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Possibilistic linear programming: A brief review of fuzzy mathematical programming and a comparison with stochastic programming in portfolio selection problem. (English) Zbl 0938.90074

Summary: The authors review some fuzzy linear programming methods and techniques from a practical point of view. In the first part, the general history and the approach of fuzzy mathematical programming are introduced. Using a numerical example, some models of fuzzy linear programming are described. In the second part of the paper, fuzzy mathematical programming approaches are compared to stochastic programming ones. The advantages and disadvantages of fuzzy mathematical programming approaches are exemplified in the setting of an optimal portfolio selection problem. Finally, some newly developed ideas and techniques in fuzzy mathematical programming are briefly reviewed.

MSC:

90C70 Fuzzy and other nonstochastic uncertainty mathematical programming
90C15 Stochastic programming
91G10 Portfolio theory

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Genocop
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