• 한국경영과학회:학술대회논문집
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• 대한산업공학회/한국경영과학회 2002년도 춘계공동학술대회
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• pp.1044-1051
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• 2002

This paper proposes a two-phase mathematical programming approach by considering classification gap to solve the proposed credit scoring problem so as to complement any theoretical shortcomings. Specifically, by using the linear programming (LP) approach, phase 1 is to make the associated decisions such as issuing grant of credit or denial of credit to applicants. or to seek any additional information before making the final decision. Phase 2 is to find a cut-off value, which minimizes any misclassification penalty (cost) to be incurred due to granting credit to 'bad' loan applicant or denying credit to 'good' loan applicant by using the mixed-integer programming (MIP) approach. This approach is expected to and appropriate classification scores and a cut-off value with respect to deviation and misclassification cost, respectively. Statistical discriminant analysis methods have been commonly considered to deal with classification problems for credit scoring. In recent years, much theoretical research has focused on the application of mathematical programming techniques to the discriminant problems. It has been reported that mathematical programming techniques could outperform statistical discriminant techniques in some applications, while mathematical programming techniques may suffer from some theoretical shortcomings. The performance of the proposed two-phase approach is evaluated in this paper with line data and loan applicants data, by comparing with three other approaches including Fisher's linear discriminant function, logistic regression and some other existing mathematical programming approaches, which are considered as the performance benchmarks. The evaluation results show that the proposed two-phase mathematical programming approach outperforms the aforementioned statistical approaches. In some cases, two-phase mathematical programming approach marginally outperforms both the statistical approaches and the other existing mathematical programming approaches.

• 충청수학회지
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• 제27권1호
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• pp.145-149
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• 2014

I consider the optimal consumption and portfolio selection problem with nonnegative wealth constraints using the dynamic programming approach. I use the constant relative risk aversion (CRRA) utility function and disutility to derive the closed-form solutions.

• East Asian mathematical journal
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• 제35권5호
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• pp.597-612
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• 2019

In this study, we propose a new logarithmic barrier approach to solve linear programming problem using the projective method of Karmarkar. We are interested in computation of the direction by Newton's method and of the step-size using minorant functions instead of line search methods in order to reduce the computation cost. Our new approach is even more beneficial than classical line search methods. We reinforce our purpose by many interesting numerical simulations proved the effectiveness of the algorithm developed in this work.

• Industrial Engineering and Management Systems
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• 제15권2호
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• pp.156-172
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• 2016

Complex and uncertain issues in supply chain result in integrated decision making processes in supply chains. So decentralized (distributed) decision making (DDM) approach is considered as a crucial stage in supply chain planning. In this paper, an uncertain DDM through coordination mechanism is addressed for a multi-product supply chain planning problem. The main concern of this study is comparison of DDM approach with centralized decision making (CDM) approach while some parameters of decision making are assumed to be uncertain. The uncertain DDM problem is modeled through fuzzy mathematical programming in which products' demands are assumed to be uncertain and modeled using fuzzy sets. Moreover, a CDM approach is customized and developed in presence of fuzzy parameters. Both approaches are solved using three fuzzy mathematical optimization methods. Hence, the contribution of this paper can be summarized as follows: 1) proposing a DDM approach for a multi-product supply chain planning problem; 2) Introducing a coordination mechanism in the proposed DDM approach in order to utilize the benefits of a CDM approach while using DDM approach; 3) Modeling the aforementioned problem through fuzzy mathematical programming; 4) Comparing the performance of proposed DDM and a customized uncertain CDM approach on multi-product supply chain planning; 5) Applying three fuzzy mathematical optimization methods in order to address and compare the performance of both DDM and CDM approaches. The results of these fuzzy optimization methods are compared. Computational results illustrate that the proposed DDM approach closely approximates the optimal solutions generated by the CDM approach while the manufacturer's and retailers' decisions are optimized through a coordination mechanism making lasting relationship.

