Generalized quadratic programming problem with interval uncertainty

In this paper, a quadratic programming model is considered, wherein all parameters and decision variables take values in intervals. Existence of optimal solution for this model with certain acceptable level is justified and a methodology is proposed to derive such a solution. Finally, the theoretica...

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Vydáno v:2013 IEEE International Conference on Fuzzy Systems (FUZZ-IEEE) s. 1 - 7
Hlavní autoři: Kumar, P., Panda, G., Gupta, U. C.
Médium: Konferenční příspěvek
Jazyk:angličtina
Vydáno: IEEE 01.07.2013
Témata:
interval
Linear programming
Mathematical model
order relation
portfolio selection
Portfolios
Quadratic programming
Quadratic programming problem
Risk
Uncertainty
Upper bound
ISSN:1098-7584
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Shrnutí:In this paper, a quadratic programming model is considered, wherein all parameters and decision variables take values in intervals. Existence of optimal solution for this model with certain acceptable level is justified and a methodology is proposed to derive such a solution. Finally, the theoretical development is illustrated by means of an example of portfolio selection.
ISSN:1098-7584
DOI:10.1109/FUZZ-IEEE.2013.6622375