Foundation of Uncertainty Theory

Introduction to
Uncertain Programming
Baoding Liu
Uncertainty Theory Laboratory
Department of Mathematical Sciences
Tsinghua University
Beijing 100084, China
liu@tsinghua.edu.cn
http://orsc.edu.cn/liu
August 12, 2006

A ROUGH MANUSCRIPT
FOR DISTRIBUTION IN UTLAB ONLY
Contents
Preface
ix
1 Mathematical Programming
1.1 Single-Objective Programming
1.2 Multiobjective Programming .
1.3 Goal Programming . . . . . .
1.4 Dynamic Programming . . . .
1.5 Multilevel Programming . . . .
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1
1
3
5
6
7
2 Genetic Algorithms
2.1 Representation Structure
2.2 Handling Constraints . .
2.3 Initialization Process . .
2.4 Evaluation Function . . .
2.5 Selection Process . . . . .
2.6 Crossover Operation . . .
2.7 Mutation Operation . . .
2.8 General Procedure . . . .
2.9 Numerical Experiments .
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9
10
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12
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14
3 Neural Networks
3.1 Basic Concepts . . . . . . . . .
3.2 Function Approximation . . .
3.3 Neuron Number Determination
3.4 Backpropagation Algorithm . .
3.5 Numerical Experiments . . . .
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19
19
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22
23
4 Stochastic Programming
4.1 Random Variable . . . . . . . . .
4.2 Expected Value Model . . . . . . .
4.3 Chance-Constrained Programming
4.4 Dependent-Chance Programming .
4.5 Hybrid Intelligent Algorithm . . .
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25
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38
45
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vi
Contents
4.6
Numerical Experiments . . . . . . . . . . . . . . . . . . . . .
48
5 Fuzzy Programming
5.1 Fuzzy Variable . . . . . . . . . . .
5.6 Numerical Experiments . . . . . .
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53
53
60
61
66
68
71
6 Fuzzy Random Programming

6.1 Fuzzy Random Variable . . . . . .
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75
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78
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82
85
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7 Random Fuzzy Programming

7.1 Random Fuzzy Variable . . . . . .
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91
. 91
. 95
. 96
. 98
. 100
. 103
8 Uncertain Dynamic Programming

8.1 Expected Value Dynamic Programming . . .
8.2 Chance-Constrained Dynamic Programming
8.3 Dependent-Chance Dynamic Programming .
8.4 Hybrid Intelligent Algorithm . . . . . . . . .
8.5 Numerical Experiments . . . . . . . . . . . .
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107
107
108
108
108
109
9 Uncertain Multilevel Programming

9.1 Expected Value Multilevel Programming . .
9.2 Chance-Constrained Multilevel Programming
9.3 Dependent-Chance Multilevel Programming
9.4 Hybrid Intelligent Algorithm . . . . . . . . .
9.5 Numerical Experiments . . . . . . . . . . . .
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111
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115
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Model
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121
121
122
124
125
10 System Reliability Design

10.1 Problem Description . . . . . . . . . . . . .
10.2 Stochastic Expected Lifetime Maximization
10.3 Stochastic -Lifetime Maximization Model
10.4 Stochastic System Reliability Model . . . .
vii
Contents
10.5
10.6
10.7
10.8
Fuzzy Expected Lifetime Maximization Model

Fuzzy -Lifetime Maximization Model . . . . .
Fuzzy System Reliability Model . . . . . . . .
Random Fuzzy Models . . . . . . . . . . . . .
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126
126
127
127
11 Project Scheduling Problem

11.1 Problem Description . . . . . . . . . . . . . . .
11.2 Stochastic Expected Cost Minimization Model
11.3 Stochastic -Cost Minimization Model . . . .
11.4 Probability Maximization Model . . . . . . . .
11.5 Fuzzy Expected Cost Minimization Model . .
11.6 Fuzzy -Cost Minimization Model . . . . . . .
11.7 Credibility Maximization Model . . . . . . . .
11.8 Random Fuzzy Models . . . . . . . . . . . . .
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129
129
130
132
132
133
133
134
135
12 Vehicle Routing Problem

12.1 Problem Description . . . . . . . . . . . .
12.2 Stochastic Distance Minimization Model
12.3 Probability Maximization Model . . . . .
12.4 Fuzzy Distance Minimization Model . . .
12.5 Credibility Maximization Model . . . . .
12.6 Random Fuzzy Models . . . . . . . . . .
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137
138
139
142
143
144
145
13 Facility Location Problem

13.1 Problem Description . . . . . . . . . . . . . . .
13.2 Stochastic Expected Cost Minimization Model
13.3 Stochastic -Cost Minimization Model . . . .
13.4 Probability Maximization Model . . . . . . . .
13.5 Fuzzy Expected Cost Minimization Model . .
13.6 Fuzzy -Cost Minimization Model . . . . . . .
13.7 Credibility Maximization Model . . . . . . . .
13.8 Random Fuzzy Models . . . . . . . . . . . . .
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147
147
148
150
150
151
152
153
153
14 Machine Scheduling Problem

14.1 Problem Description . . . . . . . . . . . . . . . . . .
14.2 Stochastic Expected Time Goal Programming . . .
14.3 Stochastic Chance-Constrained Goal Programming .
14.4 Stochastic Dependent-Chance Goal Programming .
14.5 Fuzzy Expected Time Goal Programming . . . . . .
14.6 Fuzzy Chance-Constrained Goal Programming . . .
14.7 Fuzzy Dependent-Chance Goal Programming . . . .
14.8 Random Fuzzy Models . . . . . . . . . . . . . . . .
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155
155
156
158
159
160
161
162
163
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viii
Contents
15 Overview
167
15.1 Why Uncertain Programming Useful? . . . . . . . . . . . . . 167
15.2 Graph of Uncertain Programming . . . . . . . . . . . . . . 168
15.3 Further Research . . . . . . . . . . . . . . . . . . . . . . . . . 169
Bibliography
171
List of Acronyms
191
List of Frequently Used Symbols
192
Index
193
Preface
Real-life decisions are usually made in the state of uncertainty. How do we
model optimization problems in uncertain environments? How do we solve
these models? The main purpose of the book is just to provide uncertain
programming theory to answer these questions.
By uncertain programming we mean the optimization theory in uncertain
environments. The main topics of uncertain programming include stochastic programming, fuzzy programming, fuzzy random programming, random
fuzzy programming, uncertain dynamic programming, and uncertain multilevel programming.
This book provides a self-contained, comprehensive and up-to-date presentation of uncertain programming theory, including numerous modeling
ideas and applications in system reliability design, project scheduling problem, vehicle routing problem, facility location problem, and machine scheduling problem.
Numerous intelligent algorithms such as genetic algorithms and neural
networks have been developed by researchers of different backgrounds. A
natural idea is to integrate these intelligent algorithms to produce more effective and powerful algorithms. In order to solve uncertain programming
models, a spectrum of hybrid intelligent algorithms are documented in the
book. The author also maintains a website at http://orsc.edu.cn/liu to post
the C++ source files of simulations, genetic algorithms, neural networks, and
hybrid intelligent algorithms.
It is assumed that readers are familiar with the basic concepts of mathematical programming, and elementary knowledge of C++ language. In order
to make the book more readable, some background topics that will be useful
in reading the book are also presented. The book is suitable for researchers,
engineers, and students in the field of operations research, management science, information science, system science, computer science, and engineering.
The readers will learn numerous new modeling ideas and effective algorithms,
and find this work a stimulating and useful reference.
Baoding Liu
Tsinghua University
http://orsc.edu.cn/liu
February, 2008
Chapter 1
Mathematical
Programming
As one of the most widely used techniques in operations research, mathematical programming is defined as a means of maximizing a quantity known as
objective function, subject to a set of constraints represented by equations
and inequalities. Some known subtopics of mathematical programming are
linear programming, nonlinear programming, multiobjective programming,
goal programming, dynamic programming, and multilevel programming.
It is impossible to cover in a single chapter every concept of mathematical programming. This chapter introduces only the basic concepts and techniques of mathematical programming such that readers gain an understanding of them throughout the book.
1.1
Single-Objective Programming
The general form of single-objective programming (SOP) is written as follows,
max f (x)
subject to:
(1.1)
gj (x) 0, j = 1, 2, , p
which maximizes a real-valued function f of x = (x1 , x2 , , xn ) subject to
a set of constraints.
Definition 1.1 In SOP (1.1), we call x a decision vector, and x1 , x2 , , xn
decision variables. The function f is called the objective function. The set
S = x <n gj (x) 0, j = 1, 2, , p
(1.2)
is called the feasible set. An element x in S is called a feasible solution.
Chapter 1 - Mathematical Programming
Definition 1.2 A feasible solution x is called the optimal solution of SOP

(1.1) if and only if
f (x ) f (x)
(1.3)
for any feasible solution x.

One of the outstanding contributions to mathematical programming was
known as the Kuhn-Tucker conditions. In order to introduce them, let us
give some definitions. An inequality constraint gj (x) 0 is said to be active
at a point x if gj (x ) = 0. A point x satisfying gj (x ) 0 is said to be
regular if the gradient vectors gj (x) of all active constraints are linearly
independent.
Let x be a regular point of the constraints of SOP (1.1) and assume that
all the functions f (x) and gj (x), j = 1, 2, , p are differentiable. If x is a
local optimal solution, then there exist Lagrange multipliers j , j = 1, 2, , p
such that the following Kuhn-Tucker conditions hold,
p
P
f
(x
)
j gj (x ) = 0
j=1
j gj (x ) = 0, j = 1, 2, , p
j 0, j = 1, 2, , p.
(1.4)
If all the functions f (x) and gj (x), j = 1, 2, , p are convex and differentiable, and the point x satisfies the Kuhn-Tucker conditions (1.4), then it
has been proved that the point x is a global optimal solution of SOP (1.1).
Linear Programming
If the functions f (x), gj (x), j = 1, 2, , p are all linear, then SOP (1.1) is
called a linear programming.
The feasible set of linear programming is always convex. A point x is
called an extreme point of convex set S if x S and x cannot be expressed
as a convex combination of two points in S. It has been shown that the
optimal solution to linear programming corresponds to an extreme point of
its feasible set provided that the feasible set S is bounded. This fact is the
basis of the simplex algorithm which was developed by Dantzig [53] as a very
efficient method for solving linear programming.
Roughly speaking, the simplex algorithm examines only the extreme points
of the feasible set, rather than all feasible points. At first, the simplex algorithm selects an extreme point as the initial point. The successive extreme
point is selected so as to improve the objective function value. The procedure
is repeated until no improvement in objective function value can be made.
The last extreme point is the optimal solution.
Section 1.2 - Multiobjective Programming
Nonlinear Programming
If at least one of the functions f (x), gj (x), j = 1, 2, , p is nonlinear, then
SOP (1.1) is called a nonlinear programming.
A large number of classical optimization methods have been developed to
treat special-structural nonlinear programming based on the mathematical
theory concerned with analyzing the structure of problems.
Now we consider a nonlinear programming which is confronted solely with
maximizing a real-valued function with domain <n . Whether derivatives are
available or not, the usual strategy is first to select a point in <n which
is thought to be the most likely place where the maximum exists. If there
is no information available on which to base such a selection, a point is
chosen at random. From this first point an attempt is made to construct
a sequence of points, each of which yields an improved objective function
value over its predecessor. The next point to be added to the sequence
is chosen by analyzing the behavior of the function at the previous points.
This construction continues until some termination criterion is met. Methods
based upon this strategy are called ascent methods, which can be classified
as direct methods, gradient methods, and Hessian methods according to the
information about the behavior of objective function f . Direct methods
require only that the function can be evaluated at each point. Gradient
methods require the evaluation of first derivatives of f . Hessian methods
require the evaluation of second derivatives. In fact, there is no superior
method for all problems. The efficiency of a method is very much dependent
upon the objective function.
Integer Programming
Integer programming is a special mathematical programming in which all of
the variables are assumed to be only integer values. When there are not only
integer variables but also conventional continuous variables, we call it mixed
integer programming. If all the variables are assumed either 0 or 1, then the
problem is termed a zero-one programming. Although integer programming
can be solved by an exhaustive enumeration theoretically, it is impractical to
solve realistically sized integer programming problems. The most successful
algorithm so far found to solve integer programming is called the branch-andbound enumeration developed by Balas (1965) and Dakin (1965). The other
technique to integer programming is the cutting plane method developed by
Gomory (1959).
1.2
Multiobjective Programming
SOP is related to maximizing a single function subject to a number of constraints. However, it has been increasingly recognized that many real-world
decision-making problems involve multiple, noncommensurable, and conflicting objectives which should be considered simultaneously. As an extension,
multiobjective programming (MOP) is defined as a means of optimizing multiple objective functions subject to a number of constraints, i.e.,
max [f1 (x), f2 (x), , fm (x)]

subject to:
(1.5)
gj (x) 0, j = 1, 2, , p
where fi (x) are objective functions, i = 1, 2, , m, and gj (x) 0 are system
constraints, j = 1, 2, , p.
When the objectives are in conflict, there is no optimal solution that simultaneously maximizes all the objective functions. For this case, we employ
a concept of Pareto solution, which means that it is impossible to improve
any one objective without sacrificing on one or more of the other objectives.
Definition 1.3 A feasible solution x is said to be a Pareto solution if there
is no feasible solution x such that
fi (x) fi (x ),
i = 1, 2, , m
(1.6)
and fj (x) > fj (x ) for at least one index j.

If the decision maker has a real-valued preference function aggregating
the m objective functions, then we may maximize the aggregating preference
function subject to the same set of constraints. This model is referred to as
a compromise model whose solution is called a compromise solution.
The first well-known compromise model is set up by weighting the objective functions, i.e.,
m
P
i fi (x)
max
i=1
subject to:
gj (x) 0, j = 1, 2, , p
(1.7)
where the weights 1 , 2 , , m are nonnegative numbers with 1 + 2 +

+ m = 1. Note that the solution of (1.7) must be a Pareto solution of
the original one.
The second way is related to minimizing the distance function from a
), where
solution (f1 (x), f2 (x), , fm (x)) to an ideal vector (f1 , f2 , , fm
fi are the optimal values of the ith objective functions without considering
other objectives, i = 1, 2, , m, respectively, i.e.,
p
2
2
min (f1 (x) f1 ) + + (fm (x) fm )

(1.8)
subject to:
gj (x) 0, j = 1, 2, , p.
Section 1.3 - Goal Programming
By the third way a compromise solution can be found via an interactive

approach consisting of a sequence of decision phases and computation phases.
Various interactive approaches have been developed in the past literature.
1.3
Goal Programming
Goal programming (GP) was developed by Charnes and Cooper [40] and
subsequently studied by many researchers. GP can be regarded as a special
compromise model for multiobjective programming and has been applied in
a wide variety of real-world problems.
In multiobjective decision-making problems, we assume that the decisionmaker is able to assign a target level for each goal and the key idea is to
minimize the deviations (positive, negative, or both) from the target levels.
In the real-world situation, the goals are achievable only at the expense of
other goals and these goals are usually incompatible. Therefore, there is a
need to establish a hierarchy of importance among these incompatible goals
so as to satisfy as many goals as possible in the order specified. The general
form of GP is written as follows,
l
m
P
P
min
Pj
(u d+ 0 + vij d
i 0)
x j=1 i=1 ij i
subject to:
(1.9)
fi (x) bi = d+
i , i = 1, 2, , m
bi fi (x) = d
i , i = 1, 2, , m
gj (x) 0,
j = 1, 2, , p
where Pj is the preemptive priority factor which expresses the relative importance of various goals, Pj Pj+1 , for all j, uij is the weighting factor
corresponding to positive deviation for goal i with priority j assigned, vij
is the weighting factor corresponding to negative deviation for goal i with
priority j assigned, d+
i 0 is the positive deviation from the target of goal
i, d
0
is
the
negative
deviation from the target of goal i, fi is a function
i
in goal constraints, gj is a function in system constraints, bi is the target
value according to goal i, l is the number of priorities, m is the number of
goal constraints, and p is the number of system constraints. Sometimes, the
objective function of GP (1.9) is written as
(m
)
m
X
X
+
lexmin
(ui1 di 0 + vi1 di 0), ,
(uil di 0 + vil di 0)
i=1
i=1
where lexmin represents lexicographically minimizing the objective vector.

Linear GP can be successfully solved by the simplex goal method. The
approaches of nonlinear GP are summarized by Saber and Ravindran [262]
and the efficiency of these approaches varies. They are classified as follows:
(a) simplex-based approach, whose main idea lies in converting the nonlinear
GP into a set of approximation linear GPs which can be handled by the
simplex goal method; (b) direct search approach [50], in which the given
nonlinear GP is translated into a set of SOPs, and then the SOPs are solved
by the direct search methods; (c) gradient-based approach [158][262], which
utilizes the gradient of constraints to identify a feasible direction and then
solves the GP based on the feasible direction method; (d) interactive approach
[302][221], which can yield a satisfactory solution in a relatively few iterations
since the decision-maker is involved in the solution process; and (e) genetic
algorithm [86], which can deal with complex nonlinear GP but have to spend
more CPU time.
1.4
Dynamic Programming
Let us denote a multistage decision process by [a, T (a, x)], where a is called
state, T (a, x) is called a state transition function, and x is called decision
vector. It is clear that the state transition function depends on both state
a and decision vector x. We suppose that we have sufficient influence over
the process so that at each stage we can choose a decision vector x from the
allowable set. Let xi be the decision vector at the ith stage. Then we have
the following sequence,
a1 = a0 ,
(an initial state)
ai+1 = T (ai , xi ),
i = 1, 2,
We are concerned with processes in which the decision vectors xi s are chosen
so as to maximize a criterion function R(a1 , a2 , , aN ; x1 , x2 , , xN ). A
decision is called optimal if it maximizes the criterion function.
In view of the general nature of the criterion function R, the decision vectors xi s are dependent upon the current state of the system as well as the
past and future states and decisions. However, there are some criterion functions which have some special structures so that the decision is dependent
only on the current state. In this special but extremely important case, the
optimal policy is characterized by Bellmans principle of optimality: An optimal policy has the property that whatever the initial state and initial decision
are, the remaining decision must constitute an optimal policy with regard to
the state resulting from the first decision.
Fortunately, many important criteria have the vital property of divorcing
the past from the present. In general, it is easy to predict this property from
the nature of the original multistage decision process. For example, let us
consider a problem of maximizing the following special-structured function
R(a1 , a2 , , aN ; x1 , x2 , , xN ) =
N
X
i=1
ri (ai , xi )
(1.10)
Section 1.5 - Multilevel Programming
subject to gi (ai , xi ) 0 for i = 1, 2, , N . Let fn (a) be the maximum values of criterion function R, starting in state a at the stage n, n = 1, 2, , N ,
respectively. Then by Bellmans principle of optimality, we have
fN (a) = max rN (a, x)
gN (a,x)0
fN 1 (a) =
rN 1 (a, x) + fN (T (a, x))
max
gN 1 (a,x)0
(1.11)
r1 (a, x) + f2 (T (a, x)) .

f1 (a) = max
g1 (a,x)0
Please mention that,

max
x1 ,x2 ,,xN
R(a1 , a2 , , aN ; x1 , x2 , , xN ) = f1 (a0 ).
(1.12)
The system of equations (1.11) is called dynamic programming (DP) by

Richard Bellman [13] which can be simply written as
fN (a) = max rN (a, x)
gN (a,x)0
fn (a) = max
rn (a, x) + fn+1 (T (a, x))
(1.13)
gn (a,x)0
n N 1.
In order to obtain the optimal solutions in reasonable time for real practical problems, we should develop effectively computational algorithms for
DP. To explore the general DP algorithms, readers may consult the book by
Bertsekas and Tsitsiklis [17] in which numerous different ways to solve DP
problems have been suggested.
1.5
Multilevel Programming
Multilevel programming (MLP) offers a means of studying decentralized decision systems in which we assume that the leader and followers may have
their own decision variables and objective functions, and the leader can only
influence the reactions of followers through his own decision variables, while
the followers have full authority to decide how to optimize their own objective
functions in view of the decisions of the leader and other followers.
We now assume that in a decentralized two-level decision system there is
one leader and m followers. Let x and y i be the decision vectors of the leader
and the ith followers, i = 1, 2, , m, respectively. We also assume that the
objective functions of the leader and ith followers are F (x, y 1 , , y m ) and
fi (x, y 1 , , y m ), i = 1, 2, , m, respectively.
In addition, let the feasible set of control vector x of the leader be determined by
G(x) 0
(1.14)
where G is a vector-valued function of decision vector x and 0 is a vector

with zero components. Then for each decision x chosen by the leader, the
feasibility of decision vectors y i of the ith followers should be dependent on
not only x but also y 1 , , y i1 , y i+1 , , y m , and generally represented by
gi (x, y 1 , y 2 , , y m ) 0
(1.15)
where gi are vector-valued functions, i = 1, 2, , m, respectively.

Assume that the leader first chooses his decision vector x, and the followers determine their decision array (y 1 , y 2 , , y m ) after that. In order to
find the optimal decision vector of the leader, we have to use the following
bilevel programming,
max F (x, y 1 , y 2 , , y m )
subject
to:
G(x) 0
(y 1 , y 2 , , y m ) solves problems (i = 1, 2, , m)
fi (x, y 1 , y 2 , , y m )
max
yi
subject to:
gi (x, y 1 , y 2 , , y m ) 0.
(1.16)
Definition 1.4 Let x be a fixed decision vector of the leader. A Nash equilibrium of followers with respect to x is the feasible array (y 1 , y 2 , , y m )
such that
fi (x, y 1 , , y i1 , y i , y i+1 , , y m ) fi (x, y 1 , , y i1 , y i , y i+1 , , y m )
for any feasible array (y 1 , , y i1 , y i , y i+1 , , y m ) and i = 1, 2, , m.
Definition 1.5 Suppose that x is a feasible decision vector of the leader
and (y 1 , y 2 , , y m ) is a Nash equilibrium of followers with respect to x .
We call (x , y 1 , y 2 , , y m ) a Stackelberg-Nash equilibrium to MLP (1.16) if
and only if
F (x, y 1 , y 2 , , y m ) F (x , y 1 , y 2 , , y m )
(1.17)
for any feasible x and Nash equilibrium (y 1 , y 2 , , y m ) with respect to x.
Ben-Ayed and Blair [15] showed that MLP is an NP-hard problem. In
order to solve MLP, a lot of numerical algorithms have been developed,
for example, implicit enumeration scheme (Candler and Townsley [35]), the
kth best algorithm (Bialas and Karwan [19]), parametric complementary
pivot algorithm (Bialas and Karwan [19]), one-dimensional grid search algorithm (Bard [8][10]), branch-and-bound algorithm (Bard and Moore [9]),
the steepest-descent direction (Savard and Gauvin [269]), and genetic algorithm (Liu [172]).
Chapter 2
Genetic Algorithms
Genetic algorithm (GA) is a stochastic search method for optimization problems based on the mechanics of natural selection and natural genetics (i.e.,
survival of the fittest). GA has demonstrated considerable success in providing good solutions to many complex optimization problems and received
more and more attentions during the past three decades. When the objective
functions to be optimized in the optimization problems are multimodal or the
search spaces are particularly irregular, algorithms need to be highly robust
in order to avoid getting stuck at a local optimal solution. The advantage
of GA is just able to obtain the global optimal solution fairly. In addition,
GA does not require the specific mathematical analysis of optimization problems, which makes GA easily coded by users who are not necessarily good at
mathematics and algorithms.
One of the important technical terms in GA is chromosome, which is usually a string of symbols or numbers. A chromosome is a coding of a solution
of an optimization problem, not necessarily the solution itself. GA starts
with an initial set of randomly generated chromosomes called a population.
The number of individuals in the population is a predetermined integer and
is called population size. All chromosomes are evaluated by the so-called
evaluation function, which is some measure of fitness. A new population will
be formed by a selection process using some sampling mechanism based on
the fitness values. The cycle from one population to the next one is called
a generation. In each new generation, all chromosomes will be updated by
the crossover and mutation operations. The revised chromosomes are also
called offspring. The selection process selects chromosomes to form a new
population and the genetic system enters a new generation. After performing
the genetic system a given number of cycles, we decode the best chromosome
into a solution which is regarded as the optimal solution of the optimization
problem.
GA has been well-documented in the literature, such as in Holland [97],
Goldberg [89], Michalewicz [225], Fogel [69], Koza [142][143], Liu [183], and
10
Chapter 2 - Genetic Algorithms
have been applied to a wide variety of problems. The aim of this section
is to introduce an effective GA for solving complex optimization problems.
Moreover, we design this algorithm for solving not only single-objective optimization but also multiobjective programming, goal programming, and multilevel programming. Finally, we illustrate the effectiveness of GA by some
numerical examples.
2.1
Representation Structure
A key problem of GA is how to encode a solution x = (x1 , x2 , , xn ) into a

chromosome V = (v1 , v2 , , vm ). That is, we must construct a link between
a solution space and a coding space. The mapping from the solution space
to coding space is called encoding. The mapping from the coding space to
solution space is called decoding.
It is clear that the representation structure is problem-dependent. For
example, let (x1 , x2 , x3 ) be a solution vector in the solution space
(
x1 + x22 + x33 = 1
(2.1)
x1 0, x2 0, x3 0.
We may encode the solution by a chromosome (v1 , v2 , v3 ) in the coding space
v1 0,
v2 0,
v3 0.
(2.2)
Then the encoding and decoding processes are determined by the link
r
r
v1
v2
v3
x1 =
, x2 =
, x3 = 3
. (2.3)
v1 + v2 + v3
v1 + v2 + v3
v1 + v2 + v3
2.2
Handling Constraints
In mathematical programming, if there are some equality constraints, for

example, hk (x) = 0, k = 1, 2, , q, we should eliminate the q equality constraints by replacing q variables of them with the representation of the remaining variables, where the representation is obtained by solving the system
of equalities in the constraints.
If we cannot do so, we may eliminate the equality constraints by Lagrangian method based on the idea of transforming a constrained problem
into an unconstrained one.
2.3
Initialization Process
We define an integer pop size as the number of chromosomes and initialize

pop size chromosomes randomly. Usually, it is difficult for complex optimization problems to produce feasible chromosomes explicitly.
11
Section 2.5 - Selection Process
Assume that the decision-maker can predetermine a region which contains

the optimal solution (not necessarily the whole feasible set). Such a region is
also problem-dependent. At any rate, the decision-maker can provide such a
region, only it may be a bit too large. Usually, this region will be designed
to have a nice sharp, for example, a hypercube, because the computer can
easily sample points from a hypercube.
We generate a random point from the hypercube and check the feasibility
of this point. If it is feasible, then it will be accepted as a chromosome.
If not, then we regenerate a point from the hypercube randomly until a
feasible one is obtained. We can make pop size initial feasible chromosomes
V1 , V2 , , Vpop size by repeating the above process pop size times.
2.4
Evaluation Function
Evaluation function, denoted by Eval(V ), is to assign a probability of reproduction to each chromosome V so that its likelihood of being selected is
proportional to its fitness relative to the other chromosomes in the population. That is, the chromosomes with higher fitness will have more chance to
produce offspring by using roulette wheel selection.
Let V1 , V2 , , Vpop size be the pop size chromosomes at the current generation. One well-known evaluation function is based on allocation of reproductive trials according to rank rather than actual objective values. No
matter what type of mathematical programming it is, it is reasonable to
assume that the decision-maker can give an order relationship among the
pop size chromosomes V1 , V2 , , Vpop size such that the pop size chromosomes can be rearranged from good to bad (i.e., the better the chromosome
is, the smaller the ordinal number it has). For example, for a single-objective
maximizing problem, a chromosome with larger objective value is better; for
a multiobjective programming, we may define a preference function to evaluate the chromosomes; for a goal programming, we have the following order
relationship for the chromosomes: for any two chromosomes, if the higherpriority objectives are equal, then, in the current priority level, the one with
minimal objective value is better. If two different chromosomes have the
same objective values at every level, then we are indifferent between them.
For this case, we rearrange them randomly.
Now let a parameter a (0, 1) in the genetic system be given. We can
define the rank-based evaluation function as follows,
Eval(Vi ) = a(1 a)i1 ,
i = 1, 2, , pop size.
Note that i = 1 means the best individual, i = pop size the worst one.
(2.4)
12
2.5
Selection Process
The selection process is based on spinning the roulette wheel pop size times.
Each time we select a single chromosome for a new population. The roulette
wheel is a fitness-proportional selection. No matter what type of evaluation function is employed, the selection process is always stated as follows:
Algorithm 2.1 (Selection Process)
Step 1. Calculate the cumulative probability qi for each chromosome Vi ,
q0 = 0,
qi =
i
X
Eval(Vj ),
i = 1, 2, , pop size.
j=1
Step 2. Generate a random number r in (0, qpop size ].

