Economic and Financial Problems via Multiobjective Stochastic Optimization
نویسنده
چکیده
Abstract. Multiobjective optimization problems depending on a probability measure correspond to many economic and financial activities. Evidently if the probability measure is completely known, then we can try to influence economic process employing methods of a multiobjective deterministic optimization theory. Since this assumption is fulfilled very seldom we have mostly to analyze the mathematical model and consequently also economic process on the data base. The aim of the talk will be to investigate a relationship between “characteristics” obtained on the base of complete knowledge of the probability measure and them obtained on the above mentioned data base. To this end, the results of the deterministic multiobjective optimization theory and the results obtained for stochastic one objective problems will be employed.
منابع مشابه
A remark on multiobjective stochastic optimization via strongly convex functions
Many economic and financial applications lead (from the mathematical point of view) to deterministic optimization problems depending on a probability measure. These problems can be static (one stage), dynamic with finite (multistage) or infinite horizon, single objective or multiobjective.We focus on one-stage case in multiobjective setting. Evidently, well known results from the deterministic ...
متن کاملBenson's algorithm for nonconvex multiobjective problems via nonsmooth Wolfe duality
In this paper, we propose an algorithm to obtain an approximation set of the (weakly) nondominated points of nonsmooth multiobjective optimization problems with equality and inequality constraints. We use an extension of the Wolfe duality to construct the separating hyperplane in Benson's outer algorithm for multiobjective programming problems with subdifferentiable functions. We also fo...
متن کاملA Multi Objective Model For Fish Processed Production Planning Under Uncertainty
In Indonesia one of the very important factor for economic development is marine fisheries. Besides being the most affordable source of animal protein in the diet of most people in the country, this industrial sector could contribute environmental degradation. This paper addresses a multiobjective stochastic programming model of the sustainable production planning of fish processed products. Th...
متن کاملMultiobjective Imperialist Competitive Evolutionary Algorithm for Solving Nonlinear Constrained Programming Problems
Nonlinear constrained programing problem (NCPP) has been arisen in diverse range of sciences such as portfolio, economic management etc.. In this paper, a multiobjective imperialist competitive evolutionary algorithm for solving NCPP is proposed. Firstly, we transform the NCPP into a biobjective optimization problem. Secondly, in order to improve the diversity of evolution country swarm, and he...
متن کاملMultiobjective Stochastic Optimization Problems with Probability Constraints
Multiobjective optimization problems depending on a probability measure often correspond to situations in which an economic or financial process is simultaneously influenced by a random factor and a decision parameter. Moreover it is reasonable to evaluate the process by a few objective functions and it seems reasonable to determine the “decision” with respect to the mathematical expectation of...
متن کامل