval-valued portfolio optimization problems

被引：5
|
作者：
Debnath, Amit Kumar [1 ]
Ghosh, Debdas [1 ]
机构：
[1] Indian Inst Technol BHU Varanasi, Dept Math Sci, Varanasi 221005, Uttar Pradesh, India
来源：
OPERATIONS RESEARCH LETTERS | 2022年 / 50卷 / 05期
关键词：
gH-penalty method; Interval-valued functions; Interval optimization problems; Interval-valued portfolio optimization; NUMERICAL-SOLUTION METHOD; OPTIMALITY CONDITIONS; EFFICIENT SOLUTIONS; DUALITY; CALCULUS;
D O I：
10.1016/j.orl.2022.08.010
中图分类号：
C93 [管理学]; O22 [运筹学];
学科分类号：
070105 ; 12 ; 1201 ; 1202 ; 120202 ;
摘要：
In this study, a gH-penalty method is developed to obtain efficient solutions to constrained optimization problems with interval-valued functions. The algorithmic implementation of the proposed method is illustrated. In order to develop the gH-penalty method, an interval-valued penalty function is defined and the characterization of efficient solutions of a CIOP is done. As an application of the proposed method, a portfolio optimization problem with interval-valued return is solved.(c) 2022 Elsevier B.V. All rights reserved.
引用
收藏
页码：602 / 609
页数：8
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