A FUZZY SIMULATED ANNEALING MODEL FOR SOLVING CHANCE CONSTRAINED CAPITAL BUDGETING PROBLEM AND SENSITIVITY ANALYSIS OF PARAMETERS

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FEREYDOUNI SEPIDEH; MORADIAN BOROUJENI PEGAH

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Journal: Journal of Operational Research in its Applications Year:2012 | Volume:8 | Issue:4 (31) Page(s): 13-27

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Title

A FUZZY SIMULATED ANNEALING MODEL FOR SOLVING CHANCE CONSTRAINED CAPITAL BUDGETING PROBLEM AND SENSITIVITY ANALYSIS OF PARAMETERS

Author(s)

FEREYDOUNI SEPIDEH | MORADIAN BOROUJENI PEGAH | Issue Writer Certificate

Keywords

NET PRESENT VALUEQ3

CHANCE-CONSTRAINED PROGRAMMINGQ3

FUZZY SIMULATIONQ3

SIMULATED ANNEALINGQ3

SENSITIVITY ANALYSISQ3

Abstract

Collect accurate data to describe the behavior of real systems is very difficult. Accurate mathematical modeling, with the increasing complexity of systems is impossible. Therefore, fuzzy computing is the answer to the complex problems of today. Authors have employed fuzzy concepts; chance constrained programming and SIMULATED ANNEALING as appropriate tools for determining the net present worth value of several projects. At the end, the most economical project was chosen. In this article, the investment expenses and annual net financial processes are considered fuzzy taking the credibility definition into consideration. The proposed model is then solved by SIMULATED ANNEALING program and to check its credibility we have compared the results of our model with the results obtained by the Genetic Algorithm as well as the Branch and Bound routine. The results indicate that for small sized problems, Genetic Algorithm has worked relatively with less error amounts and produces better results. It was determined that the effective parameters in the algorithm SA, the final temperature coefficient, β, is more important and if to be sufficiently small, the algorithm can be a very appropriate time to reach a satisfactory conclusion.

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APA: Copy

FEREYDOUNI, SEPIDEH, & MORADIAN BOROUJENI, PEGAH. (2012). A FUZZY SIMULATED ANNEALING MODEL FOR SOLVING CHANCE CONSTRAINED CAPITAL BUDGETING PROBLEM AND SENSITIVITY ANALYSIS OF PARAMETERS. JOURNAL OF OPERATIONAL RESEARCH AND ITS APPLICATIONS (JOURNAL OF APPLIED MATHEMATICS), 8(4 (31)), 13-27. SID. https://sid.ir/paper/164375/en

Vancouver: Copy

FEREYDOUNI SEPIDEH, MORADIAN BOROUJENI PEGAH. A FUZZY SIMULATED ANNEALING MODEL FOR SOLVING CHANCE CONSTRAINED CAPITAL BUDGETING PROBLEM AND SENSITIVITY ANALYSIS OF PARAMETERS. JOURNAL OF OPERATIONAL RESEARCH AND ITS APPLICATIONS (JOURNAL OF APPLIED MATHEMATICS)[Internet]. 2012;8(4 (31)):13-27. Available from: https://sid.ir/paper/164375/en

IEEE: Copy

SEPIDEH FEREYDOUNI, and PEGAH MORADIAN BOROUJENI, “A FUZZY SIMULATED ANNEALING MODEL FOR SOLVING CHANCE CONSTRAINED CAPITAL BUDGETING PROBLEM AND SENSITIVITY ANALYSIS OF PARAMETERS,” JOURNAL OF OPERATIONAL RESEARCH AND ITS APPLICATIONS (JOURNAL OF APPLIED MATHEMATICS), vol. 8, no. 4 (31), pp. 13–27, 2012, [Online]. Available: https://sid.ir/paper/164375/en

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