Step 3. Select the chromosome Vi such that qi1 < r qi .
Step 4. Repeat the second and third steps pop size times and obtain
pop size copies of chromosome.
Please note that in the above selection process we do not require the
condition qpop size = 1. In fact, if we want, we can divide all qi s, i =
1, 2, , pop size, by qpop size such that qpop size = 1 and the new probabilities are also proportional to the fitnesses. However, it does not exert any
influence on the genetic process.
2.6
Crossover Operation
We define a parameter Pc of a genetic system as the probability of crossover.

This probability gives us the expected number Pc pop size of chromosomes
undergoing the crossover operation.
In order to determine the parents for crossover operation, let us do the
following process repeatedly from i = 1 to pop size: generating a random
number r from the interval [0, 1], the chromosome Vi is selected as a parent
if r < Pc . We denote the selected parents by V10 , V20 , V30 , and divide them
into the following pairs:
(V10 , V20 ),
(V30 , V40 ),
(V50 , V60 ),
Let us illustrate the crossover operator on each pair by (V10 , V20 ). At first, we
generate a random number c from the open interval (0, 1), then the crossover
operator on V10 and V20 will produce two children X and Y as follows:
X = c V10 + (1 c) V20 ,
Y = (1 c) V10 + c V20 .
(2.5)
If the feasible set is convex, this crossover operation ensures that both children
are feasible if both parents are. However, in many cases, the feasible set is not
Section 2.8 - General Procedure
13
necessarily convex, nor is it hard to verify the convexity. Thus we must check
the feasibility of each child before accepting it. If both children are feasible,
then we replace the parents with them. If not, we keep the feasible one if
it exists, and then redo the crossover operator by regenerating a random
number c until two feasible children are obtained or a given number of cycles
is finished. In this case, we only replace the parents with the feasible children.
2.7
Mutation Operation
We define a parameter Pm of a genetic system as the probability of mutation.

This probability gives us the expected number of Pm pop size of chromosomes
undergoing the mutation operations.
In a similar manner to the process of selecting parents for crossover operation, we repeat the following steps from i = 1 to pop size: generating a
random number r from the interval [0, 1], the chromosome Vi is selected as a
parent for mutation if r < Pm .
For each selected parent, denoted by V = (v1 , v2 , , vm ), we mutate it
in the following way. Let M be an appropriate large positive number. We
choose a mutation direction d in <m randomly. If V + M d is not feasible,
then we set M as a random number between 0 and M until it is feasible. If
the above process cannot find a feasible solution in a predetermined number
of iterations, then we set M = 0. Anyway, we replace the parent V with its
child
X = V + M d.
(2.6)
2.8
General Procedure
Following selection, crossover, and mutation, the new population is ready

for its next evaluation. GA will terminate after a given number of cyclic
repetitions of the above steps or a suitable solution has been found. We now
summarize the GA for optimization problems as follows.
Algorithm 2.2 (Genetic Algorithm)
Step 1. Initialize pop size chromosomes at random.
Step 2. Update the chromosomes by crossover and mutation operations.
Step 3. Calculate the objective values for all chromosomes.
Step 4. Compute the fitness of each chromosome via the objective values.
Step 5. Select the chromosomes by spinning the roulette wheel.
Step 6. Repeat the second to fifth steps for a given number of cycles.
Step 7. Report the best chromosome as the optimal solution.
Remark 2.1: It is well-known that the best chromosome does not necessarily
appear in the last generation. Thus we have to keep the best one from the
14
beginning. If we find a better one in the new population, then we replace the
old one with it. This chromosome will be reported as the optimal solution
after finishing the evolution.
2.9
Numerical Experiments
Example 2.1: Now we use GA to solve the following maximization problem,
max x1 + x2 + x3
subject to:
(2.7)
x21 + 2x22 + 3x23 1
x1 , x2 , x3 0.
We may encode a solution x = (x1 , x2 , x3 ) into a chromosome V = (v1 , v2 , v3 ),
and decode the chromosome into the solution in the following way,
x1 = v1 ,
x2 = v2 ,
x3 = v3 .
It is easy to know that the feasible coding space is contained in the following
hypercube
V = (v1 , v2 , v3 ) 0 v1 1, 0 v2 1, 0 v3 1
which is simple for the computer because we can easily sample points from
it. We may take
v1 = U(0, 1),
v2 = U(0, 1),
v3 = U(0, 1)
(2.8)
where the function U(a, b) generates uniformly distributed variables on the

interval [a, b] and will be discussed in detail later. If this chromosome is
infeasible, then we reject it and regenerate one by (2.8). If the generated
chromosome is feasible, then we accept it as one in the population. After
finite times, we can obtain 30 feasible chromosomes. A run of GA with 400
generations shows that the optimal solution is
(x1 , x2 , x3 ) = (0.636, 0.395, 0.307)
whose objective value is 1.980.
Example 2.2: GA is also able to solve the following nonlinear goal programming,
lexmin {d
1 0, d2 0, d3 0}
subject to:
3 x1 = d
4 x1 + 2x2 = d
2
x
+
2x
+
3x
1
2
3 = d3
x21 + x22 + x23 100
x1 , x2 , x3 0.
15
Section 2.9 - Numerical Experiments
We may encode a solution x = (x1 , x2 , x3 ) into a chromosome V = (v1 , v2 , v3 ),

and decode the chromosome into the solution in the following way,
x1 = v1 ,
x2 = v2 ,
x3 = v3 .
Since the feasible coding space is contained in the following hypercube
V = (v1 , v2 , v3 ) 0 v1 10, 0 v2 10, 0 v3 10 ,

we may take v1 = U(0, 10), v2 = U(0, 10), and v3 = U(0, 10), and accept it
as a chromosome if it is feasible. It is clear that we can make 30 feasible
chromosomes in finite times. A run of GA with 2000 generations shows that
the optimal solution is
(x1 , x2 , x3 ) = (9.000, 3.500, 2.597)
which satisfies the first two goals, but the last objective is 0.122.
Example 2.3: For the following bilevel programming model,
max F (x, y 1 , y 2 , , y m )
subject to:
G(x) 0
fi (x, y 1 , y 2 , , y m )
max
yi
subject to:
gi (x, y 1 , y 2 , , y m ) 0,
(2.9)
we define symbols
y i = (y 1 , , y i1 , y i+1 , , y m ),
i = 1, 2, , m.
(2.10)
For any decision x revealed by the leader, if the ith follower knows the strategies y i of other followers, then the optimal reaction of the ith follower is
represented by a mapping y i = ri (y i ), which should solve the subproblem
max f (x, y 1 , y 2 , , y m )
yi i
(2.11)
subject to:
gi (x, y 1 , y 2 , , y m ) 0.
In order to search for the Stackelberg-Nash equilibrium, Liu [172] designed
a GA to solve multilevel programming. We first compute the Nash equilibrium with respect to any decision revealed by the leader. It is clear that the
Nash equilibrium of the m followers will be the solution (y 1 , y 2 , , y m ) of
the system of equations
y i = ri (y i ),
i = 1, 2, , m.
(2.12)
16
In other words, we should find a fixed point of the vector-valued function

(r1 , r2 , , rm ). In order to solve the system of equations (2.12), we should
design some efficient algorithms. The argument breaks down into three cases.
(a) If we have explicit expressions of all functions ri , i = 1, 2, , m, then

we might get an analytic solution to the system (2.12). Unfortunately,
it is almost impossible to do this in practice.
(b) The system (2.12) might be solved by some iterative method that generates a sequence of points y k = (y k1 , y k2 , , y km ), k = 0, 1, 2, via the
iteration formula
y k+1
= ri (y ki ),
i
i = 1, 2, , m
(2.13)
where y ki = (y k1 , , y ki1 , y ki+1 , , y km ). However, generally speaking, it is not easy to verify the conditions on the convergence of the
iterative method for practical problems.
(c) If the iterative method fails to find a fixed point, we may employ GA to
solve the following minimization problem,
min R(y 1 , y 2 , , y m ) =
m
X
ky i ri (y i )k
(2.14)
i=1
If an array (y 1 , y 2 , , y m ) makes R(y 1 , y 2 , , y m ) = 0, then y i =

ri (y i ), i = 1, 2, , m and (y 1 , y 2 , , y m ) must be a solution of
(2.12). If not, then the system of equations (2.12) is inconsistent. In
other words, there is no Nash equilibrium of followers in the given bilevel
programming. Although this method can deal with general problem, it
is a slow way to find a Nash equilibrium.
After obtaining the Nash equilibrium for each given decision vector of
the leader, we may compute the objective value of the leader for each given
control vector according to the Nash equilibrium. Hence we may employ the
GA to search for the Stackelberg-Nash equilibrium.
Now we consider a bilevel programming with three followers in which the
leader has a decision vector (x1 , x2 , x3 ) and the three followers have decision
17
vector (y11 , y12 , y21 , y22 , y31 , y32 ),

y32 sin x3
y22 sin x2 + 3y31
y12 sin x1 + 2y21
max y11
x1 ,x2 ,x3
subject to:
x1 + x2 + x3 10, x1 0, x2 0, x3 0
(y
11 , y12 , y21 , y22 , y31 , y32 ) solves the problems
y11 sin y12 + y12 sin y11
ymax
11 ,y12
subject to:
y11 + y12 x1 , y11 0, y12 0
ymax
21 ,y22
subject to:
y21 + y22 x2 , y21 0, y22 0
ymax
31 ,y32
subject to:
y31 + y32 x3 , y31 0, y32 0.

A run of GA with 1000 generations shows that the Stackelberg-Nash
equilibrium is
(x1 , x2 , x3 ) = (0.000, 1.936, 8.064),
) = (0.000, 0.000),
, y12
(y11
(y21 , y22 ) = (0.968, 0.968),
) = (1.317, 6.747)
, y32
(y31
with optimal objective values

y11
y12 sin x1 + 2y21
y22 sin x2 + 3y31
y32 sin x3 = 27.822,
y11
sin y12
+ y12
sin y11
= 0.000,
y21 sin y22 + y22 sin y21 = 1.595,
y31
sin y32
+ y32
sin y31
= 7.120.
Chapter 3
Neural Networks
Neural network (NN), inspired by the current understanding of biological NN,
is a class of adaptive systems consisting of a number of simple processing elements, called neurons, that are interconnected to each other in a feedforward
way. Although NN can perform some human brain-like tasks, there is still a
huge gap between biological and artificial NN. An important contribution of
NN is the ability to learn to perform operations, not only for inputs exactly
like the training data, but also for new data that may be incomplete or noisy.
NN has also the benefit of easy modification by retraining with an updated
data set. For our purpose, the significant advantage of NN is the speed of
operation after it is trained.
3.1
Basic Concepts
The artificial neuron simulates the behavior of the biological neuron to make
a simple operation of a weighted sum of the incoming signals as
y = w0 + w1 x1 + w2 x2 + + wn xn
(3.1)
where x1 , x2 , , xn are inputs, w0 , w1 , w2 , , wn are weights, and y is output. Figure 3.1 illustrates a neuron.
In most applications, we define a memoryless nonlinear function as an
activation function to change the output to
y = (w0 + w1 x1 + w2 x2 + + wn xn ) .
(3.2)
The choice of the activation functions depends on the application area. In

this book we employ the sigmoid function defined as
(x) =
1
1 + ex
(3.3)
20
Chapter 3 - Neural Networks
w0
1 ..........................................
.....
....
w
............................
.....
x1 .................1..................................................................
....
...
.....
...
.
...
.
.
w
.
2
...
..............
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
.
................................................. y
x2
.. ...
...
...
..
.
.
...
.
.
.
.
.
...
..
.
...
....
............ ............
.....
.
..........................
.....
.....
.
.
.
.
w ...
xn .................n..................
Figure 3.1: An Artificial Neuron
whose derivative is
0 (x) =
ex
.
(1 + ex )2
(3.4)
They are shown in Figure 3.2.

0 (x)
(x)
1
0.25
..
..
......
......
. . . . . . . . . . . ....... . . . . . . . .............. . . . . . . . . . . . . . . . . . ....... . . . . . . . . . . . .
...
.
.
.
.
....
....
.
.....
...
...
....
...
...
....
... .....
...
... ...
...
... ...
...
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..
.
...
.....
...
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. . . . . . . . ..... . .... . . . . . . . . . . . . . . . . . . . . . . . . . . . .................... . . . . . . . . . .
.
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Figure 3.2: Sigmoid Function and Derivative

Let us consider an NN with one hidden layer, in which there are n neurons
in the input layer, m neurons in the output layer, and p neurons in the hidden
layer which is pictured in Figure 3.3. Then the outputs of the neurons in the
hidden layer are
n
X
0
0
, i = 1, 2, , p.
(3.5)
wij
xj + wi0
x1i =
j=1
Thus the outputs of the neurons in the output layer are

yi =
p
X
1 1
1
wij
xj + wi0
,
i = 1, 2, , m.
(3.6)
j=1
0
1
The coefficients wij
, i = 1, 2, , p, j = 0, 1, , n in (3.5) and wij
,i =
1, 2, , m, j = 0, 1, , p in (3.6) are called the network weights.
21
Section 3.3 - Neuron Number Determination
y1
y2
y3
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x1
x2
x3
x4
Output Layer
Hidden Layer
Input Layer
x5
Figure 3.3: A Neural Network
3.2
Function Approximation
NN is clearly a nonlinear mapping from the input space to the output space.
It has been proved that any continuous nonlinear function can be approximated arbitrarily well over a compact set by an NN consisting of one hidden
layer provided that there are infinite neurons in the hidden layer.
Assume that f : <n <m is a continuous nonlinear function. We hope
to train an NN to approximate the function f (x). For an NN with a fixed
number of neurons and architecture, the network weights may be arranged
into a vector w. Let F (x, w) be the output of mapping implemented by the
NN.
The training process is to find an appropriate weight vector w that provides the best possible approximation of f (x). Let {(xi , y i )|i = 1, 2, , N }
be a set of training input-output data on f (x). We wish to choose a weight
vector w so that the output F (x, w) is close to the desired output y i for
the input xi . That is, the training process is to find the weight vector w
that minimizes the following error function,
1X
kF (xi , w) y i k2 .
2 i=1
N
Err(w) =
3.3
(3.7)
Neuron Number Determination
Since the function f is a mapping from <n to <m , the number of input
neurons is always n, and the number of output neurons is always m. Thus
the main problem is to determine the best number of hidden neurons.
22
Although any continuous function can be approximated with an arbitrary

accuracy by an NN with infinite neurons in the hidden layer, it is practically
impossible to have infinite hidden neurons. On the one hand, too few hidden
neurons make the NN lack of generalization ability. On the other hand,
too many hidden neurons increase the training time and response time of
the trained NN. A lot of methods have been proposed for determining the
number of hidden neurons, some add hidden neurons, and other delete hidden
neurons during the training process.
3.4
Backpropagation Algorithm
The values of the weights represent all memory of the NN. During the training
phase of an NN, the values of weights are continuously updated by the training process until some termination criterion is met. In other words, learning
in NN is a modification process of the values of weights so as to bring the
mapping implemented by the NN as close as possible to a desired mapping.
It may also be viewed as an optimization problem of selecting weights to
minimize the error between the target output and the actual output.
Backpropagation algorithm is an effective learning algorithm. It is essentially a gradient method. Here we introduce the backpropagation algorithm for the NN with one hidden layer. Assume that there are N samples
(xk1 , xk2 , , xkn ; yk1

, yk2
, , ykm
) for k = 1, 2, , N .
1
We first initialize the weight vector w at random, set wij
= 0 for i =
0
1, 2, , m, j = 0, 1, , p, wij = 0 for i = 1, 2, , p and j = 0, 1, , n,
and the adaptive parameter = 1. Then we adjust the weights by an on-line
learning process. When the k-th sample is used, the outputs of the hidden
neurons are
n
X
0
0
, i = 1, 2, , p,
x1ki =
wij
xkj + wi0
j=1
and the outputs of the NN are

yki =
p
X
1 1
1
wij
xkj + wi0
,
i = 1, 2, , m.
j=1
In order to speed up the learning process, we use an improved error function

Ek =
1 X
(yki yki )2 + (1 )(yki

yki )
2 i=1
(3.8)
where (x) = ln(cosh(x))/ and is a constant, for example, = 4/3.

Thus the equations for weight change are given as follows: For the hidden1
output weights wij
, i = 1, 2, , m, j = 0, 1, , p, we have
1
wij

Ek
1
1 1
1
1 + wij = Ci xkj + wij
wij
(3.9)
23
where
Ci1 = (yki
yki ) + (1 ) tanh((yki
yki )),
x1k0 = 1.
0
For the input-hidden weights wij
, i = 1, 2, , p, j = 0, 1, , n, we have
0
wij

where
Ek
0
0
0
0 + wij = Ci xkj + wij
wij
2 X
1
Ci0 = 1 x1ki
Cl1 wli
,
(3.10)
xk0 = 1,
l=1
and are numbers between 0 and 1, for example, = 0.05, = 0.01.

After training the NN one time over all input-output data, we calculate
the total error E = E1 + E2 + + EN . If the error E is less than a
predetermined precision E0 (for example, 0.05), then the NN is considered
trained well. Otherwise, we set = exp(1/E 2 ) and repeat the learning
process until E < E0 .
Algorithm 3.1 (Backpropagation Algorithm)
Step 1. Initialize weight vector w, and set = 1 and k = 0.
Step 2. k k + 1.
Step 3. Adjust the weight vector w according to (3.9) and (3.10).
Step 4. Calculate the error Ek according to (3.8).
Step 5. If k < N , go to Step 2.
Step 6. Set E = E1 + E2 + + EN .
Step 7. If E > E0 , then k = 0, = exp(1/E 2 ) and go to Step 2.
Step 8. End.
3.5
The NN architecture used in this section is the network with one hidden layer
which is pictured in Figure 3.3. The NN will be used for approximating some
continuous functions.
Example 3.1: Let us design an NN to approximate the continuous function,
f (x1 , x2 , x3 , x4 ) = sin x1 + sin x2 + sin x3 + sin x4
defined on [0, 2]4 . In order to approximate the function f (x1 , x2 , x3 , x4 )
by an NN, we generate 3000 input-output data. Then we train an NN (4
input neurons, 10 hidden neurons, 1 output neuron) by the backpropagation
algorithm. The sum-squared error of the trained NN is 0.51, and the average
error is 0.01.
24
Example 3.2: Consider the vector-valued continuous function,
x1 ln x2 + x2 ln x3
f (x1 , x2 , x3 , x4 , x5 , x6 ) = x3 ln x4 + x4 ln x5
x5 ln x6 + x6 ln x1
defined on the region [1, 5]6 . We generate 3000 training data for the function
f (x). Then we train an NN (6 input neurons, 15 hidden neurons, 3 output
neurons) to approximate the function. A run of backpropagation algorithm
shows that the sum-squared error of the trained NN is 6.16, and the average
error is 0.05.
Example 3.3: Consider the function
f (x1 , x2 , x3 , x4 ) =
x1
x2
x3
x4
+
+
+
1 + x1
1 + x2
1 + x3
1 + x4
defined on [0, 2]. Assume that the input-output data for the function f (x)
are randomly generated on [0, 2] with a uniformly distributed noise U(a, a),
where U(a, a) represents the uniformly distributed variable on the interval
[a, a]. That is, for each input x, the output y = f (x) + U(a, a).
We produce 2000 input-output data {(xi , yi )|i = 1, 2, , 2000} with
noise U(a, a) for the function f (x). The backpropagation algorithm may
obtain an NN (4 input neurons, 6 hidden neurons, 1 output neuron) to approximate the function f (x) according to the noise data.
Let F (x, w ) be the output of mapping implemented by the NN. We
generate 1000 test noise data {(xi , yi )|i = 2001, 2002, , 3000}, then we
have the errors shown in Table 3.1.
Table 3.1: Sum-Squared Errors
Noise
U(0.05, 0.05)
U(0.10, 0.10)
U(0.20, 0.20)
U(0.30, 0.30)
U(0.40, 0.40)
3000
1 X
|F (xi , w ) f (xi )|2
2 i=2001
0.362
1.333
4.208
7.306
14.74
3000
1 X
|y f (xi )|2
2 i=2001 i
0.389
1.643
6.226
14.01
24.90
Note that the errors in the first column are less than that in the second
column. This means that the trained NN can compensate for the error of the
noise training data.
Chapter 4
Stochastic Programming
With the requirement of considering randomness, different types of stochastic
programming have been developed to suit the different purposes of management. The first type of stochastic programming is the expected value model,
which optimizes the expected objective functions subject to some expected
constraints. The second, chance-constrained programming, was pioneered by
Charnes and Cooper [39] as a means of handling uncertainty by specifying a confidence level at which it is desired that the stochastic constraint
holds. After that, Liu [176] generalized chance-constrained programming to
the case with not only stochastic constraints but also stochastic objectives.
In practice, there usually exist multiple events in a complex stochastic decision system. Sometimes the decision-maker wishes to maximize the chance
functions of satisfying these events. In order to model this type of problem,
Liu [168] provided a theoretical framework of the third type of stochastic
programming, called dependent-chance programming.
This chapter will give some basic concepts of probability theory and introduce stochastic programming. A hybrid intelligent algorithm is also documented.
4.1
Random Variable
Definition 4.1 Let be a nonempty set, and A a -algebra of subsets (called

events) of . The set function Pr is called a probability measure if
(Axiom 1) Pr{} = 1;
(Axiom 2) Pr{A} 0 for any A A;
(Axiom 3) for every countable sequence of mutually disjoint events {Ai }
i=1 ,
we have
( )
X
[
Pr{Ai }.
(4.1)
Pr
Ai =
i=1
i=1
26
Chapter 4 - Stochastic Programming
Definition 4.2 Let be a nonempty set, A a -algebra of subsets of , and

Pr a probability measure. Then the triplet (, A, Pr) is called a probability
space.
Let (i , Ai , Pri ), i = 1, 2, , n be probability spaces, and = 1
2 n , A = A1 A2 An . Note that the probability measures
Pri , i = 1, 2, , n are finite. It has been proved that there is a unique
measure Pr on A such that
Pr{A1 A2 An } = Pr1 {A1 } Pr2 {A2 } Prn {An }
for any Ai Ai , i = 1, 2, , n. The measure Pr is also a probability measure
since
Pr{} = Pr1 {1 } Pr2 {2 } Prn {n } = 1.
Such a probability measure is called the product probability measure, denoted
by Pr = Pr1 Pr2 Prn . Thus a product probability space may be
defined as follows.
Definition 4.3 Let (i , Ai , Pri ), i = 1, 2, , n be probability spaces, and
= 1 2 n , A = A1 A2 An , Pr = Pr1 Pr2 Prn .
Then the triplet (, A, Pr) is called the product probability space.
Definition 4.4 A random variable is a measurable function from a probability space (, A, Pr) to the set of real numbers.
An n-dimensional random vector is defined as a measurable function from
a probability space (, A, Pr) to the set of n-dimensional real vectors. It has
been proved that (1 , 2 , , n ) is a random vector if and only if 1 , 2 , , n
are random variables.
Definition 4.5 (Random Arithmetic) Let f : <n < be a measurable
function, and i random variables defined on probability spaces (i , Ai , Pri ),
i = 1, 2, , n, respectively. Then = f (1 , 2 , , n ) is a random variable
on the product probability space (, A, Pr), defined by
(1 , 2 , , n ) = f (1 (1 ), 2 (2 ), , n (n ))
(4.2)
for all (1 , 2 , , n ) .
Example 4.1: Let 1 and 2 be random variables on the probability spaces
(1 , A1 , Pr1 ) and (2 , A2 , Pr2 ), respectively. Then their sum and product
are defined by
(1 + 2 )(1 , 2 ) = 1 (1 ) + 2 (2 ),
for any (1 , 2 ) 1 2 .
(1 2 )(1 , 2 ) = 1 (1 ) 2 (2 )
27
Section 4.1 - Random Variable
Definition 4.6 The probability distribution : < [0, 1] of a random variable is defined by
(x) = Pr () x .
(4.3)
That is, (x) is the probability that the random variable takes a value less
than or equal to x.
Theorem 4.1 (Sufficient and Necessary Condition for Probability Distribution) A function : < [0, 1] is a probability distribution if and only if it is
an increasing and right-continuous function with
lim (x) = 0;
lim (x) = 1.
x+
(4.4)
Definition 4.7 The probability density function : < [0, +) of a random variable is a function such that
Z x
(x) =
(y)dy
(4.5)
holds for all x <, where is the probability distribution of the random
variable .
Uniform Distribution: A random variable has a uniform distribution if
its probability density function is defined by
1 , if a x b
ba
(x) =
(4.6)
0,
otherwise
denoted by U(a, b), where a and b are given real numbers with a < b.
Exponential Distribution: A random variable has an exponential distribution if its probability density function is defined by
1 exp x , if x 0
(x) =
(4.7)
0,
otherwise
denoted by EX P(), where is a positive number.
Normal Distribution: A random variable has a normal distribution if
its probability density function is defined as:
1
(x )2
(x) = exp
, x<
(4.8)
2 2
2
denoted by N (, 2 ), where and are real numbers.
28
Definition 4.8 The random variables 1 , 2 , , m are said to be independent if

m
Y
Pr{i Bi , i = 1, 2, , m} =
Pr{i Bi }
(4.9)
i=1
for any Borel sets B1 , B2 , , Bm of real numbers.

Definition 4.9 Let be a random variable. Then the expected value of is
defined by
Z +
Z 0
E[] =
Pr{ r}dr
Pr{ r}dr
(4.10)
provided that at least one of the two integrals is finite.

