Journal of Intelligent & Fuzzy Systems - Volume 32, issue 6

Authors: Qin, Zhongfeng | Dai, Yuanzhen | Zheng, Haitao

Article Type: Research Article

Abstract: This paper studies a portfolio optimization problem in which some candidate securities possess sufficient transaction data and the others are newly listed and lack enough data. Their corresponding returns are assumed to be random variables and uncertain variables, respectively. Accordingly, the total return on a portfolio becomes an uncertain random variable. In this paper, we first define value-at-risk of uncertain random variable and discuss its mathematical properties as well as numerical solution procedure. Then we employ it to measure the risk associated with uncertain random returns and formulate the corresponding portfolio optimization models with uncertain random returns. An active-set method …is used to solve the proposed models and a numerical example is given to illustrate its application. Show more

Keywords: Uncertain random variable, value-at-risk, portfolio optimization, uncertain measure, mean-VaR model

DOI: 10.3233/JIFS-169216

Citation: Journal of Intelligent & Fuzzy Systems, vol. 32, no. 6, pp. 4523-4531, 2017

Authors: Xu, Xiaoning | Chen, Rong | He, Feng | Zhu, Liyun

Article Type: Research Article

Abstract: Measuring errors or uncertainties in inputs and outputs create difficulties for performance evaluation in data envelopment analysis (DEA). The literature deals with the uncertainty using fuzzy or stochastic approaches. However, specifying the membership function or probability distribution is not always easy. This paper proposes a new method by assuming the inputs and outputs vary within a bounded interval and using interval analysis to extend the classic radial DEA models to two non-radial DEA models with bounded uncertainty, respectively. One is used to obtain efficiencies on the basis of slacks-based measurement (SBM) of super-efficiency DEA model, and the other is used …to identify specific inefficiencies on the basis of additive super-efficiency DEA model for the decision making units (DMU) under evaluation. To solve the interval non-radial DEA models, the paper adopts the optimization theory to transform the uncertain two-level programs into deterministic one-level programs, and an acceptability index to compare and rank any of the resulting interval efficiencies. Numerical analysis illustrates the advantage of this new approach against conventional methods. Show more

Keywords: Data envelopment analysis, slacks, additive model, super-efficiency, interval efficiency

DOI: 10.3233/JIFS-169217

Citation: Journal of Intelligent & Fuzzy Systems, vol. 32, no. 6, pp. 4533-4542, 2017

Authors: Zhang, Chao | Hu, Rui | Wei, Lirong

Article Type: Research Article

Abstract: Due to the complexity of real security market, sometimes the future security returns can only be valued based on experts’ estimations. Meanwhile, there are transaction costs and minimum transaction lots requirement in the real transaction process in the trading market. This paper discusses the portfolio selection problem in such a circumstance. Security returns are considered as uncertain variables, and a new mean-variance model with transaction costs and minimum transaction lots is established. In addition, the impact of minimum transaction lots requirement and transaction costs on optimal portfolio is discussed and a genetic algorithm for solving the optimization model is given. …As an illustration, a numerical example is provided. Show more

Keywords: Portfolio selection, mean-variance model, uncertain programing, genetic algorithm, uncertain variable

DOI: 10.3233/JIFS-169218

Citation: Journal of Intelligent & Fuzzy Systems, vol. 32, no. 6, pp. 4543-4554, 2017

Authors: Zenglian, Zhang | Junyang, Ma | Yingshi, Fu

Article Type: Research Article

Abstract: Project selection is a significant decision-making process in most companies. Most previous researches focused only on the investment profit and used random variables to determine project parameters. However, in some cases, the distributions of parameters cannot be obtained from similar projects due to the rapid changing environment. So experts’ estimations will be adopted. In order to handle inaccurate estimation, an uncertainty theory is applied to solve project selection decision-making in this situation. In addition, besides considering financial aspects, the non-financial aspects including compatibility, are taken into account. A new project selection model is developed and the deterministic form of the …model is given. For the sake of illustration, an example has been presented. This paper aims at proposing a new project appraisal method comprehensively considering financial and non-financial aspects. Show more

Keywords: Uncertain programming, project selection, sustainability, compatibility

DOI: 10.3233/JIFS-169219

Citation: Journal of Intelligent & Fuzzy Systems, vol. 32, no. 6, pp. 4555-4561, 2017

Authors: Zheng, Kai | Han, Lina | Guo, Shuli | Wang, Zhenyu | Zhang, Xinmiao | Dong, Xinghui

Article Type: Research Article

Abstract: This paper presented an improved fuzzy synthetic model based on combination weighting and a cloud model to optimize wind turbine maintenance strategy and improve operational reliability. First, a condition assessment framework was proposed by analyzing the monitored physical quantities of a working wind turbine. Based on the establishment of a state health evaluation index and health status classification of wind turbines, the weight of each index was determined with a combination weighting method while the membership degree of each state grade was determined with a membership cloud model. A comprehensive evaluation of the health status of the wind turbine was …carried out using the method of stratified evaluation. The results showed that the proposed method was effective and feasible. The results also showed that the condition assessment that utilized the improved method predicted the change of operating conditions and more closely matched real operating conditions than the traditional fuzzy assessment method. Show more

Keywords: Wind turbine, condition assessment, cloud model, combination weighting, fuzzy synthetic

DOI: 10.3233/JIFS-169220

Citation: Journal of Intelligent & Fuzzy Systems, vol. 32, no. 6, pp. 4563-4572, 2017

Article Type: Other

Citation: Journal of Intelligent & Fuzzy Systems, vol. 32, no. 6, pp. 4573-4592, 2017