• Industrial Engineering and Management Systems
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• 제13권4호
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• pp.369-382
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• 2014

This paper introduces a new multi-product multi-period multi-objective aggregate production planning problem. The proposed problem is modeled using multi-objective mixed-integer mathematical programming. Three objective functions, including minimizing total cost, maximizing customer services level, and maximizing the quality of end-product, are considered, simultaneously. Several constraints such as quantity of production, available time, work force levels, inventory levels, backordering levels, machine capacity, warehouse space and available budget are also considered. Some parameters of the proposed model are assumed to be qualitative and modeled using fuzzy sets. Then, a fuzzy goal programming approach is proposed to solve the model. The proposed approach is applied on a real-world industrial case study of a color and resin production company called Teiph-Saipa. The approach is coded using LINGO software. The efficacy and applicability of the proposed approach are illustrated in the case study. The results of proposed approach are compared with those of the existing experimental methods used in the company. The relative dominance of the proposed approach is revealed in comparison with the experimental method. Finally, a data dictionary, including the way of gathering data for running the model, is proposed in order to facilitate the re-implementation of the model for future development and case studies.

• Journal of applied mathematics & informatics
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• 제24권1_2호
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• pp.449-460
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• 2007

Several fuzzy approaches can be considered for solving multi-objective transportation problem. This paper presents a fuzzy goal programming approach to determine an optimal compromise solution for the multiobjective transportation problem. We assume that each objective function has a fuzzy goal. Also we assign a special type of nonlinear (hyperbolic) membership function to each objective function to describe each fuzzy goal. The approach focuses on minimizing the negative deviation variables from 1 to obtain a compromise solution of the multiobjective transportation problem. We show that the proposed method and the fuzzy programming method are equivalent. In addition, the proposed approach can be applied to solve other multiobjective mathematical programming problems. A numerical example is given to illustrate the efficiency of the proposed approach.

• 대한수학회지
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• 제34권2호
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• pp.469-481
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• 1997

In this paper we consider TU-cooperative games in the form of characteristic function. We notice that if one uses the necessary and sufficient condition for the core to be not empty in a dual form, it may be used for selecting the final outcome in the core. Using the linear programming approach for constructing the subcore, which is a subset of the core, we represent it in a simple form. We consider reduced games due to Davis-Mashler, Moulin and Funaki and formulate the sufficient conditions for the subcore to be S-consistent.

• 한국지능시스템학회:학술대회논문집
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• 한국퍼지및지능시스템학회 1998년도 The Third Asian Fuzzy Systems Symposium
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• pp.512-516
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• 1998

Fuzzy mathematical programming (FMP) can be treated an uncertainty condition using fuzzy concept. Further, it can be extended to the multiple objective (or goal) programming problem, naturally. But we feel that FMP have some shortcomings such as the fuzzy number in FMP is the one dimesional possibility set, so it can not be represented the relationship between them, and, in spite of FMP includes some (uncertainty) fuzzy paramenters, many alogrithms are only obtained a crisp solution.In this study, we propose a method of FMS. Our method use the scenario approach (or fuzzy random variables) to represent the relationship between fuzzy numbers, and can obtain the fuzzy solution.

• Water Engineering Research
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• 제1권4호
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• pp.279-291
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• 2000

A mathematical model using dynamic programming approach is applied to an optimal unit commitment problem. In this study, the units are treated as stages instead of as state dimension, and the time dimension corresponds to the state dimension instead of stages. A considerable amount of computer time is saved as compared to the normal approach if there are many units in the basin. A case study on the Lower Colorado River Basin System is presented to demonstrate the capabilities of the optimal scheduling of hydropower units.

• Journal of Electrical Engineering and Technology
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• 제3권3호
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• pp.320-330
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• 2008

This paper presents an improved dynamic programming (IDP) approach to solve the economic power dispatch problem including transmission losses in power systems. A detailed mathematical derivation of recursive dynamic programming approach for the economic power dispatch problem with transmission losses is presented. The transmission losses are augmented with the objective function using price factor. The generalized expression for optimal scheduling of thermal generating units derived in this article can be implemented for the solution of the economic power dispatch problem of a large-scale system. Six-unit, fifteen-unit, and forty-unit sample systems with non-linear characteristics of the generator, such as ramp-rate limits and prohibited operating zones are considered to illustrate the effectiveness of the proposed method. The proposed method results have been compared with the results of genetic algorithm and particle swarm optimization methods reported in the literature. Test results show that the proposed IDP approach can obtain a higher quality solution with better performance.