Let and be random variables with finite expected values. For any
numbers a and b, it has been proved that E[a + b] = aE[] + bE[]. That
is, the expected value operator has the linearity property.
Theorem 4.2 Let be a random variable whose probability density function
exists. If the Lebesgue integral
Z +
x(x)dx
is finite, then we have
x(x)dx.
E[] =
(4.11)
Example 4.2: Let be a uniformly distributed variable on the interval [a, b].
Then its expected value is (a + b)/2.
Example 4.3: Let be an exponentially distributed variable EX P(). Then
its expected value is .
Example 4.4: Let be a normally distributed variable N (, 2 ). Then its
expected value is .
Definition 4.10 Let be a random variable, and (0, 1]. Then

sup () = sup r Pr { r}
(4.12)
is called the -optimistic value of ; and

inf () = inf r Pr { r}
(4.13)
is called the -pessimistic value of .
Section 4.1 - Random Variable
29
Let and be two random variables. Different from the situation of

real numbers, there does not exist a natural ordership in a random world.
Thus an important problem appearing in this area is how to rank random
variables. Here we give four ranking criteria.
Expected Value Criterion: We say > if and only if E[] > E[], where
E is the expected value operator of random variables.
Optimistic Value Criterion: We say > if and only if, for some predetermined confidence level (0, 1], we have sup () > sup (), where sup ()
and sup () are the -optimistic values of and , respectively.
Pessimistic Value Criterion: We say > if and only if, for some predetermined confidence level (0, 1], we have inf () > inf (), where inf ()
and inf () are the -pessimistic values of and , respectively.
Probability Criterion: We say > if and only if Pr { r} > Pr { r}
for some predetermined level r.
Random number generation is a very important issue in Monte Carlo
simulation. Generally, let be a random variable with a probability distribution (). Since () is an increasing function, the inverse function 1 ()
is defined on [0, 1]. Assume that u is a uniformly distributed variable on the
interval [0, 1]. Then we have
Pr 1 (u) y = Pr {u (y)} = (y)
(4.14)
which proves that the variable = 1 (u) has the probability distribution
(). In order to get a random variable with probability distribution (),
we can produce a uniformly distributed variable u from the interval [0, 1],
and is assigned to be 1 (u). The above process is called the inverse
transform method. But for the main known distributions, instead of using the
inverse transform method, we have direct generating processes. For detailed
expositions, interested readers may consult Fishman [67], Law and Kelton
[153], Bratley et al. [24], Rubinstein [260], and Liu [183]. Here we give some
generating methods for probability distributions frequently used in this book.
The subfunction of generating pseudorandom numbers has been provided
by the C library for any type of computer, defined as
int rand(void)
which produces a pseudorandom integer between 0 and RAND MAX, where
RAND MAX is defined in stdlib.h as 215 1. Thus the uniform distribution,
exponential distribution, and normal distribution can be generated by the
following way:
Algorithm 4.1 (Uniform Distribution U(a, b))
Step 1. u = rand( ).
Step 2. u u/RAND MAX.
30
Step 3. Return a + u(b a).
Algorithm 4.2 (Exponential Distribution EX P())

Step 1. Generate u from U(0, 1).
Step 2. Return ln(u).
Algorithm 4.3 (Normal Distribution N (, 2 ))

Step 1. Generate 1 and 2 from U(0, 1).
1
Step 2. y = [2 ln(1 )] 2 sin(22 ).

Step 3. Return + y.
4.2
Expected Value Model
The first type of stochastic programming is the so-called expected value model
(EVM), which optimizes some expected objective function subject to some
expected constraints, for example, minimizing expected cost, maximizing expected profit, and so forth.
Now let us recall the well-known newsboy problem in which a boy operating a news stall has to determine the number x of newspapers to order
in advance from the publisher at a cost of $c/newspaper every day. It is
known that the selling price is $a/newspaper. However, if the newspapers
are not sold at the end of the day, then the newspapers have a small value of
$b/newspaper at the recycling center. Assume that the demand for newspapers is denoted by in a day, then the number of newspapers at the end of
the day is clearly x if x > , or 0 if x . Thus the profit of the newsboy
should be
(
(a c)x,
if x
f (x, ) =
(b c)x + (a b), if x > .
In practice, the demand for newspapers is usually a stochastic variable,
so is the profit function f (x, ). Since we cannot predict how profitable
the decision of ordering x newspapers will actually be, a natural idea is
to employ the expected profit E[f (x, )]. The newsboy problem is related
to determining the optimal integer number x of newspapers such that the
expected profit E[f (x, )] achieves the maximal value, i.e.,
max E[f (x, )]

subject to:
x 0, integer.
31
Section 4.2 - Expected Value Model
This is a typical example of EVM. We will introduce general EVM in this

section.
Generally, if we want to find the decision with maximum expected return
subject to some expected constraints, then we have the following EVM,
max E[f (x, )]

subject to:
(4.15)
E[gj (x, )] 0, j = 1, 2, , p
where x is a decision vector, is a stochastic vector, f (x, ) is the return
function, gj (x, ) are stochastic constraint functions for j = 1, 2, , p.
Definition 4.11 A solution x is feasible if and only if E[gj (x, )] 0, j =
1, 2, , p. A feasible solution x is an optimal solution to EVM (4.15) if
E[f (x , )] E[f (x, )] for any feasible solution x.
In many cases, there are multiple objectives. Thus we have to employ the
following expected value multiobjective programming (EVMOP),
max E[f1 (x, )], E[f2 (x, )], , E[fm (x, )]
subject to:
(4.16)
E[gj (x, )] 0, j = 1, 2, , p
where fi (x, ) are return functions for i = 1, 2, , m.
Definition 4.12 A feasible solution x is said to be a Pareto solution to
EVMOP (4.16) if there is no feasible solution x such that
E[fi (x, )] E[fi (x , )],
i = 1, 2, , m
(4.17)
and E[fj (x, )] > E[fj (x , )] for at least one index j.

We can also formulate a stochastic decision system as an expected value
goal programming (EVGP) according to the priority structure and target
levels set by the decision-maker:
l
m
min P Pj P (uij d+ 0 + vij d 0)
i
i
x j=1 i=1
subject to:
(4.18)
E[fi (x, )] bi = d+
i , i = 1, 2, , m
bi E[fi (x, )] = d
i , i = 1, 2, , m
E[gj (x, )] 0,
j = 1, 2, , p
32

i, d
0
is
the
negative
i
in goal constraints, gj is a function in real constraints, bi is the target value
according to goal i, l is the number of priorities, m is the number of goal
constraints, and p is the number of real constraints.
4.3
Chance-Constrained Programming
As the second type of stochastic programming developed by Charnes and

Cooper [39], chance-constrained programming (CCP) offers a powerful means
of modeling stochastic decision systems with assumption that the stochastic
constraints will hold at least of time, where is referred to as the confidence level provided as an appropriate safety margin by the decision-maker.
After that, Liu [176] generalized CCP to the case with not only stochastic
constraints but also stochastic objectives.
Assume that x is a decision vector, is a stochastic vector, f (x, ) is a return function, and gj (x, ) are stochastic constraint functions, j = 1, 2, , p.
Since the stochastic constraints gj (x, ) 0, j = 1, 2, , p do not define a
deterministic feasible set, it is desired that the stochastic constraints hold
with a confidence level . Thus we have a chance constraint as follows,
Pr {gj (x, ) 0, j = 1, 2, , p}
(4.19)
which is called a joint chance constraint.

Definition 4.13 A point x is called feasible if and only if the probability
measure of the event {gj (x, ) 0, j = 1, 2, , p} is at least .
In other words, the constraints will be violated at most (1 ) of time.
Sometimes, the joint chance constraint is separately considered as
Pr{gj (x, ) 0} j ,
j = 1, 2, , p
(4.20)
which is referred to as a separate chance constraint.

Maximax Chance-Constrained Programming
In a stochastic environment, in order to maximize the optimistic return with
a given confidence level subject to some chance constraint, Liu [176] gave the
following CCP:
max f
subject to:
(4.21)
Pr f (x, ) f
Pr {gj (x, ) 0, j = 1, 2, , p}
Section 4.3 - Chance-Constrained Programming
33
where and are the predetermined confidence levels. The CCP model
(4.21) is called a maximax model because it is equivalent to
max max f
x f
subject to:
Pr f (x, ) f
Pr {gj (x, ) 0, j = 1, 2, , p}
(4.22)
which is more clearly a maximax model, where max f is the -optimistic

return.
In practice, we may have multiple objectives. Thus we have to employ
the following chance-constrained multiobjective programming (CCMOP),
max f 1 , f 2 , , f m
subject to:
(4.23)
Pr fi (x, ) f i i , i = 1, 2, , m
Pr {gj (x, ) 0} j , j = 1, 2, , p
where 1 , 2 , , p , 1 , 2 , , m are the predetermined confidence levels.
The CCMOP (4.23) is essentially equivalent to the model
"
#
max max f 1 , max f 2 , , max f m
f1
f2
fm
x
subject to:
(4.24)
Pr fi (x, ) f i i , i = 1, 2, , m
Pr {gj (x, ) 0} j , j = 1, 2, , p
where max f i are the i -optimistic values to the ith return functions fi (x, ),
i = 1, 2, , m, respectively.
Sometimes, we may formulate a stochastic decision system as a chanceconstrained goal programming (CCGP) according to the priority structure
and target levels set by the decision-maker:
l
m
P
P
min
Pj
(u d+ 0 + vij d
i 0)
x j=1 i=1 ij i
subject to:
(4.25)
Pr fi (x, ) bi d+
i+ , i = 1, 2, , m
Pr bi fi (x, ) d
i , i = 1, 2, , m
Pr {gj (x, ) 0} j ,
j = 1, 2, , p
34
corresponding to positive deviation for goal i with priority j assigned, vij is

the weighting factor corresponding to negative deviation for goal i with pri+
ority j assigned, d+
i 0 is the i -optimistic positive deviation from the target
of goal i, di 0 is the i -optimistic negative deviation from the target of goal

i, fi is a function in goal constraints, gj is a function in system constraints,
bi is the target value according to goal i, l is the number of priorities, m is
the number of goal constraints, and p is the number of system constraints.
Remark 4.1: In a deterministic goal programming, at most one of positive deviation and negative deviation takes a positive value. However, for a
CCGP, it is possible that both of them are positive.
Minimax Chance-Constrained Programming

In a stochastic environment, in order to maximize the pessimistic return with
a given confidence level subject to some chance constraint, Liu [183] provided
the following minimax CCP model:
max min f
x f
subject to:
Pr f (x, ) f
Pr {gj (x, ) 0, j = 1, 2, , p}
(4.26)
where and are the given confidence levels, and min f is the -pessimistic
return.
If there are multiple objectives, then we may employ the following minimax CCMOP,
#
"
max min f 1 , min f 2 , , min f m
f1
f2
fm
x
subject to:
Pr fi (x, ) f i i , i = 1, 2, , m
Pr {gj (x, ) 0} j , j = 1, 2, , p
(4.27)
where j and i are confidence levels, and min f i are the i -pessimistic values
to the return functions fi (x, ), i = 1, 2, , m, j = 1, 2, , p, respectively.
We can also formulate a stochastic decision system as a minimax CCGP
35
according to the priority structure and target levels set by the decision-maker:
!#
!
"
l
m
P
P
di 0
max di 0 + vij max
u
min
P
x j=1 j i=1 ij d+
i
i
subject to:
(4.28)
Pr fi (x, ) bi d+
i+ , i = 1, 2, , m
Pr bi fi (x, ) d
i , i = 1, 2, , m
Pr {gj (x, ) 0} j ,
j = 1, 2, , p
+
i 0 is the i -pessimistic positive deviation from the
target of goal i, di 0 is the i -pessimistic negative deviation from the

target of goal i, fi is a function in goal constraints, gj is a function in system
constraints, bi is the target value according to goal i, l is the number of priorities, m is the number of goal constraints, and p is the number of system
constraints.
Deterministic Equivalents
The traditional solution methods require conversion of the chance constraints
to their respective deterministic equivalents. As we know, this process is
usually hard to perform and only successful for some special cases. Let us
consider the following form of chance constraint,
Pr {g(x, ) 0} .
(4.29)
It is clear that
(a) the chance constraints (4.20) are a set of form (4.29);
(b) the stochastic objective constraint Pr{f (x, ) f } coincides with
the form (4.29) by defining g(x, ) = f f (x, );
(c) the stochastic objective constraint Pr{f (x, ) f } coincides with
the form (4.29) by defining g(x, ) = f (x, ) f ;
(d) the stochastic goal constraints Pr{bf (x, ) d } and Pr{f (x, )
b d+ } coincide with the form (4.29) by defining g(x, ) =
b f (x, ) d and g(x, ) = f (x, ) b d+ , respectively; and
(e) the stochastic goal constraints Pr{bf (x, ) d } and Pr{f (x, )
b d+ } coincide with the form (4.29) by defining g(x, ) =
f (x, ) + d b and g(x, ) = b f (x, ) + d+ , respectively.
36
This section summarizes some known results.

Theorem 4.3 Assume that the stochastic vector degenerates to a random
variable with probability distribution , and the function g(x, ) has the
form g(x, ) = h(x). Then Pr {g(x, ) 0} if and only if h(x) K ,
where K is the maximal number such that Pr {K } .
Proof: The assumption implies that Pr {g(x, ) 0} can be written in
the following form,
Pr {h(x) } .
(4.30)
For each given confidence level (0 < 1), let K be the maximal number
(maybe multiple or +) such that
Pr {K } .
(4.31)
Note that the probability Pr{K } will increase if K is replaced with a

smaller number. Hence Pr {h(x) } if and only if h(x) K .
Remark 4.2: For a continuous random variable , the equation Pr {K } =
1 (K ) always holds, and we have, by (4.31),
K = 1 (1 )
(4.32)
where 1 is the inverse function of .

Example 4.5: Assume that we have the following chance constraint,
(
Pr {3x1 + 4x2 1 } 0.8
(4.33)
Pr x21 x32 2 0.9
where 1 is an exponentially distributed variable EX P(2) whose probability distribution is denoted by 1 , and 2 is a normally distributed variable
N (2, 1) whose probability distribution is denoted by 2 . It follows from
Theorem 4.3 that the chance constraint (4.33) is equivalent to
(
3x1 + 4x2 1
1 (1 0.8) = 0.446
x21 x32 1
2 (1 0.9) = 0.719.
Theorem 4.4 Assume that the stochastic vector = (a1 , a2 , , an , b) and
the function g(x, ) has the form g(x, ) = a1 x1 + a2 x2 + + an xn b. If
ai and b are assumed to be independently normally distributed variables, then
Pr {g(x, ) 0} if and only if
v
u n
n
X
uX
1
E[ai ]xi + ()t
V [ai ]x2i + V [b] E[b]
(4.34)
i=1
i=1
where is the standardized normal distribution.
37
Proof: The chance constraint Pr {g(x, ) 0} can be written in the

following form,
( n
)
X
Pr
ai xi b .
(4.35)
i=1
Since ai and b are assumed to be independently normally distributed variables, the quantity
n
X
ai xi b
y=
i=1
is also normally distributed with the following expected value and variance,
E[y] =
V [y] =
n
P
E[ai ]xi E[b],
i=1
n
P
i=1
V [ai ]x2i + V [b].
P
ai xi b
E[ai ]xi E[b]
i=1
i=1
s
n
P
V [ai ]x2i + V [b]
We note that
n
P
i=1
Pn
must be standardized normally distributed. Since the inequality i=1 ai xi
b is equivalent to
n
n
n
P
P
P
ai xi b
E[ai ]xi E[b]
E[ai ]xi E[b]
i=1
i=1
s
si=1
,
n
n
P
P
V [ai ]x2i + V [b]
V [ai ]x2i + V [b]
i=1
i=1
the chance constraint (4.35) is equivalent to
n
P
E[ai ]xi E[b]
i=1
Pr s
n
P
V [ai ]xi + V [b]
(4.36)
i=1
where is the standardized normally distributed variable. Then the chance

constraint (4.36) holds if and only if
n
P
1
() s
E[ai ]xi E[b]
i=1
n
P
i=1
.
V
[ai ]x2i
+ V [b]
(4.37)
38
That is, the deterministic equivalent of chance constraint is (4.34). The

theorem is proved.
Example 4.6: Suppose that the chance constraint set has the following
form,
Pr {a1 x1 + a2 x2 + a2 x3 b} 0.95
(4.38)
where a1 , a2 , a3 , and b are normally distributed variables N (1, 1), N (2, 1),
N (3, 1), and N (4, 1), respectively. Then the formula (4.34) yields the deterministic equivalent of (4.38) as follows,
q
x1 + 2x2 + 3x3 + 1.645 x21 + x22 + x23 + 1 4
by the fact that 1 (0.95) = 1.645.
4.4
Dependent-Chance Programming
In practice, there usually exist multiple events in a complex stochastic decision system. Sometimes, the decision-maker wishes to maximize the probabilities of meeting these events. In order to model this type of stochastic
decision system, Liu [168] provided the third type of stochastic programming,
called dependent-chance programming (DCP), in which the underlying philosophy is based on selecting the decision with maximal chance to meet the
event.
DCP theory breaks the concept of feasible set and replaces it with uncertain environment. Roughly speaking, DCP involves maximizing chance
functions of events in an uncertain environment. In deterministic model,
EVM, and CCP, the feasible set is essentially assumed to be deterministic
after the real problem is modeled. That is, an optimal solution is given
regardless of whether it can be performed in practice. However, the given
solution may be impossible to perform if the realization of uncertain parameter is unfavorable. Thus DCP theory never assumes that the feasible set
is deterministic. In fact, DCP is constructed in an uncertain environment.
This special feature of DCP is very different from the other existing types of
stochastic programming. However, such problems do exist in the real world.
In this section, we introduce the concepts of uncertain environment, event,
and chance function, and discuss the principle of uncertainty, thus offering
a spectrum of DCP models. We will take a supply system, represented by
Figure 4.1 as the background.
As an illustrative example, in Figure 4.1 there are 3 inputs representing
3 locations of resources and 4 outputs representing the demands of 4 users.
We must answer the following supply problem: What is the appropriate
combination of resources such that certain goals of supply are achieved?
In order to obtain the appropriate combination of resources for the supply
problem, we use 12 decision variables x1 , x2 , , x12 to represent an action,
39
Section 4.4 - Dependent-Chance Programming
................
...
................
...
input1 ....................................................... ................................................................................................................................................................................................................................................................... ....................................................... output1

.
...
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.
.
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.
.
.
.
.
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.
.
.
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.
.
.
.
.
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.
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......
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.
.
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.
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.
.
..... ....... ........................................................................... .......... .............. .............
.
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.... ...... .................................................................. ......... .......... .............. ..............
.......
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.
.........................................................................
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............................................. ......
......... .........
.
.
.
.
.
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.... .....................................................
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.
............................................
...........................................
............................................................................................................................................................
.... .....
.... ......
...........
..........
...
input2
input3
output2
output3
output4
Figure 4.1: A Supply System

where x1 , x2 , x3 , x4 are quantities ordered from input1 to outputs 1,2,3,4
respectively; x5 , x6 , x7 , x8 from input2 ; x9 , x10 , x11 , x12 from input3 . In practice, some variables may vanish due to some physical constraints.
We note that the inputs are available outside resources. Thus they have
their own properties. For example, the capacities of resources are finite. Let
1 , 2 , 3 be the maximum quantities supplied by the three resources. Then
we have the following constraint,
+
+
+
x1 + x+
2 + x3 + x4 1
x+ + x+ + x+ + x+
2
5
6
7
8
+
+
+
x+
+
x
+
x
+
x
9
10
11
12
xi 0, i = 1, 2, , 12
(4.39)
which represents that the quantities ordered from the resources are nonnegative and cannot exceed the maximum quantities, where x+
i represents xi if
xi takes positive value, and vanishes otherwise. This means that the decision
variable xi = 0 must be able to perform for any realization of stochastic
resources.
If at least one of 1 , 2 , and 3 is really stochastic, then the constraint
(4.39) is uncertain because we cannot make a decision such that it can be
performed certainly before knowing the realization of 1 , 2 , and 3 . We will
call this type of constraint the uncertain environment, and in this case the
stochastic environment.
Definition 4.14 By uncertain environment we mean the following stochastic
constraint,
gj (x, ) 0, j = 1, 2, , p,
(4.40)
where x is a decision vector, and is a stochastic vector.
In the supply system, we should satisfy the demands of the 4 users, marked
40
by c1 , c2 , c3 , and c4 . Then we have the following four events:

x1 + x5 + x9 = c1 , x2 + x6 + x10 = c2 ,
x3 + x7 + x11 = c3 , x4 + x8 + x12 = c4 .
These equalities mean that the decision should satisfy the demands of users.
Generally, an event is defined as follows.
Definition 4.15 By event we mean a system of stochastic inequalities,
hk (x, ) 0,
k = 1, 2, , q
(4.41)
where x is a decision vector, and is a stochastic vector.

In view of the uncertainty of this system, we are not sure whether a decision can be performed before knowing the realization of stochastic variables.
Thus we wish to employ the following chance functions to evaluate these four
events,
f1 (x) = Pr{x1 + x5 + x9 = c1 }, f2 (x) = Pr{x2 + x6 + x10 = c2 },
f3 (x) = Pr{x3 + x7 + x11 = c3 }, f4 (x) = Pr{x4 + x8 + x12 = c4 },
subject to the uncertain environment (4.39).
Definition 4.16 The chance function of an event E characterized by (4.41)
is defined as the probability measure of the event, i.e.,
f (x) = Pr {hk (x, ) 0, k = 1, 2, , q}
(4.42)

Usually, we hope to maximize the four chance functions f1 (x), f2 (x),
f3 (x) and f4 (x). Here we remind the reader once more that the events like
x1 + x5 + x9 = c1 do possess uncertainty because they are in an uncertain
environment. Any event is uncertain if it is in an uncertain environment!
This is an important law in the uncertain world. In fact, the randomness
of the event is caused by the stochastic parameters 1 , 2 , 3 , and 4 in the
uncertain environment.
Until now we have formulated a stochastic programming model for the
supply problem in an uncertain environment as follows,
max f1 (x) = Pr{x1 + x5 + x9 = c1 }
max f2 (x) = Pr{x2 + x6 + x10 = c2 }
max f3 (x) = Pr{x3 + x7 + x11 = c3 }
max f4 (x) = Pr{x4 + x8 + x12 = c4 }

subject to:
(4.43)
+
+
+
+
x1 + x2 + x3 + x4 1
+
+
+
x+
5 + x6 + x7 + x8 2
+
+
+
x9 + x10 + x11 + x+
12 3
xi 0, i = 1, 2, , 12
41
where 1 , 2 , and 3 are stochastic variables. In this stochastic programming model, some variables (for example, x1 , x2 , x3 , x4 ) are stochastically
dependent because they share a common uncertain resource 1 . This also
implies that the chance functions are stochastically dependent. We will call
the stochastic programming (4.43) dependent-chance programming (DCP).
Principle of Uncertainty
How do we compute the chance function of an event E in an uncertain environment? In order to answer this question, we first give some definitions.
Definition 4.17 Let r(x1 , x2 , , xn ) be an n-dimensional function. The
ith decision variable xi is said to be degenerate if
r(x1 , , xi1 , x0i , xi+1 , , xn ) = r(x1 , , xi1 , x00i , xi+1 , , xn )
for any x0i and x00i ; otherwise it is nondegenerate.
For example, r(x1 , x2 , x3 , x4 , x5 ) = (x1 + x3 )/x4 is a 5-dimensional function. The variables x1 , x3 , x4 are nondegenerate, but x2 and x5 are degenerate.
Definition 4.18 Let E be an event hk (x, ) 0, k = 1, 2, , q. The support of the event E, denoted by E , is defined as the set consisting of all
nondegenerate decision variables of functions hk (x, ), k = 1, 2, , q.
For example, let x = (x1 , x2 , , x12 ) be a decision vector, and let E be
an event characterized by x1 + x5 + x9 = c1 and x2 + x6 + x10 = c2 . It is clear
that x1 , x5 , x9 are nondegenerate variables of the function x1 + x5 + x9 , and
x2 , x6 , x10 are nondegenerate variables of the function x2 + x6 + x10 . Thus
the support E of the event E is {x1 , x2 , x5 , x6 , x9 , x10 }.
Definition 4.19 The jth constraint gj (x, ) 0 is called an active constraint of the event E if the set of nondegenerate decision variables of gj (x, )
and the support E have nonempty intersection; otherwise it is inactive.
Definition 4.20 Let E be an event hk (x, ) 0, k = 1, 2, , q in the uncertain environment gj (x, ) 0, j = 1, 2, , p. The dependent support of
the event E, denoted by E , is defined as the set consisting of all nondegenerate decision variables of hk (x, ), k = 1, 2, , q and gj (x, ) in the active
constraints to the event E.
Remark 4.3: It is obvious that E E holds.
Definition 4.21 The jth constraint gj (x, ) 0 is called a dependent constraint of the event E if the set of nondegenerate decision variables of gj (x, )
and the dependent support E have nonempty intersection; otherwise it is independent.
42
Remark 4.4: An active constraint must be a dependent constraint.

