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Portfolio selection under independent possibilistic information,”
 Fuzzy Sets and Systems,
, 2000
"... Abstract This paper deals with a portfolio selection problem with independently estimated possibilistic return rates. Under such a circumstance, a distributive investment has been regarded as a good solution in the traditional portfolio theory. However, the conventional possibilistic approach yield ..."
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Abstract This paper deals with a portfolio selection problem with independently estimated possibilistic return rates. Under such a circumstance, a distributive investment has been regarded as a good solution in the traditional portfolio theory. However, the conventional possibilistic approach yields a concentrated investment solution. Considering the reason why a distributive investment is advocated, a new approach to the possibilistic portfolio selection is proposed.
LINEAR PROGRAMMING PROBLEM WITH INTERVAL COEFFICIENTS AND AN INTERPRETATION FOR ITS CONSTRAINTS
, 2007
"... Abstract – In this paper, we introduce a Satisfaction Function (SF) to compare interval values on the basis of Tseng and Klein’s idea. The SF estimates the degree to which arithmetic comparisons between two interval values are satisfied. Then, we define two other functions called Lower and Upper SF ..."
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Abstract – In this paper, we introduce a Satisfaction Function (SF) to compare interval values on the basis of Tseng and Klein’s idea. The SF estimates the degree to which arithmetic comparisons between two interval values are satisfied. Then, we define two other functions called Lower and Upper SF based on the SF. We apply these functions in order to present a new interpretation of inequality constraints with interval coefficients in an interval linear programming problem. This problem is as an extension of the classical linear programming problem to an inexact environment. On the basis of definitions of the SF, the lower and upper SF and their properties, we reduce the inequality constraints with interval coefficients in their satisfactory crisp equivalent forms and define a satisfactory solution to the problem. Finally, a numerical example is given and its results are compared with other approaches.
Solving some multistage robust decision problems with huge implicitly defined scenario trees
 Algorithmic Operations Research
"... This paper describes models and solution algorithms for solving robust multistage decision problems under a special type of uncertainty model referred to here as parsimonious. The main interest of such a model is to provide compact representations of potentially huge scenario trees, leading to effic ..."
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This paper describes models and solution algorithms for solving robust multistage decision problems under a special type of uncertainty model referred to here as parsimonious. The main interest of such a model is to provide compact representations of potentially huge scenario trees, leading to efficient dynamic programmingbased computation of optimal strategies. Also, contrary to the case of most previously published work on similar problems, which essentially require an independence assumption (on the occurrences of uncertain events in different time periods) our model handles and properly exploits some form of dependence over time via a concept of uncertainty budget constraints. Examples of application are discussed including optimal inventory management and the search for robust shortest paths in directed acyclic graphs. Computational results illustrating and validating the proposed approach are also presented. Key words: robust optimization, robust dynamic programming, uncertainty models, multistage decision models, inventory management.
Accepted by.................................7..;.......
, 2006
"... This thesis investigates the impact of lack of information and decentralization of dlecisionmaking on the performance of inventory, supply chain, and transportation systems. In the first part of the thesis, we study two extensions of a classic singleitem, singleperiod inventory control problem: t ..."
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This thesis investigates the impact of lack of information and decentralization of dlecisionmaking on the performance of inventory, supply chain, and transportation systems. In the first part of the thesis, we study two extensions of a classic singleitem, singleperiod inventory control problem: the "newsvendor problem. " We first analyze the newsvendor problem when the demand distribution is only partially specified by some moments and shape parameters. We determine order quantities that are robust, in the sense that they minimize the newsvendor's maximum regret about not acting optimally, and we compute the maximum value of additional information. The minimax regret approach is scalable to solve large practical problems, such as those arising in network revenue management, since it combines an efficient solution procedure with very modest data requirements. We then analyze the newsvendor problem when the inventory decisionmaking is decentralized. In supply chains, inventory decisions often result from complex negotiations among supply partners and might therefore lead to a loss of efficiency (in terms of profit loss). We quantify the
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"... Gestion des risques dans les chaînes logistiques: planification sous incertitude par la théorie des possibilités vendredi 23 septembre 2011 ..."
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Gestion des risques dans les chaînes logistiques: planification sous incertitude par la théorie des possibilités vendredi 23 septembre 2011
unknown title
, 2012
"... Gestion des risques dans les châınes logistiques: planification sous incertitude par la théorie des possibilités ..."
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Gestion des risques dans les châınes logistiques: planification sous incertitude par la théorie des possibilités