Search results for "fuzzy"
showing 10 items of 747 documents
On the sure criticality of tasks in activity networks with imprecise durations
2002
BB; International audience; The notion of the necessary criticality (both with respect to path and to activity) of a network with imprecisely defined (by means of intervals or fuzzy intervals) activity duration times is introduced and analyzed. It is shown, in the interval case, that both the problem of asserting whether a given path is necessarily critical and the problem of determining an arbitrary necessarily critical path (more exactly, a subnetwork covering all the necessarily critical. paths) are easy. The corresponding solution algorithms are proposed. However, the problem. of evaluating whether a given activity is necessarily critical does not seem to be such. Certain conditions are…
Evolutionary multi-objective optimization algorithms for fuzzy portfolio selection
2016
Graphical abstractDisplay Omitted HighlightsWe consider a constrained three-objective optimization portfolio selection problem.We solve the problem by means of evolutionary multi-objective optimization.New mutation, crossover and reparation operators are designed for this problem.They are tested in several algorithms for a data set from the Spanish stock market.Results for two performance metrics reveal the effectiveness of the new operators. In this paper, we consider a recently proposed model for portfolio selection, called Mean-Downside Risk-Skewness (MDRS) model. This modelling approach takes into account both the multidimensional nature of the portfolio selection problem and the requir…
District metered area design through multicriteria and multiobjective optimization
2022
[EN] The design of district metered areas (DMA) in potable water supply systems is of paramount importance for water utilities to properly manage their systems. Concomitant to their main objective, namely, to deliver quality water to consumers, the benefits include leakage reduction and prompt reaction in cases of natural or malicious contamination events. Given the structure of a water distribution network (WDN), graph theory is the basis for DMA design, and clustering algorithms can be applied to perform the partitioning. However, such sectorization entails a number of network modifications (installing cut-off valves and metering and control devices) involving costs and operation changes,…
Portfolio optimization using a credibility mean-absolute semi-deviation model
2015
We present a cardinality constrained credibility mean-absolute semi-deviation model.We prove relationships for possibility and credibility moments for LR-fuzzy variables.The return on a given portfolio is modeled by means of LR-type fuzzy variables.We solve the portfolio selection problem using an evolutionary procedure with a DSS.We select best portfolio from Pareto-front with a ranking strategy based on Fuzzy VaR. We introduce a cardinality constrained multi-objective optimization problem for generating efficient portfolios within a fuzzy mean-absolute deviation framework. We assume that the return on a given portfolio is modeled by means of LR-type fuzzy variables, whose credibility dist…
The facility layout problem approached using a fuzzy model and a genetic search
2005
The problem of facility layout design is discussed, taking into account the uncertainty of production scenarios and the finite production capacity of the departments. The uncertain production demand is modelled by a fuzzy number, and constrained arithmetic operators are used in order to calculate the fuzzy material handling costs. By using a ranking criterion, the layout that represents the minimum fuzzy cost is selected. A flexible bay structure is adopted as a physical model of the system while an effective genetic algorithm is implemented to search for a near optimal solution in a fuzzy contest. Constraints on the aspect ratio of the departments are taken into account using a penalty fun…
Portfolios with fuzzy returns: Selection strategies based on semi-infinite programming
2008
AbstractThis paper provides new models for portfolio selection in which the returns on securities are considered fuzzy numbers rather than random variables. The investor's problem is to find the portfolio that minimizes the risk of achieving a return that is not less than the return of a riskless asset. The corresponding optimal portfolio is derived using semi-infinite programming in a soft framework. The return on each asset and their membership functions are described using historical data. The investment risk is approximated by mean intervals which evaluate the downside risk for a given fuzzy portfolio. This approach is illustrated with a numerical example.
A multi-objective genetic algorithm for cardinality constrained fuzzy portfolio selection
2012
This paper presents a new procedure that extends genetic algorithms from their traditional domain of optimization to fuzzy ranking strategy for selecting efficient portfolios of restricted cardinality. The uncertainty of the returns on a given portfolio is modeled using fuzzy quantities and a downside risk function is used to describe the investor's aversion to risk. The fitness functions are based both on the value and the ambiguity of the trapezoidal fuzzy number which represents the uncertainty on the return. The soft-computing approach allows us to consider uncertainty and vagueness in databases and also to incorporate subjective characteristics into the portfolio selection problem. We …
Fuzzy portfolio selection based on the analysis of efficient frontiers
2011
We present an algorithm for analyzing the geometry of the efficient frontier of the portfolio selection problem with semicontinuous variable and cardinality constraints, and use it as a basis to solve a fuzzy version of the problem, designed to obtain efficient portfolios, in the Markowitz's sense, for which the trade-off between expected return and assumed risk fits better the investor's subjective criteria. We illustrate our proposal with an example solved with LINGO and Mathematica.
A fuzzy-logic based evolutionary multiobjective approach for automated distribution networks management
2004
In this paper, a methodology to treat constrained scheduling problems based on the repeated application of a fuzzy-logic-based multiobjective algorithm is presented. The application domain is that of automated distribution systems management. In particular, the problem of voltage regulation and power loses minimization is here considered. The classical formulation of the problem of optimal control of shunt capacitor banks and under load tap changers, ULTC, located at high voltage/medium voltage (HV/MV) substations has been coupled with the optimal control of tie-switches and capacitor banks on the feeders of a large radially operated meshed distribution system with the aim of attaining mini…
Cross-Efficiency in Fuzzy Data Envelopment Analysis (FDEA): Some Proposals
2013
Different techniques have been proposed in the literature to rank decision making units (DMUs) in the context of Fuzzy Data Envelopment Analysis. In our opinion, those that result from using a ranking method to order the fuzzy efficiencies obtained are susceptible to a serious criticism: they are not based on objective criteria. Cross-efficiency evaluation was introduced as an extension of DEA aimed at ranking the DMUs. This methodology has found a significant number of applications and has been extensively investigated. In this chapter, we discuss some difficulties that arise with the definition of fuzzy cross-efficiencies and we propose a fuzzy cross-efficiency evaluation based on the FDE…