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

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.