Definition 4.22 Let E be an event hk (x, ) 0, k = 1, 2, , q in the uncertain environment gj (x, ) 0, j = 1, 2, , p. For each decision x and
realization , the event E is said to be consistent in the uncertain environment if the following two conditions hold: (i) hk (x, ) 0, k = 1, 2, , q;
and (ii) gj (x, ) 0, j J, where J is the index set of all dependent constraints.
Intuitively, an event can be met by a decision provided that the decision
meets both the event itself and the dependent constraints. We conclude it
with the following principle of uncertainty.
Principle of Uncertainty: The chance of a random event is the probability
that the event is consistent in the uncertain environment.
Assume that there are m events Ei characterized by hik (x, ) 0, k =
1, 2, , qi for i = 1, 2, , m in the uncertain environment gj (x, ) 0, j =
1, 2, , p. The principle of uncertainty implies that the chance function of
the ith event Ei in the uncertain environment is
h (x, ) 0, k = 1, 2, , qi
(4.44)
fi (x) = Pr ik
gj (x, ) 0, j Ji
where Ji are defined by
Ji = j {1, 2, , p} gj (x, ) 0 is a dependent constraint of Ei

for i = 1, 2, , m.
Remark 4.5: The principle of uncertainty is the basis of solution procedure
of DCP that we shall encounter throughout the remainder of the book. However, the principle of uncertainty does not apply in all cases. For example,
consider an event x1 6 in the uncertain environment x1 x2 1 , x2 x3
2 , x3 3 . It follows from the principle of uncertainty that the chance of
the event is Pr{x1 6, x1 x2 1 , x2 x3 2 }, which is clearly wrong
because the realization of x3 3 must be considered. Fortunately, such a
case does not exist in real-life problems.
General Models
In this section, we consider the single-objective DCP. A typical DCP is represented as maximizing the chance function of an event subject to an uncertain
environment,
max Pr {hk (x, ) 0, k = 1, 2, , q}

subject to:
(4.45)
gj (x, ) 0, j = 1, 2, , p
43
where x is an n-dimensional decision vector, is a random vector of parameters, the system hk (x, ) 0, k = 1, 2, , q represents an event E, and the
constraints gj (x, ) 0, j = 1, 2, , p are an uncertain environment.
DCP (4.45) reads as maximizing the probability of the random event
hk (x, ) 0, k = 1, 2, , q subject to the uncertain environment gj (x, )
0, j = 1, 2, , p.
We now go back to the supply system. Assume that there is only one
event E that satisfies the demand c1 of output1 (i.e., x1 + x5 + x9 = c1 ). If
we want to find a decision x with maximum probability to meet the event E,
then we have the following DCP model,
max Pr{x1 + x5 + x9 = c1 }
subject
to:
+
+
+
x1 + x+
2 + x3 + x4 1
+
+
+
x+
5 + x6 + x7 + x8 2
+
+
+
x+
9 + x10 + x11 + x12 3
xi 0, i = 1, 2, , 12.
(4.46)
It is clear that the support of the event E is E = {x1 , x5 , x9 }. If x1 6=

0, x5 6= 0, x9 6= 0, then the uncertain environment is
x1 + x2 + x3 + x4 1
x5 + x6 + x7 + x8 2
x9 + x10 + x11 + x12 3
xi 0, i = 1, 2, , 12.
Thus the dependent support E = {x1 , x2 , , x12 }, and all constraints are
dependent constraints. It follows from the principle of uncertainty that the
chance function of the event E is
x1 + x5 + x9 = c1
x1 + x2 + x3 + x4 1
f (x) = Pr x5 + x6 + x7 + x8 2
.
x
+
x
+
x
+
x
10
11
12
3
xi 0, i = 1, 2, , 12
If x1 = 0, x5 6= 0, x9 6= 0, then the uncertain environment is
0 + x2 + x3 + x4 1
x5 + x6 + x7 + x8 2
x9 + x10 + x11 + x12 3
xi 0, i = 1, 2, , 12.
Thus the dependent support E = {x5 , x6 , , x12 }. It follows from the
44
principle of uncertainty that the chance function of the event E is
x1 + x5 + x9 = c1
x5 + x6 + x7 + x8 2
f (x) = Pr
.
x9 + x10 + x11 + x12 3
xi 0, i = 5, 6, , 12
Similarly, if x1 6= 0, x5 = 0, x9 6= 0, then the chance function of the event E
is
x1 + x5 + x9 = c1
x1 + x2 + x3 + x4 1
f (x) = Pr
.
x9 + x10 + x11 + x12 3
xi 0, i = 1, 2, 3, 4, 9, 10, 11, 12
If x1 6= 0, x5 6= 0, x9 = 0, then the chance function of the event E is
x1 + x5 + x9 = c1
x1 + x2 + x3 + x4 1
f (x) = Pr
.
x5 + x6 + x7 + x8 2
xi 0, i = 1, 2, , 8
If x1 = 0, x5 = 0, x9 6= 0, then the chance function of the event E is
x1 + x5 + x9 = c1
f (x) = Pr x9 + x10 + x11 + x12 3 .
xi 0, i = 9, 10, , 12
If x1 = 0, x5 6= 0, x9 = 0, then the chance function of the event E is
x1 + x5 + x9 = c1
f (x) = Pr x5 + x6 + x7 + x8 2 .
xi 0, i = 5, 6, , 8
If x1 6= 0, x5 = 0, x9 = 0, then the chance function of the event E is
x1 + x5 + x9 = c1
f (x) = Pr x1 + x2 + x3 + x4 1 .
xi 0, i = 1, 2, , 4
Note that the case x1 = x5 = x9 = 0 is impossible because c1 6= 0. It follows
that DCP (4.46) is equivalent to the unconstrained model max f (x).
Since a complex decision system usually undertakes multiple events, there
undoubtedly exist multiple potential objectives (some of them are chance
functions) in a decision process. A typical formulation of dependent-chance
multiobjective programming (DCMOP) is represented as maximizing multi-
45
Section 4.5 - Hybrid Intelligent Algorithm
ple chance functions subject to an uncertain environment,
Pr {h1k (x, ) 0, k = 1, 2, , q1 }
Pr {h2k (x, ) 0, k = 1, 2, , q2 }
max

Pr {hmk (x, ) 0, k = 1, 2, , qm }
subject to:
gj (x, ) 0, j = 1, 2, , p
(4.47)
where hik (x, ) 0, k = 1, 2, , qi represent events Ei for i = 1, 2, , m,

respectively.
It follows from the principle of uncertainty that we can construct a relationship between decision vectors and chance functions, thus calculating the
chance functions by stochastic simulations or traditional methods. Then we
can solve DCMOP by utility theory if complete information of the preference function is given by the decision-maker or search for all of the efficient
solutions if no information is available. In practice, the decision-maker can
provide only partial information. In this case, we have to employ the interactive methods.
When some management targets are given, the objective function may
minimize the deviations, positive, negative, or both, with a certain priority
structure set by the decision-maker. Then we may formulate the stochastic decision system as the following dependent-chance goal programming
(DCGP),
l
m
P
P
min
P
(u d+ 0 + vij d
j
i 0)
x j=1 i=1 ij i
subject to:
Pr {hik (x, ) 0, k = 1, 2, , qi } bi = d+
i ,
i = 1, 2, , m
bi Pr {hik (x, ) 0, k = 1, 2, , qi } = d
i , i = 1, 2, , m
gj (x, ) 0,
j = 1, 2, , p
where Pj is the preemptive priority factor, uij is the weighting factor corresponding to positive deviation for goal i with priority j assigned, vij is the
weighting factor corresponding to negative deviation for goal i with priority
j assigned, d+
i 0 is the positive deviation from the target of goal i, di 0
is the negative deviation from the target of goal i, bi is the target value according to goal i, l is the number of priorities, and m is the number of goal
constraints.
4.5
Hybrid Intelligent Algorithm
From the mathematical viewpoint, there is no difference between deterministic mathematical programming and stochastic programming except for the
46
fact that there exist uncertain functions in the latter. If the uncertain functions can be converted to their deterministic forms, then we can obtain equivalent deterministic models. However, generally speaking, we cannot do so. It
is thus more convenient to deal with them by stochastic simulations. Essentially, there are three types of uncertain functions in stochastic programming
as follows:
U1 : x E[f (x, )],
U2 : x Pr {gj (x, ) 0, j = 1, 2, , p} ,

U3 : x max f Pr f (x, ) f .
(4.48)
In order to compute the uncertain function U1 (x), we generate k from

according to the probability measure Pr and produce (k ) for k = 1, 2, , N .
Equivalently, we generate random vectors (k ) according to the probability
distribution for k = 1, 2, , N . It follows from the strong law of large
numbers that
N
P
f (x, (k ))
k=1
U1 (x), a.s.
(4.49)
N
P
N
as N . Therefore, the value U1 (x) is estimated by N1
k=1 f (x, (k ))
provided that N is sufficiently large.
Algorithm 4.4 (Stochastic Simulation for U1 (x))
Step 1. Set e = 0.
Step 2. Generate from according to the probability measure Pr. Equivalently, we generate a random vector () according to its probability distribution.
Step 3. e e + f (x, ()).
Step 4. Repeat the second and third steps N times.
Step 5. U1 (x) = e/N .
Let N 0 denote the number of occasions on which gj (x, (k )) 0, j =
1, 2, , p for k = 1, 2, , N (i.e., the number of random vectors satisfying the system of inequalities). Let us define
(
1, if gj (x, (k )) 0, j = 1, 2, , p
h(x, (k )) =
0, otherwise.
PN
Then we have E[h(x, (k ))] = U2 (x) for all k, and N 0 = k=1 h(x, (k )).
It follows from the strong law of large numbers that
N
P
0
N
=
N
h(x, (k ))
k=1
47
converges a.s. to U2 (x). Thus U2 (x) can be estimated by N 0 /N provided

that N is sufficiently large.
Step 1. Set N 0 = 0.
Step 2. Generate from according to the probability measure Pr. Equivalently, we generate a random vector () according to its probability distribution.
Step 3. If gj (x, ()) 0 for j = 1, 2, , p, then N 0 N 0 + 1.
Step 4. Repeat the second and third steps N times.
Step 5. U2 (x) = N 0 /N .
Now we define
(
1, if f (x, (k )) f
h(x, (k )) =
0, otherwise
for k = 1, 2, , N , which are random variables, and E[h(x, (k ))] = for
all k. By the strong law of large numbers, we obtain
N
P
h(x, (k ))
k=1
a.s.
PN
as N . Note that the sum
k=1 h(x, (k )) is just the number of
(k ) satisfying f (x, (k )) f for k = 1, 2, , N . Thus f is just the N 0 th
largest element in the sequence {f (x, (1 )), f (x, (2 )), , f (x, (N ))},
where N 0 is the integer part of N .
Step 1. Generate 1 , 2 , , N from according to the probability measure Pr.
Equivalently, we generate random vectors
(1 ), (2 ), , (N ) according to its probability distribution.
Step 2. Set fi = f (x, (k )) for k = 1, 2, , N .
Step 3. Set N 0 as the integer part of N .
Step 4. Return the N 0 th largest element in {f1 , f2 , , fN } as U3 (x).
Although stochastic simulations are able to compute the uncertain functions, we need relatively simple functions to approximate the uncertain functions because the stochastic simulations are a time-consuming process. In
order to speed up the solution process, neural network (NN) is employed to
approximate uncertain functions due to the following reasons: (i) NN has the
48
ability to approximate the uncertain functions by using the training data; (ii)
NN can compensate for the error of training data (all input-output data obtained by stochastic simulation are clearly not precise); and (iii) NN has the
high speed of operation after they are trained.
Liu [183] integrated stochastic simulation, NN and GA to produce a hybrid intelligent algorithm for solving stochastic programming models.
Algorithm 4.7 (Hybrid Intelligent Algorithm)
Step 1. Generate training input-output data for uncertain functions like
U1 : x E[f (x, )],
U2 : x Pr {gj (x, ) 0, j = 1, 2, , p} ,

U3 : x max f Pr f (x, ) f
by the stochastic simulation.
Step 2. Train a neural network to approximate the uncertain functions according to the generated training input-output data.
Step 3. Initialize pop size chromosomes whose feasibility may be checked
by the trained neural network.
Step 4. Update the chromosomes by crossover and mutation operations in
which the feasibility of offspring may be checked by the trained
neural network.
Step 5. Calculate the objective values for all chromosomes by the trained
neural network.
Step 6. Compute the fitness of each chromosome according to the objective
values.
Step 8. Repeat the fourth to seventh steps for a given number of cycles.
4.6
In order to illustrate its effectiveness, a set of numerical examples has been

done, and the results are successful. Here we give some numerical examples
which are all performed on a personal computer with the following parameters: the population size is 30, the probability of crossover Pc is 0.3, the
probability of mutation Pm is 0.2, and the parameter a in the rank-based
evaluation function is 0.05.
49
Example 4.7: Now we consider the following EVM,

hp
i
2 + (x )2 + (x )2
(x
)
min
E
1
1
2
2
3
3
subject
to:
x21 + x22 + x23 10

where 1 is a uniformly distributed variable U(1, 2), 2 is a normally distributed variable N (3, 1), and 3 is an exponentially distributed variable
EX P(4).
In order to solve this model, we generate input-output data for the uncertain function
hp
i
(x1 1 )2 + (x2 2 )2 + (x3 3 )2
U : (x1 , x2 , x3 ) E
by stochastic simulation. Then we train an NN (3 input neurons, 5 hidden
neurons, 1 output neuron) to approximate the uncertain function U . After
that, the trained NN is embedded into a GA to produce a hybrid intelligent
algorithm.
A run of the hybrid intelligent algorithm (3000 cycles in simulation, 2000
data in NN, 300 generations in GA) shows that the optimal solution is
(x1 , x2 , x3 ) = (1.1035, 2.1693, 2.0191)
Example 4.8: Let us consider the following CCP in which there are three
decision variables and nine stochastic parameters,
max f
subject to:
Pr 1 x1 + 2 x2 + 3 x3 f 0.90
Pr 1 x21 + 2 x22 + 3 x23 8 0.80
3
3
3
15
0.85
+
x
+
x
Pr
x
3
2
1
3
2
1
x1 , x2 , x3 0
where 1 , 1 , and 1 are uniformly distributed variables U(1, 2), U(2, 3), and
U(3, 4), respectively, 2 , 2 , and 2 are normally distributed variables N (1, 1),
N (2, 1), and N (3, 1), respectively, and 3 , 3 , and 3 are exponentially distributed variables EX P(1), EX P(2), and EX P(3), respectively,
We employ stochastic simulation to generate input-output data for the
uncertain function U : x (U1 (x), U2 (x), U3 (x)), where
U1 (x) = max f Pr 1 x1 + 2 x2 + 3 x3 f 0.90 ,
U2 (x) = Pr 1 x21 + 2 x22 + 3 x23 8 ,
U3 (x) = Pr 1 x31 + 2 x32 + 3 x33 15 .
50
Then we train an NN (3 input neurons, 15 hidden neurons, 3 output neurons)

to approximate the uncertain function U . Finally, we integrate the trained
NN and GA to produce a hybrid intelligent algorithm.
training data in NN, 1000 generations in GA) shows that the optimal solution
is
(x1 , x2 , x3 ) = (1.458, 0.490, 0.811)
with objective value f = 2.27.

Example 4.9: Let us now turn our attention to the following DCGP,
lexmin d
1 0, d2 0, d3 0
subject to:
0.92 Pr{x1 + x24 = 4} = d
+
x
=
3}
=
d
0.85
Pr{x
6
2
2
0.85 Pr{x23 + x25 + x27 = 2} = d

3
x
+
x
+
x
1
2
3
1
x4 + x5 2
6 + x7 3
xi 0, i = 1, 2, , 7
where 1 , 2 , and 3 are uniformly distributed variable U[3, 5], normally distributed variable N (3.5, 1), and exponentially distributed variable EX P(9),
respectively.
In the first priority level, there is only one event E1 which will be fulfilled
by x1 + x24 = 4. It is clear that the support E1 = {x1 , x4 } and the dependent
support E1 = {x1 , x2 , x3 , x4 , x5 }. Thus the dependent constraints of E1 are
x1 + x2 + x3 1 ,
x4 + x5 2 ,
x1 , x2 , x3 , x4 , x5 0.
It follows from the principle of uncertainty that the chance function f1 (x) of
E1 is
x1 + x24 = 4
x1 + x2 + x3 1
.
f1 (x) = Pr
x4 + x5 2
x1 , x2 , x3 , x4 , x5 0
At the second priority level, there is an event E2 which will be fulfilled
by x22 + x6 = 3. The support E2 = {x2 , x6 } and the dependent support
E2 = {x1 , x2 , x3 , x6 , x7 }. Thus the dependent constraints of E2 are
x1 + x2 + x3 1 ,
x6 + x7 3 ,
x1 , x2 , x3 , x6 , x7 0.
51
The principle of uncertainty implies that the chance function f2 (x) of the
event E2 is
2
x2 + x6 = 3
x1 + x2 + x3 1
.
f2 (x) = Pr
x6 + x7 3
x1 , x2 , x3 , x6 , x7 0
At the third priority level, there is an event E3 which will be fulfilled
by x23 + x25 + x27 = 2. The support E3 = {x3 , x5 , x7 } and the dependent
support E3 includes all decision variables. Thus all constraints are dependent
constraints of E3 . It follows from the principle of uncertainty that the chance
function f3 (x) of the event E3 is
2
x3 + x25 + x27 = 2
x1 + x2 + x3 1
.
f3 (x) = Pr x4 + x5 2
x
+
x
6
7
3
x1 , x2 , x3 , x4 , x5 , x6 , x7 0
We encode a solution into a chromosome V = (v1 , v2 , v3 , v4 ), and decode
a chromosome into a feasible solution in the following way,
x1 = v1 , x2 = v2 , x3 = v3 , x4 = 4 v1 ,
p
x5 = v4 , x6 = 3 v22 , x7 = 2 v32 v42 .
We first employ stochastic simulation to generate input-output data for
the uncertain function U : (v1 , v2 , v3 , v4 ) (f1 (x), f2 (x), f3 (x)). Then we
train an NN (4 input neurons, 10 hidden neurons, 3 output neurons) to
approximate it. Finally, we embed the trained NN into a GA to produce a
hybrid intelligent algorithm.
x = (0.1180, 1.7320, 0.1491, 1.9703, 0.0000, 0.0000, 1.4063)
which can satisfy the first two goals, but the third objective is 0.05.
Chapter 5
Fuzzy Programming
Fuzzy programming offers a powerful means of handling optimization problems with fuzzy parameters. Fuzzy programming has been used in different
ways in the past. Liu and Liu [186] presented a concept of expected value
operator of fuzzy variable and provided a spectrum of fuzzy expected value
models which optimize the expected objective functions subject to some expected constraints. In addition, Liu and Iwamura [170][171] introduced a
spectrum of fuzzy maximax chance-constrained programming, and Liu [173]
constructed a spectrum of fuzzy minimax chance-constrained programming
in which we assume that the fuzzy constraints will hold with a credibility
level. Liu [174] provided the fuzzy dependent-chance programming theory in
order to maximize the chance functions of satisfying some events.
5.1
Fuzzy Variable
Let us first introduce the concept of fuzzy set initialized by Zadeh [326] in
1965: A fuzzy subset A of a universal set U is defined by its membership
function which assigns to each element x U a real number (x) in the
interval [0, 1], where the value of (x) at x represents the grade of membership
Thus, the nearer the value of (x) is unity, the higher the grade
of x in A.
of membership of x in A.
Fuzzy set theory has been well developed and applied in a wide variety of
real problems. In order to measure a fuzzy event, Zadeh [329] proposed the
concept of possibility measure in 1978. Although possibility measure has been
widely used, it is not self-dual. However, a self-dual measure is absolutely
needed in both theory and practice. In order to define a self-dual measure,
Liu and Liu [186] presented the concept of credibility measure in 2002. In
addition, a sufficient and necessary condition for credibility measure was given
by Li and Liu [163]. Credibility theory was founded by Liu [188] in 2004 as
a branch of mathematics for studying the behavior of fuzzy phenomena.
54
Chapter 5 - Fuzzy Programming
Let be a nonempty set, and P() the power set of . Each element
in P() is called an event. In order to present an axiomatic definition of
credibility, it is necessary to assign to each event A a number Cr{A} which
indicates the credibility that A will occur. In order to ensure that the number
Cr{A} has certain mathematical properties which we intuitively expect a
credibility to have, we accept the following five axioms:
Axiom 1. Cr{} = 1.
Axiom 2. Cr is increasing, i.e., Cr{A} Cr{B} whenever A B.
Axiom 3. Cr is self-dual, i.e., Cr{A} + Cr{Ac } = 1 for any A P().
Axiom 4. Cr {i Ai } 0.5 = supi Cr{Ai } for any {Ai } with Cr{Ai } 0.5.
Axiom 5. Let k be nonempty sets on which Crk satisfy the first four
axioms, k = 1, 2, , n, respectively, and = 1 2 n . Then
Cr{(1 , 2 , , n )} = Cr1 {1 } Cr2 {2 } Crn {n }
(5.1)
for each (1 , 2 , , n ) .
Definition 5.1 (Liu and Liu [186]) The set function Cr is called a credibility
measure if it satisfies the first four axioms.
Theorem 5.1 Let be a nonempty set, P() the power set of , and Cr the
credibility measure. Then Cr{} = 0 and 0 Cr{A} 1 for any A P().
Definition 5.2 Let be a nonempty set, P() the power set of , and Cr
a credibility measure. Then the triplet (, P(), Cr) is called a credibility
space.
Theorem 5.2 (Product Credibility Theorem) Suppose that k are nonempty
sets, Crk the credibility measures on P(k ), k = 1, 2, , n, respectively. Let
= 1 2 n . Then Cr = Cr1 Cr2 Crn defined by Axiom 5
has a unique extension to a credibility measure on P() as follows,
sup
min Crk {k },
(1 ,2 ,n )A 1kn
if
sup
min Crk {k } < 0.5
(1 ,2 ,,n )A 1kn
Cr{A} =
(5.2)
1
sup
min Crk {k },
(1 ,2 ,,n )Ac 1kn
if
sup
min Crk {k } 0.5
1kn
(1 ,2 ,,n )A
for each A P().

Definition 5.3 Let (k , P(k ), Crk ), k = 1, 2, , n be credibility spaces,
= 1 2 n and Cr = Cr1 Cr2 Crn . Then (, P(), Cr)
is called the product credibility space of (k , P(k ), Crk ), k = 1, 2, , n.
Section 5.1 - Fuzzy Variable
55
Definition 5.4 A fuzzy variable is defined as a function from a credibility

space (, P(), Cr) to the set of real numbers.
An n-dimensional fuzzy vector is defined as a function from a credibility
space (, P(), Cr) to the set of n-dimensional real vectors. It has been
proved that (1 , 2 , , n ) is a fuzzy vector if and only if 1 , 2 , , n are
fuzzy variables.
Definition 5.5 (Fuzzy Arithmetic) Let f : <n < be a function, and i
fuzzy variables defined on credibility spaces (i , P(i ), Cri ), i = 1, 2, , n,
respectively. Then = f (1 , 2 , , n ) is a fuzzy variable defined on the
product credibility space (, P(), Cr) as
(1 , 2 , , n ) = f (1 (1 ), 2 (2 ), , n (n ))
(5.3)
for any (1 , 2 , , n ) .
Definition 5.6 Let be a fuzzy variable defined on the credibility space
(, P(), Cr). Then its membership function is derived from the credibility
measure by
(x) = (2Cr{ = x}) 1, x <.
(5.4)
Theorem 5.3 (Sufficient and Necessary Condition for Membership Function) A function : < [0, 1] is a membership function if and only if
sup (x) = 1.
Theorem 5.4 (Credibility Inversion Theorem) Let be a fuzzy variable with
membership function . Then for any set B of real numbers, we have
1
Cr{ B} =
(5.5)
sup (x) + 1 sup (x) .
2 xB
xB c
By an equipossible fuzzy variable on [a, b] we mean the fuzzy variable
whose membership function is given by
(
1, if a x b
(x) =
0, otherwise.
By a triangular fuzzy variable we mean the fuzzy variable fully determined by
the triplet (r1 , r2 , r3 ) of crisp numbers with r1 < r2 < r3 , whose membership
function is given by
xr
1
, if r1 x r2
2
1
x r3
(x) =
, if r2 x r3
r2 r3
0,
otherwise.
56
By a trapezoidal fuzzy variable we mean the fuzzy variable fully determined

by quadruplet (r1 , r2 , r3 , r4 ) of crisp numbers with r1 < r2 < r3 < r4 , whose
membership function is given by
xr
1
, if r1 x r2
2
1
1,
if r2 x r3
(x) =
x r4
, if r3 x r4
r
3 r4
0,
otherwise.
Definition 5.7 Let be a fuzzy variable with membership function . Then
its -level set is

(5.6)
= x x <, (x) .
Definition 5.8 (Liu [183]) The credibility distribution : < [0, 1] of a
fuzzy variable is defined by
(x) = Cr () x .
(5.7)
That is, (x) is the credibility that the fuzzy variable takes a value less
than or equal to x.
Theorem 5.5 (Liu [188], Sufficient and Necessary Condition for Credibility
Distribution) A function : < [0, 1] is a credibility distribution if and only
if it is an increasing function with
lim (x) 0.5 lim (x),
lim (y) = (x) if lim (y) > 0.5 or (x) 0.5.

yx
yx
(5.8)
(5.9)
Definition 5.9 (Liu [183]) The credibility density function : < [0, +)
of a fuzzy variable is a function such that
Z x
(x) =
(y)dy, x <,
(5.10)
(y)dy = 1
(5.11)
where is the credibility distribution of the fuzzy variable .

The independence of fuzzy variables has been discussed by many authors
from different angles, for example, Zadeh [329], Nahmias [236], Yager [314],
Liu [188], and Liu and Gao [191]. A lot of equivalence conditions of independence are presented. Here we use the condition given by Liu and Gao
[191].
57
Definition 5.10 The fuzzy variables 1 , 2 , , m are said to be independent

if
(m
)
\
{i Bi } = min Cr {i Bi }
(5.12)
Cr
1im
i=1
for any sets B1 , B2 , , Bm of real numbers.

Theorem 5.6 (Extension Principle of Zadeh) Let 1 , 2 , , n be independent fuzzy variables with membership functions 1 , 2 , , n , respectively,
and f : <n < a function. Then the membership function of =
f (1 , 2 , , n ) is derived from the membership functions 1 , 2 , , n by
(x) =
sup
min i (xi ).
x=f (x1 ,x2 ,,xn ) 1in
(5.13)
Remark 5.1: The extension principle of Zadeh is only applicable to the

operations on independent fuzzy variables. In the past literature, the extension principle is used as a postulate. However, it is treated as a theorem in
credibility theory.
Example 5.1: By using Theorem 5.6, we may verify that the sum of trapezoidal fuzzy variables = (a1 , a2 , a3 , a4 ) and = (b1 , b2 , b3 , b4 ) is also a
trapezoidal fuzzy variable, and + = (a1 + b1 , a2 + b2 , a3 + b3 , a4 + b4 ).
The product of a trapezoidal fuzzy variable = (a1 , a2 , a3 , a4 ) and a scalar
number is
(
(a1 , a2 , a3 , a4 ), if 0
=
(a4 , a3 , a2 , a1 ), if < 0.
That is, the product of a trapezoidal fuzzy variable and a scalar number is
also a trapezoidal fuzzy variable.
Expected value operator of random variable plays an extremely important
role in probability theory. For fuzzy variables, there are many ways to define
an expected value operator, for example, Dubois and Prade [59], Heilpern
[95], Campos and Gonz
alez [32], Gonzalez [90] and Yager [310][317]. The most
general definition of expected value operator of fuzzy variable was given by
Liu and Liu [186]. This definition is not only applicable to continuous fuzzy
variables but also discrete ones.
Definition 5.11 (Liu and Liu [186]) Let be a fuzzy variable. Then the
expected value of is defined by
Z
Cr{ r}dr
E[] =
0
Cr{ r}dr
(5.14)
58
Example 5.2: Let be an equipossible fuzzy variable on [a, b]. Then its
expected value is E[] = (a + b)/2.
Example 5.3: The triangular fuzzy variable = (r1 , r2 , r3 ) has an expected
value
1
E[] = (r1 + 2r2 + r3 ).
4
Example 5.4: The expected value of a trapezoidal fuzzy variable =
(r1 , r2 , r3 , r4 ) is
1
E[] = (r1 + r2 + r3 + r4 ).
4
Example 5.5: The definition of expected value operator is also applicable
to discrete case. Assume that is a simple fuzzy variable whose membership
function is given by
1 , if x = a1
2 , if x = a2
(x) =
m , if x = am .
Without loss of generality, suppose that a1 , a2 , , am are distinct. Definition 5.11 implies that the expected value of is
E[] =
m
X
wi ai
(5.15)
i=1
where the weights wi , i = 1, 2, , m are given by
1
wi =
max {k |ak ai } max {k |ak < ai }
1km
2 1km
+ max {k |ak ai } max {k |ak > ai }

1km
1km
for i = 1, 2, , m. It is easy to verify that all wi 0 and the sum of all

weights is just 1.
Theorem 5.7 (Liu [183]) Let be a fuzzy variable whose credibility density
function exists. If the Lebesgue integral
Z +
x(x)dx
is finite, then we have
E[] =
x(x)dx.
(5.16)
59
Definition 5.12 (Liu [183]) Let be a fuzzy variable, and (0, 1]. Then

sup () = sup r Cr { r}
(5.17)
is called the -optimistic value to ; and

inf () = inf r Cr { r}
(5.18)
is called the -pessimistic value to .

