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采用模糊数处理不确定性信息.以模糊期望收益率最大为目标函数,使总的风险不高于给定的模糊数,建立了一种新的模型.在给定的截集下,期望收益率转化为区间数,目标函数转化为对该区间数的下限求最大值.基于模糊数大小的概率比较,从而将模糊优化模型转化为不等式约束下的线性规划模型.利用Matlab编程可解得其最优解.最后通过实例分析,验证该模型的可行性.
Adopting the fuzzy number to deal with the uncertainty information, a new model is established by taking the fuzzy expected rate of return as the objective function and the total risk not higher than the given fuzzy number.Under a given cut-off, the expected return Rate is converted into the interval number, the objective function is transformed into the maximum value of the lower limit of the interval number.Based on the probability comparison of the fuzzy number size, the fuzzy optimization model is transformed into the linear programming model under the constraint of inequality. The optimal solution.At last, the feasibility of this model is verified by an example analysis.