Value of information and solution under VaR criterion for fuzzy random optimization problems
Value of information and solution under VaR criterion for fuzzy random optimization problems
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DOI：
10.1109/fuzzy.2010.5584608
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发表时间：
2010-07
期刊：
影响因子：
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通讯作者：
Shuming Wang;J. Watada
中科院分区：
文献类型：
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作者：
Shuming Wang;J. Watada
在风险价值准则下，研究了两阶段模糊随机优化问题的信息价值及其求解方法。首先，通过研究两阶段模糊随机规划的等待观望（WS）解和此时此刻（HN）解在VaR准则下的差异，讨论了完全信息（VPI）在VaR准则下的价值。然后，通过考察HN解与随机解（RS）、HN解与期望值（EV）解的差异，检验了模糊随机解（VFRS）在VaR中的价值。最后，一个下限和上限的HN解决方案。
Under the Value-at-Risk (VaR) criterion, this paper studies on the value of information and solution for two-stage fuzzy random optimization problems. First, the value of perfect information (VPI) in VaR criterion is discussed by studying the difference of the wait-and-see (WS) solution and the here-and-now (HN) solution to the two-stage fuzzy random programming with VaR criterion. Then, the value of fuzzy random solution (VFRS) in VaR is examined by investigating the difference of the HN solution and the random solution (RS), as well as the difference of HN solution and the expected value (EV) solution. Finally, a lower bound and an upper bound for the HN solution are derived.