Three-objective fuzzy chance-constrained programming model for multiproject and multi-item investment combination

  • Authors:
  • Bin Xu;Weiguo Fang;Ruifeng Shi;Jing Yu;Lu Liu

  • Affiliations:
  • School of Accountancy, Central University of Finance and Economic, Xueyuan Sounth Road 39, Haidian District, Beijing 100081, China and School of Economics and Management, Beihang University, Beiji ...;School of Economics and Management, Beihang University, Beijing 100083, China;Department of Automation, North China Electric Power University, Beijing 102206, China;Research Center of Fictitious Economy and Data Science, CAS, Beijing 100083, China;School of Economics and Management, Beihang University, Beijing 100083, China

  • Venue:
  • Information Sciences: an International Journal
  • Year:
  • 2009

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Abstract

This paper presents a new fuzzy chance-constrained programming model to find the solution for multiproject and multi-item investment combination in investment combination problems. The proposed 0-1 integer programming model has three objectives with fuzzy constraints, and NSGA-II is applied to solve the optimization model with a small modification of the constraint-handling rule. A simulation experiment illustrating the application of the proposed model is presented and Pareto-optimal solutions are obtained through a modified NSGA-II algorithm. A comparison among NSGA-II, PSO, and DE shows that modified NSGA-II has some advantages over PSO and DE.