Example 5.6: Let be an equipossible fuzzy variable on [a, b]. Then its
-optimistic and -pessimistic values are
(
(
b, if 0.5
a, if 0.5
sup () =
inf () =
a, if > 0.5,
b, if > 0.5.
Example 5.7: Let = (r1 , r2 , r3 ) be a triangular fuzzy variable. Then its
-optimistic and -pessimistic values are
(
2r2 + (1 2)r3 ,
if 0.5
sup () =
(2 1)r1 + (2 2)r2 , if > 0.5,
(
inf () =
(1 2)r1 + 2r2 ,
if 0.5
(2 2)r2 + (2 1)r3 , if > 0.5.
Example 5.8: Let = (r1 , r2 , r3 , r4 ) be a trapezoidal fuzzy variable. Then

its -optimistic and -pessimistic values are
(
2r3 + (1 2)r4 ,
if 0.5
sup () =
(2 1)r1 + (2 2)r2 , if > 0.5,
(
inf () =
(1 2)r1 + 2r2 ,
if 0.5
(2 2)r3 + (2 1)r4 , if > 0.5.
Let and be two fuzzy variables. Different from the situation of real
numbers, there does not exist a natural ordership in a fuzzy world. Thus
an important problem appearing in this area is how to rank fuzzy variables.
Here we give four ranking criteria.
E is the expected value operator of fuzzy variable.
Optimistic Value Criterion: We say > if and only if, for some predetermined confidence level (0, 1], we have sup () > sup (), where sup ()
and sup () are the -optimistic values of and , respectively.
60
Pessimistic Value Criterion: We say > if and only if, for some predetermined confidence level (0, 1], we have inf () > inf (), where inf ()
and inf () are the -pessimistic values of and , respectively.
Credibility Criterion: We say > if and only if Cr { r} > Cr { r}
for some predetermined level r.
5.2
Assume that x is a decision vector, is a fuzzy vector, f (x, ) is a return

function, and gj (x, ) are constraint functions, j = 1, 2, , p. Let us examine
the following fuzzy programming,
max f (x, )
subject to:
(5.19)
gj (x, ) 0, j = 1, 2, , p.
Similar to stochastic programming, the model (5.19) is not well-defined because (i) we cannot maximize the fuzzy quantity f (x, ) (just like that we
cannot maximize a random quantity), and (ii) the constraints gj (x, )
0, j = 1, 2, , p do not produce a crisp feasible set.
Unfortunately, the form of fuzzy programming like (5.19) appears frequently in the literature. Fuzzy programming is a class of mathematical
models. Different from fashion or building models, everyone should have
the same understanding of the same mathematical model. In other words,
a mathematical model must have an unambiguous explanation. The form
(5.19) does not have mathematical meaning because it has different interpretations.
In order to obtain the decision with maximum expected return, Liu and
Liu [186] provided a spectrum of fuzzy expected value model (EVM),
max E[f (x, )]

subject to:
(5.20)
E[gj (x, )] 0, j = 1, 2, , p
where x is a decision vector, is a fuzzy vector, f (x, ) is the return function,
and gj (x, ) are the constraint functions, j = 1, 2, , p.
In many cases, we may have multiple return functions. Thus we have to
employ fuzzy expected value multiobjective programming (EVMOP),
max [E[f1 (x, )], E[f2 (x, )], , E[fm (x, )]]
subject to:
(5.21)
E[gj (x, )] 0, j = 1, 2, , p
where fi (x, ) are return functions, i = 1, 2, , m.
61
In order to balance the multiple conflicting objectives, we may employ

the following fuzzy expected value goal programming (EVGP),
l
m
P
P
Pj
min
(uij d+
i 0 + vij di 0)
j=1
i=1
subject to:
(5.22)
E[fi (x, )] bi = d+
i , i = 1, 2, , m
bi E[fi (x, )] = d
i , i = 1, 2, , m
E[gj (x, )] 0,
j = 1, 2, , p
i, d
i 0 is the negative deviation from the target of goal i, fi is a function
5.3
In this section, we will introduce a spectrum of fuzzy maximax chanceconstrained programming (CCP) constructed by Liu and Iwamura [170][171]
and fuzzy minimax CCP proposed by Liu [173].
Chance Constraints
Assume that x is a decision vector, is a fuzzy vector, f (x, ) is a return
function, and gj (x, ) are constraint functions, j = 1, 2, , p. Since the
fuzzy constraints gj (x, ) 0, j = 1, 2, , p do not define a deterministic
feasible set, a natural idea is to provide a confidence level at which it is
desired that the fuzzy constraints hold. Thus we have a chance constraint as
follows,
Cr {gj (x, ) 0, j = 1, 2, , p} .
(5.23)
Sometimes, we may employ the following separate chance constraints,
Cr {gj (x, ) 0} j ,
j = 1, 2, , p
(5.24)
where j are confidence levels for j = 1, 2, , p.

Liu and Iwamura [170][171] suggested a spectrum of fuzzy CCP models.
When we want to maximize the optimistic return, we have the following
62
fuzzy CCP,
max f
subject to:
Cr f (x, ) f
Cr {gj (x, ) 0, j = 1, 2, , p}
(5.25)
where and are the predetermined confidence levels. The CCP (5.25) is
called a maximax model because it is equivalent to
max max f
x f
subject to:
Cr
f
(x,
)
Cr {gj (x, ) 0, j = 1, 2, , p}
(5.26)
which is more clearly a maximax model, where max f is the -optimistic

return.
If there are multiple objectives, then we have the chance-constrained multiobjective programming (CCMOP),
max f 1 , f 2 , , f m
subject to:
Cr fi (x, ) f i i , i = 1, 2, , m
Cr{gj (x, ) 0} j ,
j = 1, 2, , p
(5.27)
where 1 , 2 , , p , 1 , 2 , , m are the predetermined confidence levels.

The fuzzy CCMOP (5.27) is equivalent to the maximax form
"
#
f1
f2
fm
x
subject to:
Cr fi (x, ) f i i , i = 1, 2, , m
Cr{gj (x, ) 0} j ,
j = 1, 2, , p
(5.28)
where max f i are the i -optimistic values to the return functions fi (x, ),
We can also formulate the fuzzy decision system as a minimin chanceconstrained goal programming (CCGP) according to the priority structure
63
and target levels set by the decision-maker:
l
m
P
P
min
P
(u d+ 0 + vij d
j
i 0)
x j=1 i=1 ij i
subject to:
Cr
f
(x,
)
d
i+ , i = 1, 2, , m
i
i
Cr bi fi (x, ) d
i , i = 1, 2, , m
Cr {gj (x, ) 0} j ,
j = 1, 2, , p
(5.29)
corresponding to positive deviation for goal i with priority j assigned, vij is
the weighting factor corresponding to negative deviation for goal i with pri+
ority j assigned, d+
i 0 is the i -optimistic positive deviation from the target
of goal i, di 0 is the i -optimistic negative deviation from the target of

goal i, fi is a function in goal constraints, gj is a function in real constraints,
bi is the target value according to goal i, l is the number of priorities, m is
the number of goal constraints, p is the number of real constraints.
In fact, maximax CCP models are essentially a type of optimistic models
which maximize the maximum possible return. This section introduces a
spectrum of minimax CCP constructed by Liu [173], which will select the
alternative that provides the best of the worst possible return.
If we want to maximize the pessimistic return, then we have the following
minimax CCP,
max min f
x f
subject to:
(5.30)
Cr f (x, ) f
Cr {gj (x, ) 0, j = 1, 2, , p}
where min f is the -pessimistic return.
If there are multiple objectives, we may employ the following minimax
CCMOP,
"
#
f1
f2
fm
x
(5.31)
subject to:
Cr fi (x, ) f i i , i = 1, 2, , m
Cr {gj (x, ) 0} j , j = 1, 2, , p
64
where j and i are confidence levels, and min f i are the i -pessimistic values
to the return functions fi (x, ), i = 1, 2, , m, respectively.
According to the priority structure and target levels set by the decisionmaker, the minimax CCGP is written as follows,
!
!#
"
l
m
P
P
di 0
max di 0 + vij max
u
min
P
x j=1 j i=1 ij d+
i
i
subject to:
(5.32)
Cr fi (x, ) bi d+
i+ , i = 1, 2, , m
Cr bi fi (x, ) d
i , i = 1, 2, , m
Cr {gj (x, ) 0} j ,
j = 1, 2, , p
+
i 0 is the i -pessimistic positive deviation from the
target of goal i, di 0 is the i -pessimistic negative deviation from the

target of goal i, bi is the target value according to goal i, l is the number of
priorities, and m is the number of goal constraints.
Crisp Equivalents
One way of solving fuzzy CCP is to convert the chance constraint
Cr {g(x, ) 0}
(5.33)
into its crisp equivalent and then solve the equivalent crisp model by the
traditional solution process. Please note that
(a) the system constraints Cr{gj (x, ) 0} j , j = 1, 2, , p are a set of
form (5.33);
(b) the objective constraint Cr{f (x, ) f } coincides with the form
(5.33) by defining g(x, ) = f f (x, );
(c) the fuzzy constraint Cr{f (x, ) f } coincides with the form (5.33)
by defining g(x, ) = f (x, ) f ;
(d) Cr{b f (x, ) d } and Cr{f (x, ) b d+ } coincide with
the form (5.33) by defining g(x, ) = b f (x, ) d and g(x, ) =
f (x, ) b d+ , respectively; and
(e) Cr{b f (x, ) d } and Cr{f (x, ) b d+ } coincide with
the form (5.33) by defining g(x, ) = f (x, ) + d b and g(x, ) =
b f (x, ) + d+ , respectively.
65
This section presents some useful results.

Theorem 5.8 (Lu [204]) Assume that the fuzzy vector degenerates to a
fuzzy variable with continuous membership function , and the function
g(x, ) has the form g(x, ) = h(x) . Then Cr{g(x, ) 0} if and
only if h(x) K , where
(
if < 1/2
sup K|K = 1 (2) ,
K =
(5.34)
inf K|K = 1 (2(1 )) , if 1/2.

Proof: It is easy to verify the theorem by the relation between credibility
measure and membership function.
Theorem 5.9 (Lu [204]) Assume that the function g(x, ) can be rewritten
as,
g(x, ) = h1 (x)1 + h2 (x)2 + + ht (x)t + h0 (x)
where k are trapezoidal fuzzy variables (rk1 , rk2 , rk3 , rk4 ), k = 1, 2, , t,
respectively. We define two functions h+

k (x) = hk (x) 0 and hk (x) =
hk (x) 0 for k = 1, 2, , t. Then we have
(a) when < 1/2, Cr{g(x, ) 0} if and only if
(1 2)
rk1 h+
k (x) rk4 hk (x)
k=1
rk2 h+
+2
k (x) rk3 hk (x) + h0 (x) 0;
(5.35)
k=1
(b) when 1/2, Cr{g(x, ) 0} if and only if

(2 2)
rk3 h+
k (x) rk2 hk (x)
k=1
+(2 1)
rk4 h+
k (x) rk1 hk (x) + h0 (x) 0.
(5.36)
k=1
Proof: It is clear that the functions h+

k (x) and hk (x) are all nonnegative
+
and hk (x) = hk (x) hk (x). Thus we have
g(x, ) =
=
=
t
P
k=1
t
P
k=1
where
k0
hk (x)k + h0 (x)
k=1
t
P
h+
k (x) hk (x) k + h0 (x)
0
h+
k (x)k + hk (x)k + h0 (x)
are also trapezoidal fuzzy variables,

k0 = (rk4 , rk3 , rk2 , rk1 ),
k = 1, 2, , t.
66
By the addition and multiplication operations of trapezoidal fuzzy variables,

the function g(x, ) is also a trapezoidal fuzzy variable determined by the
quadruple
g(x, ) =
T
t
rk1 h+
k (x) rk4 hk (x) + h0 (x)
k=1
P
+
rk2 hk (x) rk3 hk (x) + h0 (x)
k=1
.
t
rk3 h+
(x)
r
h
(x)
+
h
(x)
k2 k
0
k
k=1
P
+
rk4 hk (x) rk1 hk (x) + h0 (x)
k=1
It follows that the results hold.
5.4
Liu [174] provided a fuzzy dependent-chance programming (DCP) theory

in which the underlying philosophy is based on selecting the decision with
maximum credibility to meet the event.
Uncertain environment, event and chance function are key elements in the
framework of DCP in a stochastic environment. Let us redefine them in fuzzy
environments.
Definition 5.13 By uncertain environment (in this case the fuzzy environment) we mean the fuzzy constraints represented by
gj (x, ) 0,
j = 1, 2, , p
(5.37)
where x is a decision vector, and is a fuzzy vector.

Definition 5.14 By event we mean a system of fuzzy inequalities,
hk (x, ) 0,
k = 1, 2, , q
(5.38)
where x is a decision vector, and is a fuzzy vector.

Definition 5.15 The chance function of an event E characterized by (5.38)
is defined as the credibility measure of the event E, i.e.,
f (x) = Cr{hk (x, ) 0, k = 1, 2, , q}
(5.39)
67
The concepts of the support, dependent support, active constraint, and

dependent constraint are the same with those in stochastic case. Thus, for
each decision x and realization , an event E is said to be consistent in the
uncertain environment if the following two conditions hold: (i) hk (x, ) 0,
k = 1, 2, , q; and (ii) gj (x, ) 0, j J, where J is the index set of all
dependent constraints. In order to compute the chance function of a fuzzy
event, we need the following principle of uncertainty.
Principle of Uncertainty: The chance of a fuzzy event is the credibility
that the event is consistent in the uncertain environment.
fi (x) = Cr
hik (x, ) 0, k = 1, 2, , qi
gj (x, ) 0, j Ji
(5.40)

for i = 1, 2, , m.
General Models
A typical formulation of DCP in a fuzzy environment is given as follows:
max Cr {hk (x, ) 0, k = 1, 2, , q}

subject to:
gj (x, ) 0, j = 1, 2, , p
(5.41)
where x is an n-dimensional decision vector, is a fuzzy vector, the event E is

characterized by hk (x, ) 0, k = 1, 2, , q, and the uncertain environment
is described by the fuzzy constraints gj (x, ) 0, j = 1, 2, , p.
Fuzzy DCP (5.41) reads as maximizing the credibility of the fuzzy event
hk (x, ) 0, k = 1, 2, , q subject to the uncertain environment gj (x, )
0, j = 1, 2, , p.
Since a complex decision system usually undertakes multiple tasks, there
undoubtedly exist multiple potential objectives. A typical formulation of
fuzzy dependent-chance multiobjective programming (DCMOP) is given as
68
follows,
Cr {h1k (x, ) 0, k = 1, 2, , q1 }
Cr
{h2k (x, ) 0, k = 1, 2, , q2 }
max
Cr {hmk (x, ) 0, k = 1, 2, , qm }
subject to:
gj (x, ) 0, j = 1, 2, , p
(5.42)
where hik (x, ) 0, k = 1, 2, , qi represent events Ei for i = 1, 2, , m,

respectively.
Dependent-chance goal programming (DCGP) in fuzzy environment may
be considered as an extension of goal programming in a complex fuzzy decision system. When some management targets are given, the objective function may minimize the deviations, positive, negative, or both, with a certain
priority structure. Thus we can formulate a fuzzy decision system as a DCGP
according to the priority structure and target levels set by the decision-maker,
l
m
P
P
min
Pj
(uij d+
i 0 + vij di 0)
j=1
i=1
subject to:
Cr {hik (x, ) 0, k = 1, 2, , qi } bi = d+
i , i = 1, 2, , m
bi Cr {hik (x, ) 0, k = 1, 2, , qi } = di , i = 1, 2, , m
gj (x, ) 0,
j = 1, 2, , p
i 0 is the positive deviation from the target of goal i,
d
i 0 is the negative deviation from the target of goal i, gj is a function in
system constraints, bi is the target value according to goal i, l is the number
of priorities, m is the number of goal constraints, and p is the number of
system constraints.
5.5
In order to solve general fuzzy programming models, we must deal with the
following three types of uncertain function:
U1 : x E[f (x, )],
U2 : x Cr {gj (x, ) 0, j = 1, 2, , p} ,

U3 : x max f Cr f (x, ) f .
(5.43)
69
In order to compute the expected value U1 (x), the following procedure

may be used. We randomly generate k from such that Cr{k } /2,
and write k = (2Cr{k }) 1, k = 1, 2, , N , respectively, where is a
sufficiently small number. Equivalently, we randomly generate (k ) from
the -level sets of , and write k = ((k )) for k = 1, 2, , N , where is
the membership function of . Then for any number r 0, the credibility
Cr{f (x, ) r} can be estimated by

1
max k f (x, (k )) r + min 1 k f (x, (k )) < r
1kN
2 1kN
and for any number r < 0, the credibility Cr{f (x, ) r} can be estimated
by
1
max k f (x, (k )) r + min 1 k f (x, (k )) > r
1kN
2 1kN
provided that N is sufficiently large. Thus U1 (x) may be estimated by the
following procedure.
Algorithm 5.1 (Fuzzy Simulation for U1 (x))
Step 1. Set e = 0.
Step 2. Randomly generate k from such that Cr{k } /2 for k =
1, 2, , N , where is a sufficiently small number.
Step 3. Set two numbers a = f (x, (1 )) f (x, (2 )) f (x, (N ))
and b = f (x, (1 )) f (x, (2 )) f (x, (N )).
Step 4. Randomly generate r from [a, b].
Step 5. If r 0, then e e + Cr{f (x, ) r}.
Step 6. If r < 0, then e e Cr{f (x, ) r}.
Step 7. Repeat the fourth to sixth steps for N times.
Step 8. U1 (x) = a 0 + b 0 + e (b a)/N .
In order to compute the uncertain function U2 (x), we randomly generate
k from such that Cr{k } /2, write k = (2Cr{k }) 1, and produce
(k ) for k = 1, 2, , N , where is a sufficiently small number. Then the
credibility U2 (x) can be estimated by the formula,
gj (x, (k )) 0
gj (x, (k )) > 0
1
max k
+ min 1 k
.
j = 1, 2, , p
for some j
1kN
2 1kN
Step 1. Randomly generate k from such that Cr{k } /2 for k =
Step 2. Return U2 (x) via the estimation formula.
70
In order to compute the uncertain function U3 (x), we randomly generate

k from such that Cr{k } /2, and write k = (2Cr{k }) 1, k =
1, 2, , N , respectively, where is a sufficiently small number. For any
number r, we set
1
.
L(r) =
max k f (x, (k )) r + min 1 k f (x, (k )) < r
1kN
2 1kN
It follows from monotonicity that we may employ bisection search to find the
maximal value r such that L(r) . This value is an estimation of U3 (x).
We summarize this process as follows.
Step 1. Generate k from such that Cr{k } /2 for k = 1, 2, , N ,
where is a sufficiently small number.
Step 2. Find the maximal value r such that L(r) holds.
Step 3. Return r.
Now we integrate stochastic simulation, NN and GA to produce a hybrid
intelligent algorithm for solving fuzzy programming models.
U1 : x E[f (x, )],
U2 : x Cr {gj (x, ) 0, j = 1, 2, , p} ,

U3 : x max f Cr f (x, ) f
by the fuzzy simulation.
Step 4. Update the chromosomes by crossover and mutation operations and
the trained neural network may be employed to check the feasibility
of offsprings.
neural network.
Step 6. Compute the fitness of each chromosome by rank-based evaluation
function based on the objective values.
Step 8. Repeat the fourth to seventh steps a given number of cycles.
71
5.6
In order to illustrate its effectiveness, a set of numerical examples has been

done, and the results are successful. Here we give some numerical examples
which are all performed on a personal computer with the following parameters: the population size is 30, the probability of crossover Pc is 0.3, the
probability of mutation Pm is 0.2, and the parameter a in the rank-based
evaluation function is 0.05.
Example 5.9: Consider first the following fuzzy EVM,
hp
i
|x1 + 1 | + |x2 + 2 | + |x3 + 3 |

max E
subject to:
x21 + x22 + x23 10

where 1 , 2 and 3 are triangular fuzzy variables (1, 2, 3), (2, 3, 4), and
(3, 4, 5), respectively.
In order to solve this model, we first generate input-output data for the
uncertain function
hp
i
U :xE
|x1 + 1 | + |x2 + 2 | + |x3 + 3 |
by fuzzy simulation. Then we train an NN (3 input neurons, 5 hidden neurons, 1 output neuron) to approximate the function U (x). After that, the
trained NN is embedded into a GA to produce a hybrid intelligent algorithm.
x1 = 1.8310,
x2 = 1.8417,
x3 = 1.8043

Example 5.10: Let us consider the following single-objective fuzzy CCP,
max f
subject to:
Cr
x1 + 1 + x2 + 2 + x3 + 3 f 0.9
(5.44)
np
o
2
2
2
Cr
(x1 + 1 ) + (x2 + 2 ) + (x3 + 3 ) 6 0.8
x1 , x2 , x3 0
where 1 , 2 and 3 are assumed to triangular fuzzy variables (0, 1, 2), (1, 2, 3)
and (2, 3, 4), respectively.
In order to solve this model, we generate training input-output data for
the uncertain function U : (x) (U1 (x), U2 (x)), where
U1 (x) = max f Cr
x1 + 1 + x2 + 2 + x3 + 3 f 0.9 ,
np
o
U2 (x) = Cr
(x1 + 1 )2 + (x2 + 2 )2 + (x3 + 3 )2 6 .
72

to approximate the uncertain function U . Finally, we integrate the trained
NN and GA to produce a hybrid intelligent algorithm.
is
(x1 , x2 , x3 ) = (1.9780, 0.6190, 0.0000)
with objective value f = 5.02.

Example 5.11: We now consider the following CCGP model,
lexmin d
1 0, d2 0, d3 0
subject to:
Cr 3 (x21 1 + x2 1 + x3 12 ) d
0.90
2 2
Cr 4 (x1 2 + x2 2 + x3 2 ) d2 0.85
0.80
Cr
6 (x1 32 + x2 3 + x23 3 ) d
x1 + x2 + x3 = 1
x1 , x2 , x3 0
(5.45)
where 1 , 2 , 3 are fuzzy variables with membership functions exp[|x 1|],

exp[|x 2|], exp[|x 3|], 1 , 2 , 3 are triangular fuzzy variables (1, 2, 3),
(2, 3, 4), (3, 4, 5), 1 , 2 , 3 are trapezoidal fuzzy variables (2, 3, 4, 5), (3, 4, 5, 6),
(4, 5, 6, 7), respectively.
In order to solve this problem, we employ fuzzy simulation to generate
input-output data for the uncertain function U : (x) (U1 (x), U2 (x), U3 (x)),
where

U1 (x) = max d Cr x21 1 + x2 1 + x3 12 d 0.90 ,

U2 (x) = max d Cr x1 2 + x22 22 + x3 2 d 0.85 ,

U3 (x) = max d Cr x1 32 + x2 3 + x23 3 d 0.80 .

to approximate the uncertain function U . Note that
d
1 = [3 U1 (x)] 0,
d
2 = [4 U2 (x)] 0,
d
3 = [6 U3 (x)] 0.
Finally, we integrate the trained NN and GA to produce a hybrid intelligent

algorithm.
is
(x1 , x2 , x3 ) = (0.2910, 0.5233, 0.1857)
which can satisfy the first two goals, but the negative deviation of the third
goal is 0.57.
73
Example 5.12: Let us now turn our attention to the following DCGP,
lexmin d
0, d
0, d
0
1
2
3
subject to:
0.95 Cr{x1 + x23 = 6} = d
0.90
Cr{x
+
x
=
5}
=
d
2
5
0.85 Cr{x4 + x26 = 4} = d

3
x
+
x
1
2
x3 + x4 b
x5 c
x6 d
xi 0, i = 1, 2, , 6
where a
, b, c are triangular fuzzy variables (3,4,5), (2,3,4), (0,1,2), respectively, and d is a fuzzy variable with membership function d(r) = 1/[1 +
(r 1)2 ].
In the first priority level, there is only one event denoted by E1 in the
fuzzy environment, which should be fulfilled by x1 + x23 = 6. It is clear that
the support E1 = {x1 , x3 } and the dependent support E1 = {x1 , x2 , x3 , x4 }.
It follows from the principle of uncertainty that the chance function f1 (x) of
the event E1 is
x1 + x23 = 6
x + x a
1
2
f1 (x) = Cr
.
x + x4 b
x1 , x2 , x3 , x4 0
E2 = {x1 , x2 , x5 }. It follows from the principle of uncertainty that the
chance function f2 (x) of the event E2 is
x2 + x25 = 5
x1 + x2 a
.
f2 (x) = Cr
x5 c
x1 , x2 , x5 0
chance function f3 (x) of the event E3 is
x4 + x26 = 4
x3 + x4 b
f3 (x) = Cr
.
x d
x3 , x4 , x6 0
74
We encode a solution by a chromosome V = (v1 , v2 , v3 ), and decode it

into a feasible solution in the following way,
x1 = v1 , x2 = v2 ,
x3 = 6 v1
x4 = v3 , x5 = 5 v2 , x6 = 4 v3
which ensures that x1 + x23 = 6, x2 + x25 = 5 and x4 + x26 = 4.
At first, we employ fuzzy simulation to generate input-output data for
the chance function
U : (v1 , v2 , v3 ) (f1 (x), f2 (x), f3 (x)) .
to approximate it. Finally, we embed the trained NN into a GA to produce
a hybrid intelligent algorithm.
x = (0.2097, 3.8263, 2.4063, 0.6407, 1.0833, 1.8328)
which can satisfy the first and second goals, but the third objective is 0.25.
Chapter 6
Fuzzy Random
Programming
Kwakernaak [147][148] first introduced the concept of fuzzy random variable.
By fuzzy random programming we mean the optimization theory in fuzzy
random environments. Liu and Liu [197] presented a spectrum of fuzzy random expected value model (EVM), Liu [181] initialized a general framework
of fuzzy random chance-constrained programming (CCP), and Liu [182] introduced the concepts of uncertain environment, event, and chance function
for fuzzy random decision problems, and constructed a theoretical framework
of fuzzy random dependent-chance programming (DCP).
In order to solve general fuzzy random EVM, we integrated fuzzy random
simulation, neural network (NN) and genetic algorithm (GA) to produce a
hybrid intelligent algorithm, and illustrated its effectiveness via some numerical examples.
6.1
Fuzzy Random Variable
Fuzzy random variables are mathematical descriptions for fuzzy stochastic

phenomena, and are defined in several ways. Kwakernaak [147][148] first
introduced the notion of fuzzy random variable. This concept was then developed by several researchers such as Puri and Ralescu [250], Kruse and
Meyer [144], and Liu and Liu [193] according to different requirements of
measurability. The concept of chance measure of fuzzy random event was
first given by Liu [181][182]. In order to rank fuzzy random variables, Liu
and Liu [193] presented a scalar expected value operator, and Liu [181] presented the concepts of optimistic and pessimistic values.
Roughly speaking, a fuzzy random variable is a measurable function from
a probability space to the set of fuzzy variables. In other words, a fuzzy
random variable is a random variable taking fuzzy values. For our purpose,
76
Chapter 6 - Fuzzy Random Programming
we use the following mathematical definition of fuzzy random variable.

