2013 Fiscal Year Final Research Report
Building Optimum Reliable Systems through Value-at-Risk Criterion-based Two Stage Fuzzy Random Optimization Method
| Project/Area Number |
23500289
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Multi-year Fund |
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| Section | 一般 |
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| Research Field |
Sensitivity informatics/Soft computing
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| Research Institution | Waseda University |
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Principal Investigator |
WATADA Junzo 早稲田大学, 理工学術院, 教授 (10158610)
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| Project Period (FY) |
2011 – 2013
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| Keywords | Fuzzy variable / Fuzzy random variable / Reliability / Facility location / Portforlio Selection / Life cycle management / PSO optimization / Unit commitment |
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| Research Abstract |
In this research, to deal with complicated decision making problems from a risk framework under hybrid uncertainty consisting randomness and fuzziness, Value-at-Risk (VaR) measure-based fuzzy random optimization models are defined. In building the models, synthesized heuristic algorithms are proposed and particle swarm optimization algorithm is used in VaR simulation to solve the models. The proposed models enables us to treat risk perspective of 2 stage optimization problems and solve the problems under hybrid uncertain environment, which are hard to solve till now. Furthermore, such proposed algorithms are capable of approximate computation of VaR criterion fuzzy random coefficients. Such proposed models are uniquely built with wide applications as two stage VaR models which design and solve real world problems.
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