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

页码：602 / 609

页数：8

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