Definition 6.1 (Liu and Liu [193]) A fuzzy random variable is a function
from a probability space (, A, Pr) to the set of fuzzy variables such that
Cr{() B} is a measurable function of for any Borel set B of <.
Example 6.1: Let (, A, Pr) be a probability space. If = {1 , 2 , , m }
and u1 , u2 , , um are fuzzy variables, then the function
u1 , if = 1
u2 , if = 2
() =
um , if = m
is clearly a fuzzy random variable.
Example 6.2: If is a random variable defined on the probability space
(, A, Pr), and a
is a fuzzy variable, then the sum = + a
is a fuzzy random
variable defined by
() = () + a
, .
The product = a
is also a fuzzy random variable defined by
() = () a
,
Theorem 6.1 (Liu and Liu [193]) Let be a fuzzy random variable. If the
expected value E[()] is finite for each , then E[()] is a random variable.
Definition 6.2 An n-dimensional fuzzy random vector is a function from
a probability space (, A, Pr) to the set of n-dimensional fuzzy vectors such
that Cr{() B} is a measurable function of for any Borel set B of <n .
Definition 6.3 (Fuzzy Random Arithmetic) Assume that f : <n < is
a measurable function, and i are fuzzy random variables on the probability
spaces (i , Ai , Pri ), i = 1, 2, , n, respectively. Then = f (1 , 2 , , n )
is a fuzzy random variable on the product probability space (1 2
n , A1 A2 An , Pr1 Pr2 Prn ), defined by
(1 , 2 , , n ) = f (1 (1 ), 2 (2 ), , n (n ))
(6.1)
for all (1 , 2 , , n ) 1 2 n .
Example 6.3: Let 1 and 2 be two fuzzy random variables defined on the
probability spaces (1 , A1 , Pr1 ) and (2 , A2 , Pr2 ), respectively. Then the
sum = 1 + 2 is a fuzzy random variable on (1 2 , A1 A2 , Pr1 Pr2 ),
defined by
(1 , 2 ) = 1 (1 ) + 2 (2 ),
(1 , 2 ) 1 2 .
77
Section 6.1 - Fuzzy Random Variable
The product = 1 2 is a fuzzy random variable defined on the probability

space (1 2 , A1 A2 , Pr1 Pr2 ) as
(1 , 2 ) = 1 (1 ) 2 (2 ),
(1 , 2 ) 1 2 .
Example 6.4: Let us consider the following two fuzzy random variables
with trapezoidal fuzzy variable values,
(
(a1 , a2 , a3 , a4 ) with probability 0.3
1 =
(b1 , b2 , b3 , b4 ) with probability 0.7,
(
(c1 , c2 , c3 , c4 ) with probability 0.6
2 =
(d1 , d2 , d3 , d4 ) with probability 0.4.
Then the sum of the two fuzzy random variables is
(a1 + c1 , a2 + c2 , a3 + c3 , a4 + c4 ) with probability 0.18
(a + d , a + d , a + d , a + d ) with probability 0.12

1
1 2
2 3
3 4
4
1 + 2 =
(b1 + c1 , b2 + c2 , b3 + c3 , b4 + c4 ) with probability 0.42
(b1 + d1 , b2 + d2 , b3 + d3 , b4 + d4 ) with probability 0.28.

Now let us consider the chance of fuzzy random event. Recall that the
probability of random event and the credibility of fuzzy event are defined as
a real number. However, for a fuzzy random event, the chance is defined as
a function rather than a number.
Definition 6.4 (Liu [181], Gao and Liu [76]) Let be a fuzzy random variable, and B a Borel set of <. Then the chance of fuzzy random event B
is a function from (0, 1] to [0, 1], defined as
Ch { B} () =
sup
inf Cr {() B} .
Pr{A} A
(6.2)
Definition 6.5 (Yang and Liu [321]) Let be a fuzzy random variable. Then
its chance distribution : < (0, 1] [0, 1] is defined by
(x; ) = Ch { x} ().
(6.3)
Expected value of fuzzy random variable has been defined as a fuzzy

number in several ways, for example, Kwakernaak [147], Puri and Ralescu
[250], and Kruse and Meyer [144]. However, in practice, we need a scalar
expected value operator of fuzzy random variables.
Definition 6.6 (Liu and Liu [193]) Let be a fuzzy random variable. Then
its expected value is defined by
Z +
Z 0
E[] =
Pr E[()] r dr
Pr E[()] r dr
0
78
Definition 6.7 (Li and Liu [162]) The fuzzy random variables 1 , 2 , , n
are said to be independent if (a) 1 (), 2 (), , n () are independent fuzzy
variables for each ; and (b) E[1 ()], E[2 ()], , E[n ()] are independent
random variables.
Assume that and are independent fuzzy random variables with finite
expected values. Then for any real numbers a and b, we have E[a + b] =
aE[] + bE[].
Definition 6.8 (Liu [181]) Let be a fuzzy random variable, and ,
(0, 1]. Then

sup (, ) = sup r Ch { r} ()
(6.4)
is called the (, )-optimistic value to , and

inf (, ) = inf r Ch { r} ()
(6.5)
is called the (, )-pessimistic value to .

Let and be two fuzzy random variables. Different from the situation
of real numbers, there does not exist a natural ordership in a fuzzy random
world. Thus an important problem appearing in this area is how to rank
fuzzy random variables. Here we give four ranking criteria.
E is the expected value operator of fuzzy random variable.
Optimistic Value Criterion: We say > if and only if, for some predetermined confidence level , (0, 1], we have sup (, ) > sup (, ), where
sup (, ) and sup (, ) are the (, )-optimistic values of and , respectively.
Pessimistic Value Criterion: We say > if and only if, for some predetermined confidence level , (0, 1], we have inf (, ) > inf (, ), where
inf (, ) and inf (, ) are the (, )-pessimistic values of and , respectively.
Chance Criterion: We say > if and only if, for some predetermined
levels r and , we have Ch { r} () > Ch { r} ().
6.2
In order to obtain the decision with maximum expected return subject to

expected constraints, Liu and Liu [197] introduced the following fuzzy random
EVM,
max E[f (x, )]

subject to:
(6.6)
E[gj (x, )] 0, j = 1, 2, , p
79
where x is a decision vector, is a fuzzy random vector, f is the objective

function, and gj are the constraint functions for j = 1, 2, , p.
In practice, a decision maker may want to optimize multiple objectives.
Thus we have the following fuzzy random expected value multiobjective programming (EVMOP),
max [E[f1 (x, )], E[f2 (x, )], , E[fm (x, )]]
subject to:
(6.7)
E[gj (x, )] 0, j = 1, 2, , p
where fi (x, ) are objective functions for i = 1, 2, , m, and gj (x, ) are
constraint functions for j = 1, 2, , p.
In order to balance the multiple conflicting objectives, a decision-maker
may establish a hierarchy of importance among these incompatible goals so
as to satisfy as many goals as possible in the order specified. Thus we have
a fuzzy random expected value goal programming (EVGP),
l
m
X
X
min
Pj
(uij d+
i 0 + vij di 0)
j=1
i=1
subject to:
(6.8)
E[fi (x, )] bi = d+
i , i = 1, 2, , m
bi E[fi (x, )] = d
i , i = 1, 2, , m
E[gj (x, )] 0,
j = 1, 2, , p
i, d
0
is
the
negative
i
6.3
This section will introduce a general framework of fuzzy random chanceconstrained programming (CCP) initialized by Liu [181].
Chance Constraints
Assume that x is a decision vector, is a fuzzy random vector, f (x, ) is a
return function, and gj (x, ) are constraint functions, j = 1, 2, , p.
80
Since the fuzzy random constraints gj (x, ) 0, j = 1, 2, , p do not

define a deterministic feasible set, it is naturally desired that the fuzzy random constraints hold with credibility at probability , where and are
specified confidence levels. Then we have a chance constraint as follows,
Ch {gj (x, ) 0, j = 1, 2, , p} () .
(6.9)
Sometimes, the following separate chance constraints are employed,

Ch{gj (x, ) 0}(j ) j ,
j = 1, 2, , p,
(6.10)
where j and j are predetermined confidence levels for j = 1, 2, , p.

If we want to maximize the optimistic value to the fuzzy random return
subject to some chance constraints, Liu [181] presented the following fuzzy
random CCP model,
max f
subject to:
Ch f (x, ) f ()
Ch {gj (x, ) 0} (j ) j ,
(6.11)
j = 1, 2, , p
where j and j are specified confidence levels for j = 1, 2, , p. The model

max max f
x f
subject to:
Ch f (x, ) f ()
Ch {gj (x, ) 0} (j ) j ,
(6.12)
j = 1, 2, , p
which is more clearly a maximax form, where max f is the (, )-optimistic

return.
In practice, we may have multiple objectives. We thus have to employ
the following fuzzy random maximax chance-constrained multiobjective programming (CCMOP),
max f 1 , f 2 , , f m
subject to:
Ch fi (x, ) f i (i ) i , i = 1, 2, , m
Ch {gj (x, ) 0} (j ) j , j = 1, 2, , p
(6.13)
81
where i and i are predetermined confidence levels for i = 1, 2, , m. The

CCMOP (6.13) is equivalent to
"
#
f1
f2
fm
x
subject to:
(6.14)
Ch fi (x, ) f i (i ) i , i = 1, 2, , m
Ch {gj (x, ) 0} (j ) j , j = 1, 2, , p
where max f i are the (i , i )-optimistic values to the return functions fi (x, ),
If the priority structure and target levels are set by the decision-maker,
then we may formulate a fuzzy random decision system as a chance-constrained
goal programming (CCGP),
l
m
P
P
min
P
(uij d+
j
i 0 + vij di 0)
j=1
i=1
subject to:
+
(6.15)
+
Ch
f
(x,
)
d
(i ) i+ , i = 1, 2, , m
i
i
Ch bi fi (x, ) d
(i ) i , i = 1, 2, , m
Ch {gj (x, ) 0} (j ) j ,
j = 1, 2, , p
+ +
i 0 is the (i , i )-optimistic positive deviation from

the target of goal i, di 0 is the (i , i )-optimistic negative deviation from
the target of goal i, bi is the target value according to goal i, and l is the
number of priorities.
If we want to maximize the pessimistic value to the fuzzy random return
subject to some chance constraints, Liu [181] proposed the following fuzzy
random minimax CCP model,
max min f
x f
subject to:
(6.16)
Ch
f
(x,
)
f
()
Ch {gj (x, ) 0} (j ) j , j = 1, 2, , p
where j and j are specified confidence levels for j = 1, 2, , p, and min f
is the (, )-pessimistic return.
82
If there are multiple objectives, then we have the following fuzzy random
minimax CCMOP,
#
"
f1
f2
fm
x
(6.17)
subject to:
Ch fi (x, ) f i (i ) i , i = 1, 2, , m
Ch {gj (x, ) 0} (j ) j , j = 1, 2, , p
where min f i are the (i , i )-pessimistic values to the return functions fi (x, ),
We can also formulate a fuzzy random decision system as a fuzzy random
minimax CCGP according to the priority structure and target levels set by
the decision-maker:
"
!
!#
l
m
P
P
u
max d+
P
d
min
i 0 + vij max
i 0
x j=1 j i=1 ij d+
i
i
subject to:
(6.18)
Ch fi (x, ) bi d+
(i ) i+ , i = 1, 2, , m
Ch bi fi (x, ) d
(i ) i , i = 1, 2, , m
Ch {gj (x, ) 0} (j ) j ,
j = 1, 2, , p
+ +
i 0 is the (i , i )-pessimistic positive deviation from

the target of goal i, di 0 is the (i , i )-pessimistic negative deviation from
6.4
Following the idea of dependent-chance programming (DCP), Liu [182] introduced the concepts of uncertain environment, event, and chance function for
fuzzy random decision problems, and constructed a theoretical framework of
fuzzy random DCP, in which the underlying philosophy is based on selecting
the decision with maximum chance to meet the event.
Uncertain environment, event, and chance function are key elements in DCP.
Let us redefine them in a fuzzy random decision system, and introduce the
principle of uncertainty.
83
By uncertain environment (in this case the fuzzy random environment)

we mean the fuzzy random constraints represented by
gj (x, ) 0,
j = 1, 2, , p
(6.19)
where x is a decision vector, and is a fuzzy random vector. By event we

mean the system of inequalities
hk (x, ) 0,
k = 1, 2, , q.
(6.20)
The chance function of an event E characterized by (6.20) is defined as the

chance measure of the event E, i.e.,
f (x) = Ch{hk (x, ) 0, k = 1, 2, , q}
(6.21)

For each decision x and realization , an event E is said to be consistent in
the uncertain environment if the following two conditions hold: (i) hk (x, )
0, k = 1, 2, , q; and (ii) gj (x, ) 0, j J, where J is the index set of
all dependent constraints. We conclude it with the following principle of
uncertainty.
Principle of Uncertainty: The chance of a fuzzy random event is the
chance that the event is consistent in the uncertain environment.
h (x, ) 0, k = 1, 2, , qi
(6.22)
fi (x) = Ch ik
gj (x, ) 0, j Ji

for i = 1, 2, , m.
General Models
In order to introduce the basic idea of DCP, we employ the -chance to
measure the fuzzy random event. Then a fuzzy random DCP is formulated
as follows:
max Ch {hk (x, ) 0, k = 1, 2, , q} ()

subject to:
(6.23)
gj (x, ) 0, j = 1, 2, , p
84
where x is an n-dimensional decision vector, is a fuzzy random vector, the

event is characterized by hk (x, ) 0, k = 1, 2, , q, is a given probability level, and the uncertain environment is described by the fuzzy random
constraints gj (x, ) 0, j = 1, 2, , p.
Since a complex decision system usually undertakes multiple tasks, there
undoubtedly exist multiple objectives in the decision process. For this case,
we will employ the following fuzzy random dependent-chance multiobjective
programming (DCMOP),
Ch {h1k (x, ) 0, k = 1, 2, , q1 } (1 )
Ch {h2k (x, ) 0, k = 1, 2, , q2 } (2 )
max
Ch {hmk (x, ) 0, k = 1, 2, , qm } (m )
subject to:
gj (x, ) 0, j = 1, 2, , p
(6.24)
where the events Ei are characterized by hik (x, ) 0, k = 1, 2, , qi , and

i are given probability levels, i = 1, 2, , m, respectively.
Fuzzy random dependent-chance goal programming (DCGP) is employed
to formulate fuzzy random decision systems according to the priority structure and target levels set by the decision-maker,
l
m
P
P
min
Pj
(uij d+
i 0 + vij di 0)
j=1
i=1
subject to:
Ch {hik (x, ) 0, k = 1, 2, , qi } (i ) bi = d+
i , i = 1, 2, , m
Ch
{h
(x,
)
0,
k
=
1,
2,
,
q
}
(
)
=
d
i
ik
i
i
i , i = 1, 2, , m
gj (x, ) 0,
j = 1, 2, , p
i, d
0
is
the
negative
deviation from the target of goal i, i is a given
i
probability level, gj is a function in system constraints, bi is the target value
constraints, and p is the number of system constraints.
6.5
85
The first problem is to deal with the uncertain functions

U1 : x E[f (x, )],
U2 : x Ch {gj (x, ) 0, j = 1, 2, , p} (),

U3 : x max f Ch f (x, ) f () .
(6.25)
Let us first design a fuzzy random simulation to calculate the expected

value U1 (x). Note that, for each , we may calculate the expected
value E[f (x, ()] by fuzzy simulation. Since E[f (x, )] is essentially the
expected value of stochastic variable E[f (x, ()], we may combine stochastic
simulation and fuzzy simulation to produce a fuzzy random simulation.
Algorithm 6.1 (Fuzzy Random Simulation for U1 (x))
Step 1. Set e = 0.
Step 2. Sample from according to the probability measure Pr.
Step 3. e e + E[f (x, ())], where E[f (x, ())] may be calculated by
the fuzzy simulation.
Step 4. Repeat the second to fourth steps N times.
Step 5. U1 (x) = e/N .
Now we design a fuzzy random simulation to compute U2 (x). That is, we
should find the value of
sup
inf Cr {gj (x, ()) 0, j = 1, 2, , p} .
Pr{A} A
(6.26)
First, we sample 1 , 2 , , N from according to the probability measure Pr and produce fuzzy variables (1 ), (2 ), , (N ). We estimate
k = Cr{gj (x, (k )) 0, j = 1, 2, , p} for k = 1, 2, , N by the fuzzy
simulation. Let N 0 be the integer part of N . Then the value U2 (x) can be
taken as the N 0 th largest element in the sequence {1 , 2 , , N }.
Step 2. Compute the credibilities k = Cr{gj (x, (k ) 0, j = 1, 2, , p}
for k = 1, 2, , N by the fuzzy simulation.
Step 4. Return the N 0 th largest element in {1 , 2 , , N }.
Let us design a fuzzy random simulation to calculate U3 (x). For any given
confidence levels and , we should compute the maximal value f such that
sup inf Cr f (x, ()) f

(6.27)
Pr{A} A
86
holds. We sample 1 , 2 , , N from according to the probability measure Pr and produce fuzzy variables (1 ), (2 ), , (N ). We estimate
f k = sup {fk |Cr{f (x, (k )) fk } } for k = 1, 2, , N by the fuzzy
simulation. Let N 0 be the integer part of N . Then the value f can be taken
as the N 0 th largest element in the sequence {f 1 , f 2 , , f N }.

Step 2. Find f k = sup {fk |Cr{f (x, (k )) fk } } for k = 1, 2, , N
by fuzzy simulation.
Step 4. Return the N 0 th largest element in {f 1 , f 2 , , f N }.
In order to solve fuzzy random programming models, we may integrate

fuzzy random simulation, NN and GA to produce a hybrid intelligent algorithm.

U1 : x E[f (x, )],
U2 : x Ch {gj (x, ) 0, j = 1, 2, , p} (),

U3 : x max f Ch f (x, ) f ()
by the fuzzy random simulation.
neural network.
neural network.
values.
6.6
87
Here we give some numerical examples performed on a personal computer

with the following parameters: the population size is 30, the probability of
crossover Pc is 0.3, the probability of mutation Pm is 0.2, the parameter a in
the rank-based evaluation function is 0.05.
Example 6.5: Consider the following fuzzy random EVM,
2
2
2
max E (x1 1 ) + (x2 2 ) + (x3 3 )

subject to:
x21 + x22 + x23 9

where 1 , 2 and 3 are fuzzy random variables defined as
1 = (1 , 1 + 1, 1 + 2), with 1 U(1, 2),
2 = (2 , 2 + 1, 2 + 2), with 2 N (0, 1),
3 = (3 , 3 + 1, 3 + 2), with 3 EX P(2).
In order to solve this model, we first generate a set of input-output data
for the uncertain function
U : x E (x1 1 )2 + (x2 2 )2 + (x3 3 )2

by fuzzy random simulation. Then we train an NN (3 input neurons, 5
hidden neurons, 1 output neuron) to approximate the uncertain function U .
Finally, the trained NN is embedded into a GA to produce a hybrid intelligent
algorithm.
x = (2.1506, 0.0808, 2.0900)
Example 6.6: Let us consider the following fuzzy random CCP,
max f
to:
subject
Ch x1 + 1 x2 + 2 x3 + x4 f (0.95) 0.90
Ch {(3 + x1 + x3 )(4 + x2 + x4 ) 100} (0.90) 0.85
x1 , x2 , x3 , x4 0
where 1 , 2 , 3 , 4 are fuzzy random variables taking values of triangular fuzzy
variable,
1 = ( 1, , + 1), with N (6, 1),
2 = ( 2, , + 2), with N (7, 1),
3 = ( 3, , + 3), with N (8, 1),
4 = ( 4, , + 4), with N (9, 1).
88
In order to solve this model, we produce 2000 input-output data for the
uncertain function U : x (U1 (x), U2 (x)), where
U1 (x) = max f Ch x1 + 1 x2 + 2 x3 + x4 f (0.95) 0.90 ,

U2 (x) = Ch {(3 + x1 + x3 )(4 + x2 + x4 ) 100} (0.90)
by fuzzy random simulations. Based on the training data, we train a feedforward NN (4 input neurons, 6 hidden neurons, 2 output neurons) to approximate the uncertain function U . After that, the trained NN is embedded
into a GA to produce a hybrid intelligent algorithm. A run of the hybrid
intelligent algorithm (6000 cycles in simulation, 2000 training data in NN,
400 generations in GA) shows that the optimal solution is
(x1 , x2 , x3 , x4 ) = (0.0000, 0.1881, 2.2005, 0.0000)
whose objective value is 13.39. Moreover, we have
Ch {x1 + 1 x2 + 2 x3 + x4 13.39} (0.95) 0.90
Ch {(3 + x1 + x3 )(4 + x2 + x4 ) 100} (0.90) 0.85.
Example 6.7: Let us consider the following fuzzy random DCP model,
max Ch x1 + x22 + x33 = 12 (0.9)
subject to:
x1 1 , x2 2 , x3 3
x1 , x2 , x3 0
where 1 , 2 , 3 are fuzzy random variables defined as follows,
1 = (1 1, 1 , 1 + 1), with 1 N (1, 1),
2 = (2 1, 2 , 2 + 1), with 2 N (2, 1),
3 = (3 1, 3 , 3 + 1), with 3 N (3, 1).
The single event E is to meet x1 + x22 + x33 = 12. The support E and the
dependent support E are both {x1 , x2 , x3 }. It follows from the principle of
uncertainty that the chance function f (x|0.9) of the fuzzy random event E
subject to the uncertain environment can be represented by
x1 + x22 + x33 = 12
f (x|0.9) = Ch x1 1 , x2 2 , x3 3 (0.9).
x1 , x2 , x3 0
In order to solve it, we encode a solution into a chromosome V = (v1 , v2 ).
Thus a chromosome can be decoded into a solution meeting the event in the
following way,
q
x1 = v1 , x2 = v2 , x3 = 3 12 v1 v22 .
89
It is clear that x1 + x22 + x33 = 12.

We generate input-output data for the uncertain function U : (v1 , v2 )
f (x|0.9) by the fuzzy random simulation. Then we train an NN (2 input
neurons, 6 hidden neurons, 1 output neuron) to approximate the uncertain
function U . After that, we integrate the trained NN and GA to produce a
hybrid intelligent algorithm. A run of the hybrid intelligent algorithm (6000
cycles in simulation, 2000 data in NN, 300 generations in GA) shows that
the optimal solution is
(x1 , x2 , x3 ) = (1.4023, 0.4857, 2.1801)
whose chance is credibility 0.87 at probability 0.9.
Example 6.8: We consider the following fuzzy random DCGP model,
lexmin d
1 0, d2 0, d3 0
subject to:
0.88 Ch {x1 + x4 = 3} (0.9) = d
0.84 Ch {x2 + x5 = 3} (0.9) = d

2
0.86
Ch
{x
+
x
=
2}
(0.9)
=
d
3
6
2
2
+
x
x
1
2
1
x23 + x24 2
x25 + x26 3
where 1 , 2 , 3 are fuzzy random variables defined as follows,
1 = (1 1, 1 , 1 + 1), with 1 N (1, 1),
2 = (2 1, 2 , 2 + 1), with 2 N (2, 1),
3 = (3 1, 3 , 3 + 1), with 3 N (3, 1).
At the first priority level, there is one event denoted by E1 , which will
be fulfilled by x1 + x4 = 3. It is clear that the support E1 = {x1 , x4 } and
the dependent support E1 = {x1 , x2 , x3 , x4 }. It follows from the principle of
uncertainty that the chance function of the event E1 is
x1 + x4 = 3
f1 (x|0.9) = Ch x21 + x22 1 (0.9).
2
x3 + x24 2
E2 = {x1 , x2 , x5 , x6 }. It follows from the principle of uncertainty that the
chance function of the event E2 is
x2 + x5 = 3
f2 (x|0.9) = Ch x21 + x22 1 (0.9).
2
x5 + x26 3
90
At the third priority level there is an event E3 which will be fulfilled

E3 = {x3 , x4 , x5 , x6 }. It follows from the principle of uncertainty that the
x3 + x6 = 2
f3 (x|0.9) = Ch x23 + x24 2 (0.9).
2
x5 + x26 3
In order to solve the fuzzy random DCGP model, we encode a solution by
a chromosome V = (v1 , v2 , v3 ). Then we have a mapping from a chromosome
to a solution as follows,
x1 = v1 ,
x2 = v2 ,
x3 = v3
x4 = 3 v1 , x5 = 3 v2 , x6 = 2 v3
which ensures that x1 + x4 = 3, x2 + x5 = 3 and x3 + x6 = 2.
We generate a set of input-output data for the uncertain function U :
(v1 , v2 , v3 ) (f1 (x|0.9), f2 (x|0.9), f3 (x|0.9)) by the fuzzy random simulation. Then we train a feedforward NN (3 input neurons, 15 hidden neurons,
3 output neurons) to approximate the uncertain function U . After that, the
trained NN is embedded into a GA to produce a hybrid intelligent algorithm.
data in NN, 3000 generations in GA) shows that the optimal solution
x = (1.4468, 1.6117, 1.1578, 1.5532, 1.3883, 0.8422)
which can satisfy the first two goals, but the third objective is 0.04.
Chapter 7
Random Fuzzy
Programming
Liu [183] initialized the concept of random fuzzy variable in 2002. By random
fuzzy programming we mean the optimization theory in random fuzzy environments. Liu and Liu [194] introduced a spectrum of random fuzzy expected
value model (EVM), Liu [183] proposed the random fuzzy chance-constrained
programming (CCP), and Liu [187] presented a spectrum of random fuzzy
dependent-chance programming (DCP) in which the underlying philosophy
is based on selecting the decision with maximum chance to meet the event.
In order to solve general random fuzzy EVM, we integrated random fuzzy
simulation, neural network (NN) and genetic algorithm (GA) to produce a
hybrid intelligent algorithm, and illustrated its effectiveness via some numerical examples.
7.1
Random Fuzzy Variable
Definition 7.1 (Liu [183]) A random fuzzy variable is a function from the
credibility space (, P(), Cr) to the set of random variables.
Example 7.1: Let 1 , 2 , , m be random variables, and u1 , u2 , , um
real numbers in [0, 1] such that u1 u2 um = 1. Then
1 with membership degree u1
2 with membership degree u2

