Skip to main content
SpringerLink
Log in

Solving parametric fuzzy systems of linear equations by a nonlinear programming method

  • Original Article
  • Published:
Computational Economics Aims and scope Submit manuscript

Abstract

Linear systems of equations, with uncertainty on the parameters, play a major role in various problems in economics and finance. In this paper parametric fuzzy linear systems of the general form A 1 x + b 1 = A 2 x + b 2, with A 1, A 2, b 1 and b 2 matrices with fuzzy elements, are solved by means of a nonlinear programming method. The relation between this methodology and the algorithm proposed in Muzzioli and Reynaerts [(2006) Fuzzy Sets and Systems, in press] is highlighted. The methodology is finally applied to an economic and a financial problem.

This is a preview of subscription content, log in via an institution to check access.

Access this article

Log in via an institution

Price excludes VAT (USA)
Tax calculation will be finalised during checkout.

Instant access to the full article PDF.

Institutional subscriptions

Similar content being viewed by others

References

  • Buckley, J. J., Eslami, E., & Feuring, T. (2002). Fuzzy mathematics in economics and engineering Studies in Fuzziness and Soft Computing. Physica Verlag.

  • Buckley J. J., Qu Y. (1991). Solving systems of linear fuzzy equations. Fuzzy Sets and Systems 43, 33–43

    Article  Google Scholar 

  • Cox J.C., Ross S.A., Rubinstein S. (1979). Option pricing, a simplified approach. Journal of Financial Economics 7, 229–263

    Article  Google Scholar 

  • Ma M., Friedman M., Kandel A. (2000). Duality in fuzzy linear systems. Fuzzy Sets and Systems 109, 55–58

    Article  Google Scholar 

  • Muzzioli, S., & Torricelli, C. (2001). A multiperiod binomial model for pricing options in a vague world. In Proceedings of the second international symposium on imprecise probabilities and their applications (pp. 255–264). New York: Ithaca.

  • Muzzioli S., Reynaerts H. (2006). Fuzzy linear systems of the form A 1 x + b 1 = A 2 x + b 2. Fuzzy Sets and Systems, 157, 939–951

    Article  Google Scholar 

  • Muzzioli S., Reynaerts H. (2007). The solution of fuzzy linear systems by non linear programming: a financial application. European Journal of Operational Research 177, 1218–1231

    Article  Google Scholar 

Download references

Author information

Authors and Affiliations

  1. Department of Economics, University of Modena and Reggio Emilia, V.le Berengario 51, 41100, Modena, Italy

    S. Muzzioli

  2. Department of Applied Mathematics and Computer Science, Ghent University, Krijgslaan 281, building S9, 9000, Gent, Belgium

    H. Reynaerts

Authors
  1. S. Muzzioli
    View author publications

    You can also search for this author in PubMed Google Scholar

  2. H. Reynaerts
    View author publications

    You can also search for this author in PubMed Google Scholar

Corresponding author

Correspondence to S. Muzzioli.

Rights and permissions

Reprints and permissions

About this article

Cite this article

Muzzioli, S., Reynaerts, H. Solving parametric fuzzy systems of linear equations by a nonlinear programming method. Comput Econ 29, 107–117 (2007). https://doi.org/10.1007/s10614-006-9070-2

Download citation

  • Received:

  • Accepted:

  • Published:

  • Issue Date:

  • DOI: https://doi.org/10.1007/s10614-006-9070-2

Keywords

Search

Navigation