Building Optimum Reliable Systems through Value-at-Risk Criterion-based Two Stage Fuzzy Random Optimization Method

通过基于风险值准则的两阶段模糊随机优化方法构建最佳可靠系统

• 批准号: 23500289
• 负责人: WATADA Junzo
• 金额: $ 3.24万
• 依托单位: Waseda University
• 依托单位国家: 日本
• 项目类别: Grant-in-Aid for Scientific Research (C)
• 财政年份: 2011
• 资助国家: 日本
• 起止时间: 2011 至 2013
• 项目状态: 已结题
• 来源: https://kaken.nii.ac.jp/grant/KAKENHI-PROJECT-23500289/
• 关键词: Fuzzy variable; Fuzzy random variable; Reliability; Facility location; Portforlio Selection; Life cycle management; PSO optimization; Unit commitment; Credibility; Facility allocation; Fuzzy Variable; Fuzzy Random Variable; Reliablility; faci

In this research, to deal with complicated decision making problems from a risk framework under hybrid uncertainty consisting randomness and fuzziness, Value-at-Risk (VaR) measure-based fuzzy random optimization models are defined. In building the models, synthesized heuristic algorithms are proposed and particle swarm optimization algorithm is used in VaR simulation to solve the models. The proposed models enables us to treat risk perspective of 2 stage optimization problems and solve the problems under hybrid uncertain environment, which are hard to solve till now. Furthermore, such proposed algorithms are capable of approximate computation of VaR criterion fuzzy random coefficients. Such proposed models are uniquely built with wide applications as two stage VaR models which design and solve real world problems.

针对随机和模糊混合不确定性下的风险框架下的复杂决策问题，定义了基于风险价值(VaR)度量的模糊随机优化模型。在建立模型时，提出了综合启发式算法，并利用粒子群算法对模型进行了VaR仿真求解。该模型使我们能够从风险的角度来处理两阶段优化问题，解决了目前难以解决的混合不确定环境下的优化问题。此外，该算法能够近似计算VaR准则下的模糊随机系数。这些提出的模型是独一无二的，具有广泛的应用，作为设计和解决现实世界问题的两阶段VaR模型。

项目成果

Statistic test on fuzzy portfolio selection model

• DOI: 10.1109/fuzzy.2011.6007343
• 发表时间: 2011-06
• 期刊: 2011 IEEE International Conference on Fuzzy Systems (FUZZ-IEEE 2011)
• 作者: Pei-Chun Lin-;J. Watada;Berlin Wu

Multi-Objective Top-Down Decision Making through Additive Fuzzy Goal Programming

• DOI: 10.9746/jcmsi.5.63
• 发表时间: 2012-03
• 期刊: SICE journal of control, measurement, and system integration
• 作者: N. Arbaiy;J. Watada

"Structural learning of the Boltzmann machine and its application to life cycle management,"

“玻尔兹曼机的结构学习及其在生命周期管理中的应用，”

• 发表时间: 2011
• 期刊: Neurocomputing
• 影响因子: 6
• 作者: Shamshul Bahar Yaakob;Junzo Watada;John Fulcher
• 通讯作者: John Fulcher

Portfolio Selection Models with Technical Analysis-Based Fuzzy Birandom Variables

• DOI: 10.1587/transinf.e97.d.11
• 发表时间: 2014
• 期刊: IEICE Trans. Inf. Syst.
• 作者: You Li;Bo Wang;J. Watada

Re-scheduling the unit commitment problem in fuzzy environment

• DOI: 10.1109/fuzzy.2011.6007313
• 发表时间: 2011-06
• 期刊: 2011 IEEE International Conference on Fuzzy Systems (FUZZ-IEEE 2011)
• 作者: Bo Wang;You Li;J. Watada