The Pareto-frontier Solution to the MultiProject & Multiple Item Stochastic Chance-Constrained Investment Combination

摘要：

This paper aims to solve the multi-project multi-item investment combination under stochastic surroundings. A new stochastic chance-constrained programming model for investigating its problem will be presented, in which there are three objectives with some stochastic constraints to construct a 0-1 integer programming model, and demonstrate how to use PSO to solve the optimization model with a small modification of constraint-handling rule. A simulation experiment is employed to illustrate the application of the proposed model to get the Parcto-optimal solutions by applying the modified algorithm PSO.

关键词： mult-projec and multiple-item,investment combination stochastic chance-constrained modified PSO

作者: Jing Yu Bin Xu Yong Shi

作者单位: Research Center on Fictitious Economy & Data Science Graduate University of Chinese Academy of Scien School of Accountancy Central University of Finance & Economic Beijing, 100081, China Research Center on Fictitious Economy & Data Science Graduate University of Chinese Academy of Scien

会议类型: 国际会议

会议名称: The Second International Conference on Business Intelligence and Financial Engineering(BIFE 2009)(第二届商务智能与金融工程国际会议)

会议地点: 北京

会议语种:英文

页码: 510-513

在线出版日期: 2009-07-24（万方平台首次上网日期，不代表论文的发表时间）