An efficient solution of nonlinear enhanced interval optimization problems and its application to portfolio optimization

被引：11
|
作者：
Kumar, P. [1 ]
Bhurjee, A. K. [2 ]
机构：
[1] SRM Inst Sci & Technol, Chennai 603202, Tamil Nadu, India
[2] VIT Bhopal Univ, Sehore 466114, Madhya Pradesh, India
来源：
SOFT COMPUTING | 2021年 / 25卷 / 07期
关键词：
Nonlinear optimization problem; Interval valued function; Interval optimization problem; Efficient solution; Portfolio selection problem; NUMERICAL-SOLUTION METHOD; OPTIMALITY CONDITIONS; PROGRAMMING METHOD; NUMBER;
D O I：
10.1007/s00500-020-05541-z
中图分类号：
TP18 [人工智能理论];
学科分类号：
081104 ; 0812 ; 0835 ; 1405 ;
摘要：
A general optimization problem whose parameters and decision variables are intervals, is known as an enhanced interval optimization problem. This article has focused on nonlinear enhanced interval optimization problem. Here, a methodology is derived to determine the efficient solutions of this problem. Theoretical justification for the existence of the solution to this problem is discussed. In this process, the original problem is transformed into a deterministic form, which is free from interval uncertainty. Relation between the solution of the original problem and the corresponding deterministic problem is established. Furthermore, numerical examples are provided to support the theoretical development.
引用
收藏
页码：5423 / 5436
页数：14
相关论文
共 50 条
  • [1] An efficient solution of nonlinear enhanced interval optimization problems and its application to portfolio optimization
    P. Kumar
    A. K. Bhurjee
    Soft Computing, 2021, 25 : 5423 - 5436
  • [2] Efficient solutions for vector optimization problem on an extended interval vector space and its application to portfolio optimization
    Sahu, B. R. B.
    Bhurjee, A. K.
    Kumar, P.
    EXPERT SYSTEMS WITH APPLICATIONS, 2024, 249
  • [3] Generalized-Hukuhara penalty method for optimization problem with interval-valued functions and its application in interval-valued portfolio optimization problems
    Debnath, Amit Kumar
    Ghosh, Debdas
    OPERATIONS RESEARCH LETTERS, 2022, 50 (05) : 602 - 609
  • [4] A MATROID ALGORITHM AND ITS APPLICATION TO THE EFFICIENT SOLUTION OF 2 OPTIMIZATION PROBLEMS ON GRAPHS
    BREZOVEC, C
    CORNUEJOLS, G
    GLOVER, F
    MATHEMATICAL PROGRAMMING, 1988, 42 (03) : 471 - 487
  • [5] APPROXIMATE SOLUTION IN ROBUST MULTI-OBJECTIVE OPTIMIZATION AND ITS APPLICATION IN PORTFOLIO OPTIMIZATION
    Liu, Shaohua
    Lin, Yumeng
    Su, Ke
    JOURNAL OF INDUSTRIAL AND MANAGEMENT OPTIMIZATION, 2023, 20 (02) : 688 - 702
  • [6] Efficient solution of interval optimization problem
    Bhurjee, A. K.
    Panda, G.
    MATHEMATICAL METHODS OF OPERATIONS RESEARCH, 2012, 76 (03) : 273 - 288
  • [7] Efficient solution of interval optimization problem
    A. K. Bhurjee
    G. Panda
    Mathematical Methods of Operations Research, 2012, 76 : 273 - 288
  • [8] HSMAOA: An enhanced arithmetic optimization algorithm with an adaptive hierarchical structure for its solution analysis and application in optimization problems
    Liu, Jingsen
    Zhao, Jianggui
    Li, Yu
    Zhou, Huan
    THIN-WALLED STRUCTURES, 2025, 206
  • [9] An interval particle swarm optimization method for interval nonlinear uncertain optimization problems
    Ta, Na
    Zheng, Zhewen
    Xie, Huichao
    ADVANCES IN MECHANICAL ENGINEERING, 2023, 15 (02)
  • [10] Interval-valued value function and its application in interval optimization problems
    Debdas Anshika
    Computational and Applied Mathematics, 2022, 41
12345