不確定環境におけるファジィVaR基準に基づく収益・リスク評価モデルの構築

在JSPS项目的第二年，我们继续按照申请JSPS奖学金时制定的研究计划从事相关领域的工作。在此期间，我们主要关注几种风险度量的发展，复杂数学模型的构建，以及我们的方法在机组组合和投资组合问题中的应用。研究的主要目标已经实现，并在SCI期刊和国际会议上发表了研究成果。过去一年的研究成果可以概括为：1.机组组合问题的研究：首先，我们将以前研究中提出的单节点模型改进为多节点系统，以获取更现实的决策。对数学模型进行了改进，以处理多节点机组组合中所需的输电互联约束，并将多目标问题统一为一个函数，以获得问题的唯一解。…此外，还对求解算法进行了相应的改进，以解决复杂的优化问题。第二，我们最近刚刚完成了一项新的研究，该研究构建了一个基于机组组合的两级电力交易模型。该模型同时处理发电公司和市场运营商的优化问题。我们已将此结果提交给IEEE Trans。关于电力系统2.投资组合选择问题研究：与其他博士合作。在我们实验室的同学们，我们在这个领域也有一些有趣的结果。我们在模糊环境下建立了两个新的投资组合选择模型：第一个研究使用基于技术分析的模糊双随机变量来帮助管理者进行证券未来收益预测和决策；第二个研究讨论了投资者在投资组合选择问题中的退出策略。这两个研究在投资组合选择问题上都是新颖的，与已有的文献相比都显示了有效性。我们对多节点机组组合问题的研究还在第十届管理工程国际研讨会上获得了优秀论文奖。较少

In the second year of JSPS program, we continue to work in the related fields according to the research plan made when apply the JSPS scholarship. During this period, we mainly focused on the developments of several risk measurements, the constructions of complicated mathematical models and the applications of our approaches in unit commitment and portfolio selection problems. The main objects of the research have been achieved, and we have published the research results in both SCI journals and international conferences.Our results in the past year can be summarized as follows :1. Research on unit commitment problem : First, we improve the single-node model proposed in our previous study to a multi-node system to ferret more realistic decisions. The mathematical model is improved to handle the transmission interconnection constraints which are necessary in a multi-node unit commitment, and we unify the multi-objective problem as one function to obtain a unique solution of the problem. … More Moreover, the solution algorithm is modified accordingly to solve the complicated optimization problem. Second, recently we just finished a new study which constructs a unit commitment-based bilevel electricity trading model. This model handles the optimizations of both the generation company and the market operator simultaneously. We have submitted this result to IEEE Trans. On Power Systems.2. Research on portfolio selection problem : Collaborate with other PhD. students in our lab, we also have some interesting results in this filed. We build two novel portfolio selection models in fuzzy environment : the first study uses technical analysis-based fuzzy birandom variables to help the managers in both security future returns forecasting and decision-making, while the second one addresses the investors' exit strategy in portfolio selection problem. Both of the studies are novel to portfolio selection problem and show effectiveness when comparing with existing literatures.Our research on multi-node unit commitment problem also won the "Excellence paper award" in the Tenth International Symposium on Management Engineering. Less