Paper Info
Title
Value of information and solution under VaR criterion for fuzzy random optimization problems
Abstract
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.
Year
DOI
Venue
2010
10.1109/FUZZY.2010.5584608
FUZZ-IEEE
Keywords
Field
DocType
fuzzy set theory,wait-and-see solution,value at risk criterion,random processes,here-and-now solution,two stage fuzzy random optimization problem,decision theory,investment,fuzzy random solution,var criterion,value of perfect information,stochastic programming,two-stage fuzzy random programming,expected value,optimization,upper bound,optimization problem,value of information,investments,programming,lower bound,uncertainty,chromium,value at risk,random variables
Applied mathematics,Mathematical optimization,Random variable,Control theory,Upper and lower bounds,Fuzzy logic,Stochastic process,Fuzzy set,Expected value,Random optimization,Stochastic programming,Mathematics
Conference
ISSN
ISBN
Citations 
1098-7584
978-1-4244-6919-2
0
PageRank 
References 
Authors
0.34
6
2
Name
Order
Citations
PageRank
Shuming Wang122915.96
Junzo Watada241184.53