=
m with membership degree um

is clearly a random fuzzy variable. Is it a function from a credibility space
92
Chapter 7 - Random Fuzzy Programming
(, P(), Cr) to the set of random variables? Yes. For example, we define
1
= {1, 2, , m}, Cr{i} =
ui + 1 max j , i = 1, 2, , m
j6=i
2
and the function is (i) = i , i = 1, 2, , m.
Example 7.2: If is a random variable, and a
is a fuzzy variable defined on
the credibility space (, P(), Cr), then then the sum = + a
is a random
fuzzy variable defined by
() = + a
(),
The product = a
is also a random fuzzy variable defined by
() = a
(),
Example 7.3: Let N (, 1), where is a fuzzy variable with membership

function (x) = [1 |x 2|] 0. Then is a random fuzzy variable taking
normally distributed variable N (, 1) values.
Example 7.4: In many statistics problems, the probability distribution is
completely known except for the values of one or more parameters. For
example, it might be known that the lifetime of a modern engine is an
exponentially distributed variable with an unknown expected value , and
has the following form of probability density function,
1 exp x , if x 0
(x) =
0,
otherwise.
Usually, there is some relevant information in practice. It is thus possible
to specify an interval in which the value of is likely to lie, or to give
an approximate estimate of the value of . It is typically not possible to
determine the value of exactly. If the value of is provided as a fuzzy
variable, then is a random fuzzy variable.
Definition 7.2 An n-dimensional random fuzzy vector is a function from the
credibility space (, P(), Cr) to the set of n-dimensional random vectors.
It has been proved that the vector (1 , 2 , , n ) is a random fuzzy vector
if and only if 1 , 2 , , n are random fuzzy variables.
Definition 7.3 (Liu [183], Random Fuzzy Arithmetic) Let f : <n < be a
measurable function, and i random fuzzy variables on the credibility spaces
(i , P(i ), Cri ), i = 1, 2, , n, respectively. Then = f (1 , 2 , , n ) is a
93
Section 7.1 - Random Fuzzy Variable
random fuzzy variable on the product credibility space (, P(), Cr), defined
as
(1 , 2 , , n ) = f (1 (1 ), 2 (2 ), , n (n ))
(7.1)
for all (1 , 2 , , n ) .
Example 7.5: Let 1 and 2 be two random fuzzy variables defined on the
credibility spaces (1 , P(1 ), Cr1 ) and (2 , P(2 ), Cr2 ), respectively. Then
the sum = 1 + 2 is a random fuzzy variable on the credibility space
(1 2 , P(1 2 ), Cr1 Cr2 ), defined by
(1 , 2 ) = 1 (1 ) + 2 (2 ),
(1 , 2 ) 1 2 .
The product = 1 2 is a random fuzzy variable defined on the credibility

space (1 2 , P(1 2 ), Cr1 Cr2 ) as
(1 , 2 ) = 1 (1 ) 2 (2 ),
(1 , 2 ) 1 2 .
Example 7.6: Let 1 and 2 be two random fuzzy variables defined as

follows,
(
N (u1 , 12 ) with membership degree 0.7
1
N (u2 , 22 ) with membership degree 1.0,
(
N (u3 , 32 ) with membership degree 1.0
2
N (u4 , 42 ) with membership degree 0.8.
Then the sum of the two random fuzzy
variable,
N (u1 + u3 , 12 + 32 ) with
N (u + u , 2 + 2 ) with
1
4
4
1
N (u2 + u3 , 22 + 32 ) with
N (u2 + u4 , 22 + 42 ) with
variables is also a random fuzzy

membership
membership
membership
membership
degree
degree
degree
degree
0.7
0.7
1.0
0.8.
Definition 7.4 (Liu [183]) Let be a random fuzzy variable, and B a Borel
set of <. Then the chance of random fuzzy event B is a function from
(0, 1] to [0, 1], defined as
Ch { B} () =
sup
inf Pr {() B} .
Cr{A} A
(7.2)
Definition 7.5 (Zhu and Liu [341]) The chance distribution : < (0, 1]
[0, 1] of a random fuzzy variable is defined by
(x; ) = Ch { x} ().
(7.3)
94
Definition 7.6 (Liu and Liu [194]) Let be a random fuzzy variable. Then
the expected value of is defined by
Z
Cr{ | E[()] r}dr
E[] =
0
Cr{ | E[()] r}dr

Definition 7.7 (Li and Liu) The random fuzzy variables 1 , 2 , , n are
said to be independent if (a) 1 (), 2 (), , n () are independent random
variables for each ; and (b) E[1 ()], E[2 ()], , E[n ()] are independent
fuzzy variables.
Assume that and are independent random fuzzy variables with finite
expected values. Then for any real numbers a and b, we have E[a + b] =
aE[] + bE[].
Definition 7.8 (Liu [183]) Let be a random fuzzy variable, and ,
(0, 1]. Then

sup (, ) = sup r Ch { r} ()
(7.4)
is called the (, )-optimistic value to , and

inf (, ) = inf r Ch { r} ()
(7.5)
is called the (, )-pessimistic value to .

Let and be two random fuzzy variables. Different from the situation
of real numbers, there does not exist a natural ordership in a random fuzzy
world. Thus an important problem appearing in this area is how to rank
random fuzzy variables. Here we give four ranking criteria.
E is the expected value operator of random fuzzy variable.
Optimistic Value Criterion: We say > if and only if, for some predetermined confidence level , (0, 1], we have sup (, ) > sup (, ), where
sup (, ) and sup (, ) are the (, )-optimistic values of and , respectively.
Pessimistic Value Criterion: We say > if and only if, for some predetermined confidence level , (0, 1], we have inf (, ) > inf (, ), where
inf (, ) and inf (, ) are the (, )-pessimistic values of and , respectively.
Chance Criterion: We say > if and only if, for some predetermined
levels r and , we have Ch { r} () > Ch { r} ().
7.2
95
In order to obtain the decision with maximum expected return in a random

fuzzy environment, Liu and Liu [194] introduced the following random fuzzy
EVM,
max E[f (x, )]

subject to:
(7.6)
E[gj (x, )] 0, j = 1, 2, , p
where x is a decision vector, is a random fuzzy vector, f is the objective
function, and gj are the constraint functions for j = 1, 2, , p.
In practice, a decision maker may want to optimize multiple objectives.
Thus we have the following random fuzzy expected value multiobjective programming (EVMOP),
max [E[f1 (x, )], E[f2 (x, )], , E[fm (x, )]]
subject to:
E[gj (x, )] 0, j = 1, 2, , p
(7.7)
where fi (x, ) are objective functions for i = 1, 2, , m, and gj (x, ) are

constraint functions for j = 1, 2, , p.
In order to balance the multiple conflicting objectives, a decision-maker
may establish a hierarchy of importance among these incompatible goals so
as to satisfy as many goals as possible in the order specified. Thus we have
a random fuzzy expected value goal programming (EVGP),
m
l
X
X
(uij d+
P
min
j
i 0 + vij di 0)
i=1
j=1
subject to:
E[fi (x, )] bi = d+
i , i = 1, 2, , m
bi E[fi (x, )] = di , i = 1, 2, , m
E[gj (x, )] 0,
j = 1, 2, , p
(7.8)
i, d
0
is
the
negative
i
96
7.3
This section introduces the random fuzzy chance-constrained programming

(CCP) proposed by Liu [183].
Chance Constraints
Assume that x is a decision vector, is a random fuzzy vector, f (x, ) is a
return function, and gj (x, ) are constraint functions, j = 1, 2, , p.
Since the random fuzzy constraints gj (x, ) 0, j = 1, 2, , p do not
define a deterministic feasible set, it is naturally desired that the random
fuzzy constraints hold with probability at credibility , where and are
specified confidence levels. Then we have a chance constraint as follows,
Ch {gj (x, ) 0, j = 1, 2, , p} () .
(7.9)

In order to maximize the optimistic value to the random fuzzy return subject
to some chance constraints, Liu [183] presented the following random fuzzy
maximax CCP,
max f
subject to:
(7.10)
Ch
f
(x,
)
f
()
Ch {gj (x, ) 0} (j ) j , j = 1, 2, , p
where j and j are specified confidence levels for j = 1, 2, , p. The model
max max f
x f
subject to:
Ch f (x, ) f ()
Ch {gj (x, ) 0} (j ) j ,
(7.11)
j = 1, 2, , p
where max f is the (, )-optimistic return.

In practice, we may have multiple objectives. We thus have to employ
the following random fuzzy maximax chance-constrained multiobjective programming (CCMOP),
max f 1 , f 2 , , f m
subject to:
(7.12)
Ch fi (x, ) f i (i ) i , i = 1, 2, , m
Ch {gj (x, ) 0} (j ) j , j = 1, 2, , p
97
where i and i are predetermined confidence levels for i = 1, 2, , m. This

model is equivalent to
"
#
f1
f2
fm
x
subject to:
(7.13)
Ch
f
(x,
)
f
(
)
,
i
=
1,
2,
,
m
i
i
i
i
Ch {gj (x, ) 0} (j ) j , j = 1, 2, , p
where max f i are the (i , i )-optimistic values to the return functions fi (x, ),
If the priority structure and target levels are set by the decision-maker,
then we may formulate a random fuzzy decision system as a minimin chanceconstrained goal programming (CCGP),
l
m
P
P
min
P
(uij d+
j
i 0 + vij di 0)
j=1
i=1
subject to:
+
(7.14)
Ch fi (x, ) bi d+
(i ) i+ , i = 1, 2, , m
Ch bi fi (x, ) d
(i ) i , i = 1, 2, , m
Ch {gj (x, ) 0} (j ) j ,
j = 1, 2, , p
+ +
i 0 is the (i , i )-optimistic positive deviation from

the target of goal i, di 0 is the (i , i )-optimistic negative deviation from
As opposed to the maximax CCP models, in order to to maximize the pessimistic value to the random fuzzy return subject to some chance constraints,
Liu [183] proposed the following random fuzzy minimax CCP model,
max min f
x f
subject to:
(7.15)
Ch
f
(x,
)
f
()
Ch {gj (x, ) 0} (j ) j , j = 1, 2, , p
where j and j are specified confidence levels for j = 1, 2, , p, and min f
is the (, )-pessimistic return.
98
If there are multiple objectives, then we have the following random fuzzy
minimax CCMOP,
"
#
f1
f2
fm
x
(7.16)
subject to:
Ch fi (x, ) f i (i ) i , i = 1, 2, , m
Ch {gj (x, ) 0} (j ) j , j = 1, 2, , p
where min f i are the (i , i )-pessimistic values to the return functions fi (x, ),
We can also formulate a random fuzzy decision system as a random fuzzy
minimax CCGP according to the priority structure and target levels set by
the decision-maker:
"
!
!#
l
m
P
P
min
u
max di 0 + vij max di 0
P
x j=1 j i=1 ij d+
i
i
subject to:
(7.17)
Ch fi (x, ) bi d+
(i ) i+ , i = 1, 2, , m
Ch bi fi (x, ) d
(i ) i , i = 1, 2, , m
Ch {gj (x, ) 0} (j ) j ,
j = 1, 2, , p
+ +
i 0 is the (i , i )-pessimistic positive deviation from

the target of goal i, di 0 is the (i , i )-pessimistic negative deviation from
7.4
Liu [187] presented a spectrum of random fuzzy dependent-chance programming (DCP) in which the underlying philosophy is based on selecting the
decision with maximum chance to meet the event.
Uncertain environment, event, and chance function are key elements in
DCP. Let us redefine them in random fuzzy decision systems, and introduce
the principle of uncertainty.
By uncertain environment (in this case the random fuzzy environment)
we mean the random fuzzy constraints represented by
gj (x, ) 0,
j = 1, 2, , p
(7.18)
99
where x is a decision vector, and is a random fuzzy vector. By event we

mean the system of inequalities
hk (x, ) 0,
k = 1, 2, , q.
(7.19)
The chance function of an event E characterized by (7.19) is defined as the

chance measure of the event E, i.e.,
f (x) = Ch{hk (x, ) 0, k = 1, 2, , q}()
(7.20)
subject to the uncertain environment (7.18), where is a given credibility

level.
For each decision x and realization , an event E is said to be consistent in
the uncertain environment if the following two conditions hold: (i) hk (x, )
0, k = 1, 2, , q; and (ii) gj (x, ) 0, j J, where J is the index set of all
dependent constraints.
Principle of Uncertainty: The chance of a random fuzzy event is the
chance that the event is consistent in the uncertain environment.
h (x, ) 0, k = 1, 2, , qi
()
(7.21)
fi (x) = Ch ik
gj (x, ) 0, j Ji

for i = 1, 2, , m.
We then formulate a random fuzzy DCP as follows:
max Ch {hk (x, ) 0, k = 1, 2, , q} ()

subject to:
gj (x, ) 0, j = 1, 2, , p
(7.22)
where x is an n-dimensional decision vector, is a random fuzzy vector,

the event E is characterized by hk (x, ) 0, k = 1, 2, , q, is a given
credibility level, and the uncertain environment is described by the random
fuzzy constraints gj (x, ) 0, j = 1, 2, , p.
If there are multiple events in the uncertain environment, then we have
the following random fuzzy dependent-chance multiobjective programming
100
(DCMOP),
Ch {h1k (x, ) 0, k = 1, 2, , q1 } (1 )
Ch
{h2k (x, ) 0, k = 1, 2, , q2 } (2 )
max
Ch {hmk (x, ) 0, k = 1, 2, , qm } (m )
subject to:
gj (x, ) 0, j = 1, 2, , p
(7.23)
where the events Ei are characterized by hik (x, ) 0, k = 1, 2, , qi , and

i are given credibility levels, i = 1, 2, , m, respectively.
Random fuzzy dependent-chance goal programming (DCGP) is employed
to formulate random fuzzy decision systems according to the priority structure and target levels set by the decision-maker,
l
m
P
P
min
P
(uij d+
j
i 0 + vij di 0)
j=1
i=1
subject to:
Ch {hik (x, ) 0, k = 1, 2, , qi } (i ) bi = d+
i , i = 1, 2, , m
bi Ch {hik (x, ) 0, k = 1, 2, , qi } (i ) = di , i = 1, 2, , m
gj (x, ) 0,
j = 1, 2, , p
i, d
i 0 is the negative deviation from the target of goal i, i is a given
possibility level, gj is a function in system constraints, bi is the target value
constraints, and p is the number of system constraints.
7.5
Let us first introduce random fuzzy simulations to estimate the uncertain

functions like
U1 : x E[f (x, )],
U2 : x Ch {gj (x, ) 0, j = 1, 2, , p} (),

U3 : x max f Ch f (x, ) f () .
(7.24)
We first consider the uncertain function U1 (x). We randomly sample k

from such that Cr{k } /2, write k = (2Cr{k }) 1, and produce random variables (k ) for k = 1, 2, , N , where is a sufficiently small number.
101
Then for any number r 0, the credibility Cr{ |E[f (x, ())] r} can
be estimated by
max {k E[f (x, (k ))] r} + min {1 k E[f ((x, k ))] < r}

1kN
2 1kN
and for any number r < 0, the credibility Cr{ |E[f ((x, ))] r} can
be estimated by
1
max {k E[f (x, (k ))] r} + min {1 k E[f (x, (k ))] > r}
1kN
2 1kN
provided that N is sufficiently large, where E[f ((k ))], k = 1, 2, , N may
be estimated by the stochastic simulation.
Algorithm 7.1 (Random Fuzzy Simulation for U1 (x))
Step 1. Set e = 0.
Step 2. Randomly sample k from such that Cr{k } /2 for k =
Step 3. Set a = E[f (x, (1 ))] E[f (x, (2 ))] E[f (x, (N ))] and
b = E[f (x, (1 ))] E[f (x, (2 ))] E[f (x, (N ))].
Step 4. Randomly generate r from [a, b].
Step 5. If r 0, then e e + Cr{ |E[f (x, ())] r}.
Step 6. If r < 0, then e e Cr{ |E[f (x, ())] r}.
Step 7. Repeat the fourth to sixth steps for N times.
Step 8. U1 (x) = a 0 + b 0 + e (b a)/N .
Next we design a random fuzzy simulation to compute U2 (x). Equivalently, we should find the value of
sup
inf Pr {gj (x, ()) 0, j = 1, 2, , p} .
Cr{A} A
(7.25)
We randomly generate k from such that Cr{k } /2, write k =

(2Cr{k }) 1, and produce random variables (k ) for k = 1, 2, , N , where
is a sufficiently small number. For each k , we may estimate the probability g(k ) = Pr{gj (x, (k )) 0, j = 1, 2, , p} by the stochastic simulation.
For any number r, we set

1
L(r) =
.
max k g(k ) r + min 1 k g(k ) < r
1kN
2 1kN
102

Step 3. Return r.
We design a random fuzzy simulation to compute U3 (x). That is, we
should find the maximal value f such that
sup inf Pr f (x, ()) f .

Cr{A} A
We randomly generate k from such that Cr{k } /2, write k =

(2Cr{k }) 1, and produce random variables (k ) for k = 1, 2, , N , where
is a sufficiently small number. For any k , we search for the maximal value
f (k ) such that Pr{f (x, (k )) f (k )} by the stochastic simulation.
For any number r, we set
L(r) =
.
max k f (k ) r + min 1 k f (k ) < r
1kN
2 1kN
Step 3. Return r.
In order to solve random fuzzy programming models, we may integrate
random fuzzy simulation, NN and GA to produce a hybrid intelligent algorithm as follows,
U1 : x E[f (x, )],
U2 : x Ch {gj (x, ) 0, j = 1, 2, , p} (),
U3 : x max f Ch f (x, ) f ()
by the random fuzzy simulation.
103

neural network.
neural network.
values.
7.6
We now provide some numerical examples to illustrate the effectiveness of

hybrid intelligent algorithm.
Example 7.7: Consider the following random fuzzy EVM
hp
i
(x1 1 )2 + (x2 2 )2 + (x3 3 )2

min E
subject to:
|x1 | + |x2 | + |x3 | 4

where 1 , 2 and 3 are random fuzzy variables defined as
1 U( 1, ), with = (2, 1, 0),
2 U(, + 1), with = (1, 0, 1),
3 U( + 1, + 2), with = (0, 1, 2).
In order to solve this model, we first generate input-output data for the
uncertain function
hp
i
(x1 1 )2 + (x2 2 )2 + (x3 3 )2
U :xE
by random fuzzy simulation. Then we train an NN (3 input neurons, 5
hidden neurons, 1 output neuron) to approximate the uncertain function U .
Lastly, the trained NN is embedded into a GA to produce a hybrid intelligent
algorithm.
A run of the hybrid intelligent algorithm (1000 cycles in random fuzzy
simulation, 2000 data in NN, 400 generations in GA) shows that the optimal
solution is
x = (1.3140, 0.2198, 2.4662)
104
Example 7.8: Let us consider the following random fuzzy CCP,
max f
to:
subject
Ch 1 x1 x3 + 2 x2 x4 f (0.95) 0.90
Ch {(3 + x1 + x2 )(4 + x3 + x4 ) 30} (0.90) 0.85
x1 , x2 , x3 , x4 0
where 1 , 2 , 3 , 4 are random fuzzy variables defined as
1
2
3
4
N (, 1),
N (, 1),
N (, 1),
N (, 1),
with
with
with
with
(x) = [1 (x 1)2 ] 0,
(x) = [1 (x 2)2 ] 0,
(x) = [1 (x 3)2 ] 0,
(x) = [1 (x 4)2 ] 0.
In order to solve this model, we produce input-output data for the uncertain function U : x (U1 (x), U2 (x)), where
U1 (x) = max f Ch 1 x1 x2 + 2 x3 x4 f (0.95) 0.90 ,

U2 (x) = Ch {(3 + x1 + x2 )(4 + x3 + x4 ) 30} (0.90),
by the random fuzzy simulation. Based on the input-output data, we train
an NN (4 input neurons, 8 hidden neurons, 2 output neurons) to approximate
the uncertain function U . After that, the trained NN is embedded into a GA
to produce a hybrid intelligent algorithm.
is
(x1 , x2 , x3 , x4 ) = (0.000, 1.303, 0.000, 1.978)
whose objective value is 2.85. Moreover, we have
Ch {1 x1 x3 + 2 x2 x4 2.85} (0.95) 0.90,
Ch {(3 + x1 + x2 )(4 + x3 + x4 ) 30} (0.90) 0.85.
Example 7.9: This is a random fuzzy DCP which maximizes the chance of
an uncertain event subject to a deterministic constraint,
max Ch {1 x1 + 2 x2 + 3 x3 5} (0.9)
subject to:
x21 + x22 + x23 4

where 1 , 2 , 3 are random fuzzy variables defined as
1 N (, 1), with (x) = 1/[1 + (x 1)2 ],
2 N (, 1), with (x) = 1/[1 + (x 2)2 ],
3 N (, 1), with (x) = 1/[1 + (x 3)2 ].
105
We produce a set of input-output data for the uncertain function

U : (x1 , x2 , x3 ) Ch {1 x1 + 2 x2 + 3 x3 5} (0.9)
by the random fuzzy simulation. According to the generated data, we train
a feedforward NN (3 input neurons, 5 hidden neurons, 1 output neuron) to
approximate the uncertain function U . Then we integrate the trained NN
and GA to produce a hybrid intelligent algorithm.
(x1 , x2 , x3 ) = (0.6847, 1.2624, 1.3919)
whose chance is probability 0.96 at credibility 0.9.
Example 7.10: We consider the following random fuzzy DCGP,
lexmin d
1 0, d2 0, d3 0
subject to:
0.88 Ch {x1 + x5 = 1} (0.9) = d
0.85 Ch {x2 + x3 = 2} (0.9) = d

2
0.82
Ch
{x
+
x
=
3}
(0.9)
=
d
4
6
x22 + x23 + x24 2
x25 + x26 3
where 1 , 2 , 3 , 4 are random fuzzy variables defined as follows,
1 EX P(), with (x) = [1 (x 6)2 ] 0,
2 EX P(), with (x) = [1 (x 30)2 ] 0,
3 EX P(), with (x) = [1 (x 18)2 ] 0.
At the first priority level, there is one event denoted by E1 , which will
be fulfilled by x1 + x5 = 1. It is clear that the support E1 = {x1 , x5 } and
the dependent support E1 = {x1 , x5 , x6 }. It follows from the principle of
uncertainty that the chance function of the event E1 is
x1 + x5 = 1
(0.9).
f1 (x|0.9) = Ch x21 1
2
x5 + x26 3
x2 + x3 = 2
(0.9).
f2 (x|0.9) = Ch 2
x2 + x23 + x24 2
106

E3 = {x2 , x3 , x4 , x5 , x6 }. It follows from the principle of uncertainty that
the chance function of the event E3 is
x4 + x6 = 3
f3 (x|0.9) = Ch x22 + x23 + x24 2 (0.9).

2
x5 + x26 3
In order to solve the random fuzzy DCGP model, we encode a solution
by a chromosome V = (v1 , v2 , v3 ). Thus a chromosome can be converted into
a solution by
x1 = v1 ,
x2 = v2 ,
x3 = 2 v2 ,
x4 = v3 ,
x5 = 1 v1 ,
x6 = 3 v3 .
We generate a set of input-output data for the uncertain function U :

(v1 , v2 , v3 ) (f1 (x|0.9), f2 (x|0.9), f3 (x|0.9)) by the random fuzzy simulation. Then we train a feedforward NN to approximate the uncertain function
U . After that, the trained NN is embedded into a GA to produce a hybrid
intelligent algorithm. A run of the hybrid intelligent algorithm (6000 cycles
in simulation, 3000 data in NN, 1000 generations in GA) shows that the
optimal solution is
x = (0.4005, 1.0495, 0.9505, 1.7574, 0.5995, 1.2427)
which can satisfy the first two goals, but the third objective is 0.05. In fact,
we also have
f1 (x |0.9) 0.88,
f2 (x |0.9) 0.85,
f3 (x |0.9) 0.77.
Chapter 8
Uncertain Dynamic
Programming
Stochastic dynamic programming has been studied widely in the literature.
In human decision processes such as diagnosis, psychotherapy, and even design, some parameters may be regarded as fuzzy, fuzzy random, or random
fuzzy variables. In order to model generally uncertain decision processes, Liu
[183] proposed a general principle of uncertain dynamic programming, including expected value dynamic programming, chance-constrained dynamic
programming and dependent-chance dynamic programming.
8.1
Expected Value Dynamic Programming
Consider an N -stage decision system in which (a1 , a2 , , aN ) represents

the state vector, (x1 , x2 , , xN ) the decision vector, (1 , 2 , , N ) the
uncertain vector. We also assume that the state transition function is
an+1 = T (an , xn , n ),
n = 1, 2, , N 1.
(8.1)
In order to maximize the expected return over the horizon, we may use
the following expected value dynamic programming,
fN (a) =
max
E[rN (a, x, N )]
E[gN (a,x,N )]0
fn (a) =
max
E[rn (a, x, n ) + fn+1 (T (a, x, n )]
(8.2)
E[gn (a,x,n )]0
n N 1
where rn are the return functions at the nth stages, n = 1, 2, , N , respectively, and E denotes the expected value operator. This type of uncertain
(especially stochastic) dynamic programming has been applied to a wide variety of problems, for example, inventory systems.
108
8.2
Chapter 8 - Uncertain Dynamic Programming
Chance-Constrained Dynamic Programming
In order to maximize the optimistic return over the horizon, we may use the
following chance-constrained dynamic programming (Liu [183]),
fN (a) =
max
rN (a, x, N )
Ch{gN (a,x,N )0}
fn (a) =
max
{rn (a, x, n ) + fn+1 (T (a, x, n )}
(8.3)
Ch{gn (a,x,n )0}
n N 1
where the functions rn are defined by

rn (a, x, n ) = sup r Ch{rn (a, x, n ) r}
(8.4)
for n = 1, 2, , N . If we want to maximize the pessimistic return over the

horizon, then we must define the functions rn as

rn (a, x, n ) = inf r Ch{rn (a, x, n ) r}

(8.5)
for n = 1, 2, , N .
8.3
Dependent-Chance Dynamic Programming
In order to maximize the chance over the horizon, we may employ the following dependent-chance dynamic programming (Liu [183]),
f (a) =
max
Ch{hN (a, x, N ) 0}
N
gN (a,x,N )0
fn (a) =
max
{Ch{hn (a, x, n ) 0} + fn+1 (T (a, x, n )}
gn (a,x,n )0
n N 1
where hn (a, x, n ) 0 are the events, and gn (a, x, n ) 0 are the uncertain
environments at the nth stages, n = 1, 2, , N , respectively.
8.4
We may integrate simulation, NN, and GA to produce a hybrid intelligent

algorithm for solving general uncertain dynamic programming. In the algorithm, input-output data of uncertain functions are first generated by the
simulation. Then the NN is trained according to the training data to approximate uncertain functions. After that, the trained NN is embedded into
a GA so as to find the optimal solution of uncertain dynamic programming.
Step 1. Set n = N and fN +1 0.
109
Step 2. Generate training input-output data for objective functions at the

stage n like
fn (a) =
fn (a) =
fn (a) =
max
E[gn (a,x,n )]0
max
E[rn (a, x, n ) + fn+1 (T (a, x, n )],
Ch{gn (a,x,n )0}
max
gn (a,x,n )0
{rn (a, x, n ) + fn+1 (T (a, x, n )} ,
{Ch{hn (a, x, n ) 0} + fn+1 (T (a, x, n )}
by a hybrid intelligent algorithm.

