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2009 International Conference on Business Intelligence and Financial Engineering
The Pareto-Frontier Solution to the MultiProject & Multiple Item Stochastic Chance-Constrained Investment Combination
Beijing, China
July 24-July 26
ISBN: 978-0-7695-3705-4
ASCII Text
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Jing Yu, Bin Xu, Yong Shi, "The Pareto-Frontier Solution to the MultiProject & Multiple Item Stochastic Chance-Constrained Investment Combination," Business Intelligence and Financial Engineering, International Conference on, pp. 510-513, 2009 International Conference on Business Intelligence and Financial Engineering, 2009.
 
 
BibTex
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@article{ 10.1109/BIFE.2009.121,
author = {Jing Yu and Bin Xu and Yong Shi},
title = {The Pareto-Frontier Solution to the MultiProject & Multiple Item Stochastic Chance-Constrained Investment Combination},
journal ={Business Intelligence and Financial Engineering, International Conference on},
volume = {0},
year = {2009},
isbn = {978-0-7695-3705-4},
pages = {510-513},
doi = {http://doi.ieeecomputersociety.org/10.1109/BIFE.2009.121},
publisher = {IEEE Computer Society},
address = {Los Alamitos, CA, USA},
}
 
 
RefWorks Procite/RefMan/Endnote
x 
 
TY - CONF
JO - Business Intelligence and Financial Engineering, International Conference on
TI - The Pareto-Frontier Solution to the MultiProject & Multiple Item Stochastic Chance-Constrained Investment Combination
SN - 978-0-7695-3705-4
SP510
EP513
A1 - Jing Yu,
A1 - Bin Xu,
A1 - Yong Shi,
PY - 2009
KW - mult-projec and multiple-item
KW - investment combination
KW - stochastic chance- constrained
KW - modified PSO
VL - 0
JA - Business Intelligence and Financial Engineering, International Conference on
ER -
 
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 Pareto-optimal solutions by applying the modified algorithm PSO.
Index Terms:
mult-projec and multiple-item, investment combination, stochastic chance- constrained, modified PSO
Citation:
Jing Yu, Bin Xu, Yong Shi, "The Pareto-Frontier Solution to the MultiProject & Multiple Item Stochastic Chance-Constrained Investment Combination," bife, pp.510-513, 2009 International Conference on Business Intelligence and Financial Engineering, 2009
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