Abstract
Chance-constrained programming provides a powerful means of modeling decision systems on the assumption that the constraints will hold at least α of time, where α is the confidence level provided as an approximate safety margin by the decision-maker. For fuzzy decision problems, Liu and Iwamura introduced a maximax chance-constrained programming model, and Liu provided a maximin chance-constrained programming model, which respectively maximize the optimistic value and the pessimistic value of the fuzzy objective under certain credibility constraints. Nowadays, fuzzy chance-constrained programming models have been widely used in many real-life applications. This chapter mainly introduces the concepts of optimistic value and pessimistic value, chance-constrained programming models, fuzzy simulation, and applications in fuzzy portfolio analysis.
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Li, X. (2013). Chance-Constrained Programming Model. In: Credibilistic Programming. Uncertainty and Operations Research. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-36376-4_4
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DOI: https://doi.org/10.1007/978-3-642-36376-4_4
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-642-36375-7
Online ISBN: 978-3-642-36376-4
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