Two-stage fuzzy stochastic programming with Value-at-Risk criteria.
Shuming WangJunzo WatadaPublished in: Appl. Soft Comput. (2011)
Keyphrases
- stochastic programming
- risk averse
- multistage
- chance constrained
- linear program
- multi criteria
- fuzzy logic
- asset liability management
- robust optimization
- decision making under uncertainty
- membership functions
- fuzzy rules
- fuzzy sets
- power generation
- fuzzy numbers
- portfolio management
- risk management
- fuzzy systems
- fuzzy clustering
- portfolio optimization
- genetic algorithm
- dynamic programming
- special case
- decision making
- artificial intelligence