Step 3. Train a neural network to approximate the objective functions according to the generated training input-output data.
Step 4. Set n n 1. If n > 1, then go to Step 2.
Step 5. At n = 1, solve the optimization problem by a hybrid intelligent
algorithm and report the optimal solution with respect to the initial
state a.
8.5
Let us consider a 3-stage decision process in which 1 , 2 , 3 are normally

distributed random variables N (3, 1), N (4, 1), N (5, 1), respectively. We also
suppose that the state transition function is
an+1 = an + xn n
for each n. The feasible set of decision variable xi is [0, +) for each i. If
we want to find the maximum value of
3
X
E[exp(|ai + xi i |)],
i=1
then we may use the following expected value dynamic programming,
f3 (a) = max E[exp(|a + x 3 |)]
x0
f2 (a) = max E[exp(|a + x 2 |)] + E[f3 (a + x 2 )]

x0
f1 (a) = max E[exp(|a + x 1 |)] + E[f2 (a + x 1 )].

x0
(8.6)
Chapter 9
Uncertain Multilevel
Programming
In order to model generally uncertain decentralized decision systems, Liu
[183] proposed three types of uncertain multilevel programming, including
expected value multilevel programming, chance-constrained multilevel programming and dependent-chance multilevel programming, and gave the concept of Stackelberg-Nash equilibrium to uncertain multilevel programming.
After that, Gao, Liu and Gen [77] and Gao and Liu [78] investigated
stochastic and fuzzy multilevel programming, and designed a series of hybrid
intelligent algorithm for finding the Stackelberg-Nash equilibrium.
9.1
Expected Value Multilevel Programming
Assume that in a decentralized two-level decision system there is one leader

and m followers. Let x and y i be the control vectors of the leader and
the ith followers, i = 1, 2, , m, respectively. We also assume that the
objective functions of the leader and ith followers are F (x, y 1 , , y m , )
and fi (x, y 1 , , y m , ), i = 1, 2, , m, respectively, where is an uncertain
(random, fuzzy, fuzzy random, random fuzzy) vector.
Let the feasible set of control vector x of the leader be defined by the
expected constraint
E[G(x, )] 0
(9.1)
where G is a vector-valued function and 0 is a zero vector. Then for each decision x chosen by the leader, the feasibility of control vectors y i of the ith followers should be dependent on not only x but also y 1 , , y i1 , y i+1 , , y m ,
and generally represented by the expected constraints,
E[gi (x, y 1 , y 2 , , y m , )] 0
where gi are vector-valued functions, i = 1, 2, , m, respectively.
(9.2)
112
Chapter 9 - Uncertain Multilevel Programming
Assume that the leader first chooses his control vector x, and the followers
determine their control array (y 1 , y 2 , , y m ) after that. In order to maximize the expected objective of the leader, we have the following expected
value bilevel programming,
max E[F (x, y 1 , y 2 , , y m , )]
subject to:
E[G(x, )] 0
E[fi (x, y 1 , y 2 , , y m , )]
max
yi
subject to:
E[gi (x, y 1 , y 2 , , y m , )] 0.
(9.3)
Definition 9.1 Let x be a feasible control vector of the leader. A Nash

equilibrium of followers is the feasible array (y 1 , y 2 , , y m ) with respect to
x if
E[fi (x, y 1 , , y i1 , y i , y i+1 , , y m , )]

E[fi (x, y 1 , , y i1 , y i , y i+1 , , y m , )]
(9.4)
Definition 9.2 Suppose that x is a feasible control vector of the leader and
(y 1 , y 2 , , y m ) is a Nash equilibrium of followers with respect to x . We call
the array (x , y 1 , y 2 , , y m ) a Stackelberg-Nash equilibrium to the expected
value bilevel programming (9.3) if and only if
E[F (x, y 1 , y 2 , , y m , )] E[F (x , y 1 , y 2 , , y m , )]
(9.5)
for any feasible control vector x and the Nash equilibrium (y 1 , y 2 , , y m )

with respect to x.
Section 9.2 - Chance-Constrained Multilevel Programming
9.2
113
Chance-Constrained Multilevel Programming
In order to maximize the optimistic return subject to the chance constraint,

we may use the following chance-constrained bilevel programming,
max F
subject
to:
Ch{F (x, y 1 , y 2 , , y m , ) F }
Ch{G(x, ) 0}
(y , y , , y m ) solves problems (i = 1, 2, , m)
1 2
max f i
yi
subject
to:
Ch{fi (x, y 1 , y 2 , , y m , ) f i } i
Ch{gi (x, y 1 , y 2 , , y m , ) 0} i
(9.6)
where , , i , i , i = 1, 2, , m are predetermined confidence levels.
Definition 9.3 Let x be a feasible control vector of the leader. A Nash

equilibrium of followers is the feasible array (y 1 , y 2 , , y m ) with respect to
x if
f i (x, y 1 , , y i1 , y i , y i+1 , , y m )
f i (x, y 1 , , y i1 , y i , y i+1 , , y m )
(9.7)
Definition 9.4 Suppose that x is a feasible control vector of the leader

and (y 1 , y 2 , , y m ) is a Nash equilibrium of followers with respect to x .
The array (x , y 1 , y 2 , , y m ) is called a Stackelberg-Nash equilibrium to the
chance-constrained bilevel programming (9.6) if and only if,
F (x, y 1 , y 2 , , y m ) F (x , y 1 , y 2 , , y m )
(9.8)
for any feasible control vector x and the Nash equilibrium (y 1 , y 2 , , y m )

with respect to x.
114
In order to maximize the pessimistic return, we have the following minimax chance-constrained bilevel programming,
max min F
subject
to:
Ch{F
(x, y 1 , y 2 , , y m , ) F }
Ch{G(x, ) 0}
(9.9)
max min f i
yi f
subject to:
Ch{fi (x, y 1 , y 2 , , y m , ) f i } i
Ch{gi (x, y 1 , y 2 , , y m , ) 0} i .
9.3
Dependent-Chance Multilevel Programming
Let H(x, y 1 , y 2 , , y m , ) 0 and hi (x, y 1 , y 2 , , y m , ) 0 be the tasks

of the leader and ith followers, i = 1, 2, , m, respectively. In order to maximize the chance functions of the leader and followers, we have the following
dependent-chance bilevel programming,
max Ch{H(x, y 1 , y 2 , , y m , ) 0}
subject
to:
G(x, ) 0
(9.10)
max
Ch{h
(x,
y
,
y
,
,
y
,
)
0}
1
2
m
yi
subject to:
gi (x, y 1 , y 2 , , y m , ) 0.
Definition 9.5 Let x be a control vector of the leader. We call the array
(y 1 , y 2 , , y m ) a Nash equilibrium of followers with respect to x if
Ch{hi (x, y 1 , , y i1 , y i , y i+1 , , y m , ) 0}
Ch{hi (x, y 1 , , y i1 , y i , y i+1 , , y m , ) 0}
(9.11)
subject to the uncertain environment gi (x, y 1 , y 2 , , y m , ) 0, i = 1, 2, , m

for any array (y 1 , , y i1 , y i , y i+1 , , y m ) and i = 1, 2, , m.
Definition 9.6 Let x be a control vector of the leader, and (y 1 , y 2 , , y m )
a Nash equilibrium of followers with respect to x . Then (x , y 1 , y 2 , , y m )
is called a Stackelberg-Nash equilibrium to the dependent-chance bilevel programming (9.10) if and only if,
Ch{H(x, y 1 , y 2 , , y m , ) 0} Ch{H(x , y 1 , y 2 , , y m , ) 0}
115
subject to the uncertain environment G(x, ) 0 for any control vector x

and the Nash equilibrium (y 1 , y 2 , , y m ) with respect to x.
9.4
In order to solve uncertain multilevel programming, Gao, Liu and Gen [77]
and Gao and Liu [78] integrated simulation, NN and GA to produce a series
of hybrid intelligent algorithm.
At first, input-output data of uncertain functions are generated by the
simulation. Then an NN is trained according to the training data to approximate uncertain functions. After that, the trained NN is embedded into a GA
so as to search for Stakelberg-Nash equilibrium efficiently. The procedure of
the hybrid intelligent algorithm is given as follows.
U1 : x E[fi (x, y 1 , y 2 , , y m )],
U2 : x Ch {gi (x, y 1 , y 2 , , y m ) 0} ,

U3 : x max f Ch fi (x, y 1 , y 2 , , y m ) f
by the simulation.
neural network.
Step 5. Compute the Nash equilibrium with respect to each chromosome,
and calculate the objective value by the trained neural network.
values.
Step 9. Return the best chromosome as the Stackelberg-Nash equilibrium.
9.5
In order to illustrate the effectiveness of hybrid intelligent algorithm, we

provide three numerical examples.
116
Example 9.1: We consider a stochastic decentralized decision making problem in which there is one leader and three followers. Assume the control
vector is x = (x1 , x2 ), and the control vectors of the three followers are
y i = (yi1 , yi2 ), i = 1, 2, 3. Let us solve the following expected value multilevel programming,
hp
i
y + y y + y y
x1 x2 + y11
max E
+ 2
12
21
22
31
32
x1 ,x2
subject to:
x1 + x2 10, x1 0, x2 0
) solves the problems

, y32
, y22
, y12
, y31
, y21
(y11
i
h
2 + y 2 + 2y 2 + 2
x
max
E
1
12
11
1
y11 ,y12
subject to:

y11 + 2y12 x2 , y11 0, y12 0
hp
i
2 + 2y 2 + 2
max E
x21 + y21
2
22
y21 ,y22
subject to:
2y21 + 3y22 x2 , y21 0, y22 0
hp
i
2 + y 2 + 2y 2 + 2
max
E
x
3
32
31
1
y31 ,y32
subject to:
3y31 + 4y32 x2 , y31 0, y32 0

where 1 , 2 , 3 , are normally distributed random variables N (1, 1), N (2, 1),
N (3, 1), N (4, 1), respectively.
In order to solve this problem, we generate input-output data for the
uncertain functions
hp
i
x1 x2 + y11 y12 + y21 y22 + y31 y32 + 2 ,
i
hp
2 + 2y 2 + 2 ,
x21 + y11
U1 : (x, y 1 ) E
1
12
hp
i
2 + 2y 2 + 2 ,
U2 : (x, y 2 ) E
x21 + y21
2
22
hp
i
2 + 2y 2 + 2
U3 : (x, y 3 ) E
x21 + y31
3
32
U0 : (x, y 1 , y 2 , y 3 ) E
by stochastic simulation. Then we train an NN to approximate the uncertain

functions Ui , i = 0, 1, 2, 3.
A run of the hybrid intelligent algorithm shows that the stackelberg-Nash
117
equilibrium is
(x1 , x2 ) = (4.670, 5.326),
) = (5.326, 0.000),
, y12
(y11
) = (2.663, 0.000),
, y22
(y21
) = (0.000, 1.332)
, y32
(y31
and the optimal objective values of the leader and three followers are 6.477,
7.218, 5.811, 5.937, respectively.
Example 9.2: Now we reconsider the above stochastic decentralized decision
making problem. Suppose that the leader and followers want to optimize
their optimistic return with a given confidence level subject to some chance
constraints, then the stochastic decentralized decision making problem can
be formulated as the following chance-constrained multilevel programming,
max F
x1 ,x2
subject to:
np
o
y + y y + y y + 2 F
Pr
x
x
+
y
0.9
1
2
31 32
21 22
11 12
x1 + x2 10, x1 0, x2 0

, y32
, y22
, y12
, y31
, y21
(y11
max f 1
y11 ,y12
subject to:
np
o
2 + y 2 + 2y 2 + 2 f
Pr
x
0.9
1
1
11
12
1
y11 + 2y12 x2 , y11 0, y12 0
max f
y21 ,y22
subject to:
np
o
2 + y 2 + 2y 2 + 2 f
Pr
x
0.9
2
1
21
22
2
2y21 + 3y22 x2 , y21 0, y22 0
max f 3

y31 ,y32
subject to:
o
np
2 + y 2 + 2y 2 + 2 f
0.9
Pr
x
3
3
32
31
1
3y31 + 4y32 x2 , y31 0, y32 0

118

uncertain functions
U0 : (x, y 1 , y 2 , y 3 )
np
n
o
o
y + y y + y y + 2 F
max F Pr
x1 x2 + y11
0.9
,
31 32
21 22
12
n
np
o
o
2 + 2y 2 + 2 f
U1 : (x, y 1 ) max f 1 Pr
x21 + y11
1 0.9 ,
12
1
n
np
o
o
2 + 2y 2 + 2 f
U2 : (x, y 2 ) max f 2 Pr
x21 + y21
2 0.9 ,
2
22
np
o
o
n
2 + 2y 2 + 2 f
U3 : (x, y 3 ) max f 3 Pr
x21 + y31
3 0.9
3
32

equilibrium is
(x1 , x2 ) = (4.698, 5.301),
) = (5.301, 0.000),
, y12
(y11
(y21 , y22 ) = (2.650, 0.000),
) = (0.000, 1.325),
, y32
(y31
the optimal objective values of the leader and three followers are 5.567, 7.086,
5.444, 5.352, respectively.
Example 9.3: Now we reconsider the above stochastic decentralized decision

making problem. Suppose that the leader and followers want to maximize
their chance to meet some requirements, then the stochastic decentralized decision making problem can be formulated as the following dependent-chance
119
multilevel programming,
np
o
y + y y + y y
2 5.6
x
x
+
y
max
Pr
+
1
2
11 12
21 22
31 32
x1 ,x2
subject to:
x1 + x2 10, x1 0, x2 0

, y32
, y22
, y12
, y31
, y21
(y11
o
h
2 + y 2 + 2y 2 + 2 7.1

max
Pr
{
x
y ,y
1
12
11
1
11 12
subject to:

y11 + 2y12 x2 , y11 0, y12 0
np
o
2 + y 2 + 2y 2 + 2 5.5
max
Pr
x
2
22
21
1
y21 ,y22
subject to:
2y21 + 3y22 x2 , y21 0, y22 0
np
o
2 + y 2 + 2y 2 + 2 5.4
max
Pr
x
y ,y
3
32
31
1
31 32
subject to:
3y31 + 4y32 x2 , y31 0, y32 0

uncertain functions
o
np
y + y y + y y + 2 5.6 ,
U0 : (x, y 1 , y 2 , y 3 ) Pr
x1 x2 + y11
31 32
21 22
12
h p
o
2 + 2y 2 + 2 7.1 ,
U1 : (x, y 1 ) Pr { x21 + y11
1
12
np
o
2 + 2y 2 + 2 5.5 ,
U2 : (x, y 2 ) Pr
x21 + y21
22
2
np
o
2 + 2y 2 + 2 5.4
x21 + y31
U3 : (x, y 3 ) Pr
32
3
equilibrium is
(x1 , x2 ) = (4.682, 5.314),
(y11
, y12
) = (5.314, 0.000),
(y21 , y22 ) = (2.657, 0.000),
(y31
, y32
) = (0.000, 1.329)
and the optimal objective values of the leader and three followers are 0.94,
0.77, 0.81, 0.86, respectively.
Chapter 10
System Reliability Design

One of the approaches to improve system reliability is to provide redundancy
for components in a system. There are two ways to provide component redundancy: parallel redundancy and standby redundancy. In parallel redundancy,
all redundant elements are required to operate simultaneously. This method
is usually used when element replacements are not permitted during the system operation. In standby redundancy, one of the redundant elements begins
to work only when the active element fails. This method is usually employed
when the replacement is allowable and can be finished immediately.
The system reliability design problem is to determine the optimal number
of redundant elements for each component so as to optimize some system
performance.
10.1
Problem Description
Assume that a system consists of n components, and the ith components

consist of xi redundant elements, i = 1, 2, , n, respectively. For example,
Figure 10.1 shows a bridge system in which we suppose that redundant elements are in standby for the first and second components, and are in parallel
for the third to fifth components.
The first problem is how to estimate the system lifetime when the value of
the vector x = (x1 , x2 , , xn ) is determined. For such a given decision vector
x, suppose that the redundant elements j operating in components i have
lifetimes ij , j = 1, 2, , xi , i = 1, 2, , n, respectively. For convenience,
we use the vector
= (11 , 12 , , 1x1 , 21 , 22 , , 2x2 , , n1 , n2 , , nxn )
to denote the lifetimes of all redundant elements in the system. For parallel
redundancy components, the lifetimes are
Ti (x, ) = max ij ,
1jxi
i = 1, 2, , n.
122
Chapter 10 - System Reliability Design
b
b
x1
x4
Input
Output
1 2 x3
b
b
b
x2
x5
Figure 10.1: A Bridge System

For standby redundancy components, the lifetimes are
Ti (x, ) =
xi
X
ij ,
i = 1, 2, , n.
j=1
How do we calculate the system lifetime T (x, )? It is problem-dependent.

For the bridge system shown in Figure 10.1, since the system works if and
only if there is a path of working components from the input of the system
to the output, the system lifetime is
T1 (x, ) T4 (x, )
T2 (x, ) T5 (x, )
.
T (x, ) = max
T2 (x, ) T3 (x, ) T4 (x, )
T1 (x, ) T3 (x, ) T5 (x, )
10.2
Stochastic Expected Lifetime Maximization Model
In practice, the lifetime of elements is usually a random vector. Thus

the component lifetimes and system lifetime are also random variables. For
this case, one of system performances is the expected lifetime E[T (x, )]. It
is obvious that the greater the expected lifetime E[T (x, )], the better the
decision x.
Let us consider the bridge system shown in Figure 10.1. For simplicity,
we suppose that there is only one type of element to be selected for each
component. The lifetimes of elements are assumed to be exponentially distributed variables EX P() shown in Table 10.1. The decision vector may be
123
Section 10.2 - Stochastic Expected Lifetime Maximization Model
represented by x = (x1 , x2 , , x5 ), where xi denote the numbers of the i-th

types of elements selected, i = 1, 2, , 5, respectively.
Table 10.1: Lifetimes and Prices of 5 Types of Element
Type
Lifetime
Price
1
EX P(20)
50
2
EX P(30)
60
3
EX P(40)
70
4
EX P(50)
80
5
EX P(60)
90
Another important problem is to compute the cost spent for the system.
It follows from Table 10.1 that the the total cost
C(x) = 50x1 + 60x2 + 70x3 + 80x4 + 90x5 .
If the total capital available is 600, then we have a constraint C(x) 600.
For the redundancy system, since we wish to maximize the expected lifetime E[T (x, )] subject to the cost constraint, we have the following stochastic expected lifetime maximization model (Zhao and Liu [331]),
max E[T (x, )]
subject to:
C(x) 600
x 1, integer vector.
(10.1)

In order to solve this type of model, we may employ the hybrid intelligent
algorithm documented in Chapter 4 provided that the initialization, crossover
and mutation operations are revised as follows.
Generally speaking, we use an integer vector V = (x1 , x2 , , xn ) as
a chromosome to represent a solution x, where xi are positive integers,
i = 1, 2, , n. First we set all genes xi as 1, i = 1, 2, , n, and form a
chromosome V . Then we randomly sample an integer i between 1 and n,
and the gene xi of V is replaced with xi + 1. We repeat this process until the chromosome V is proven to be infeasible. We take the last feasible
chromosome as an initial chromosome.
We do the crossover operation on V1 and V2 in the following way. Write
(1)
(1)
(2)
(2)
V1 = x1 , x2 , , x(1)
, V2 = x1 , x2 , , x(2)
n
n
and randomly generate two integers between 1 and n as the crossover points
denoted by n1 and n2 such that n1 < n2 . Then we exchange the genes of
124
the chromosomes V1 and V2 between n1 and n2 and produce two children as

follows,
(1)
(1)
(1)
(1)
(2)
(1)
V10 = x1 , x2 , , xn1 1 , x(2)
,
n1 , , xn2 , xn2 +1 , , xn
(2)
(2)
(2)
(2)
(1)
(2)
V20 = x1 , x2 , , xn1 1 , x(1)
.
n1 , , xn2 , xn2 +1 , , xn
If the child V10 is infeasible, then we use the following strategy to repair it and
make it feasible. At first, we randomly sample an integer i between 1 and n,
and then replace the gene xi of V10 with xi 1 provided that xi 2. Repeat
this process until the revised chromosome V10 is feasible. If the child V10 is
proven to be feasible, then we revise it in the following way. We randomly
sample an integer i between 1 and n, and the gene xi of V10 will be replaced
with xi +1. We repeat this process until the revised chromosome is infeasible,
and take the last feasible chromosome as V10 . A similar revising process will
be made on V20 .
For each selected parent V = (x1 , x2 , , xn ), we mutate it by the following way. We randomly choose two mutation positions n1 and n2 between 1 and n such that n1 < n2 , then we set all genes xj of V as 1 for
j = n1 , n1 + 1, , n2 , and form a new one
V 0 = (x1 , , xn1 1 , 1, , 1, xn2 +1 , , xn ).
We will modify V 0 by the following process. We randomly sample an integer
i between n1 and n2 , and the gene xi of V 0 will be replaced with xi + 1. We
repeat this process until the revised chromosome is infeasible. Finally, we
replace the parent V 0 with the last feasible chromosome.
In order to solve the stochastic expected lifetime maximization model, we
deal with the uncertain function U : x E[T (x, )] by stochastic simulation.
Then, we embed the stochastic simulation into a GA and produce a hybrid
intelligent algorithm. A run of the hybrid intelligent algorithm (5000 cycles
in simulation and 1000 generations in GA) shows that the optimal solution
is
x = (1, 3, 1, 1, 2)
whose expected system lifetime is E[T (x , )] = 62.5, and total cost is
C(x ) = 560.
10.3
Stochastic -Lifetime Maximization Model
One type of system

performance
is the -lifetime defined as the largest value
T satisfying Pr T (x, ) T , where is a predetermined confidence
level.
This section will model redundancy optimization under this criterion.
Consider the bridge system shown in Figure 10.1. The aim is to determine
Section 10.5 - Fuzzy Expected Lifetime Maximization Model
125
the optimal numbers of the redundant elements so as to maximize the lifetime under the cost constraint. Zhao and Liu [331] presented the following
stochastic -lifetime maximization model,
max T
subject to:
(10.2)
Pr T (x, ) T
C(x) 600
For each observational vector of lifetimes of elements, we may estimate
the system lifetime T (x, ). We use the
simulation
to deal with
stochastic
the uncertain function U (x) = max T Pr T (x, ) T based on
the system structure function. Then the stochastic simulation is embedded
into a GA to form a hybrid intelligent algorithm.
When = 0.9, a run of the hybrid intelligent algorithm (5000 cycles in
simulation and 1000 generations in GA) shows that the optimal solution is
x = (3, 2, 1, 2, 1)
with 0.9-system lifetime T = 25.7, and C(x ) = 590.
10.4
Stochastic System Reliability Model
The third type of system performance is the system reliability Pr{T (x, )
T 0 }, which is the probability that the system lifetime is greater than or equal
to the given time T 0 .
If one wants to maximize the system reliability under a cost constraint,
then use the following stochastic system reliability model:
max Pr{T (x, ) T 0 }
subject to:
C(x) 600
(10.3)
In order to solve this model, we deal with the uncertain function U : x

Pr{T (x, ) T 0 } by stochastic simulation. Then we embed the stochastic
simulation into a GA to produce a hybrid intelligent algorithm.
A run of the hybrid intelligent algorithm (15000 cycles in simulation and
300 generations in GA) shows that the optimal solution is
x = (4, 1, 1, 2, 1)
with Pr{T (x , ) T 0 } = 0.85, and the total cost C(x ) = 580.
126
10.5
Fuzzy Expected Lifetime Maximization Model
Although stochastic programming has been successfully applied in redundancy optimization, many problems require subjective judgment either due
to the lack of data or due to the extreme complexity of the system. This fact
motives us to apply fuzzy programming to redundancy optimization problems
in which the lifetimes of elements are treated as fuzzy variables.
Let us reconsider the bridge system shown in Figure 10.1. The lifetimes
of elements are assumed to be triangular fuzzy variables shown in Table 10.2.
The decision vector is represented by x = (x1 , x2 , , x5 ), where xi denote
the numbers of the i-th types of elements selected, i = 1, 2, , 5, respectively.
It follows from Table 10.2 that the the total cost
C(x) = 50x1 + 60x2 + 70x3 + 80x4 + 90x5 .
If the total capital available is 600, then we have a constraint C(x) 600.
Table 10.2: Fuzzy Lifetimes and Prices of 5 Types of Element
Type
Lifetime
Price
1
2
3
4
5
(10, 20, 40) (20, 30, 50) (30, 40, 60) (40, 50, 60) (50, 60, 80)
50
60
70
80
90
For such a standby redundancy system, we define expected lifetime as

E[T (x, )]. If we wish to maximize the expected lifetime E[T (x, )], then
we have the following fuzzy expected lifetime maximization model (Zhao and
Liu [334]),
max E[T (x, )]
subject to:
(10.4)
C(x) 600
x = (2, 4, 1, 1, 1)
whose expected system lifetime is E[T (x , )] = 60.7, and the total cost
C(x ) = 580.
10.6
Fuzzy -Lifetime Maximization Model
By -lifetime we mean the largest value T satisfying Cr T (x, ) T ,

where is a predetermined confidence level.
Section 10.8 - Random Fuzzy Models
127
If the decision maker wants to maximize the -lifetime subject to the cost
constraint, then we have the following fuzzy -lifetime maximization model
(Zhao and Liu [334]),
max T
subject to:
(10.5)
Cr T (x, ) T
C(x) 600
When = 0.8, a run of the hybrid intelligent algorithm (15000 cycles in
x = (2, 4, 1, 1, 1)
whose 0.8-system lifetime T = 53.1, and the total cost C(x ) = 580.
10.7
Fuzzy System Reliability Model
By system reliability we mean Cr{T (x, ) T 0 }, i.e., the credibility that the
system lifetime is greater than or equal to the given time T 0 .
If one wants to maximize the system reliability under a cost constraint,
then use the following fuzzy system reliability model (Zhao and Liu [334]):
max Cr{T (x, ) T 0 }
subject to:
(10.6)
C(x) 600
When T 0 = 50, a run of the hybrid intelligent algorithm (15000 cycles in
x = (2, 4, 1, 1, 1)
with Cr{T (x , ) T 0 } = 0.95 and the total cost C(x ) = 580.
10.8
Random Fuzzy Models
In a classical system reliability design problem, the element lifetimes are assumed to be random variables or fuzzy variables. Although this assumption
has been accepted and accorded with the facts in widespread cases, it is not
appropriate in a vast range of situations. In many practical situations, the
fuzziness and randomness of the element lifetimes are often mixed up with
each other. For example, the element lifetimes are assumed to be exponentially distributed variables with unknown parameters. In this case, fuzziness
128
and randomness of the element lifetimes are required to be considered simultaneously and the effectiveness of the classical redundancy optimization
theory is lost.
Now we suppose that the element lifetimes are random fuzzy variables.
If we wish to maximize the expected lifetime E[T (x, )], then we have the
following random fuzzy expected lifetime maximization model (Zhao and Liu
[333]),
max E[T (x, )]
subject to:
(10.7)
C(x) 600
We define the largest value T satisfying Ch T (x, ) T () as the

(, )-lifetime of the system, where and are predetermined confidence
levels. If the decision maker wants to maximize the (, )-lifetime subject to
the cost constraint, then we have the following random fuzzy (, )-lifetime
maximization model (Zhao and Liu [333]),
max T
to:
subject
(10.8)
Ch T (x, ) T ()
C(x) 600
By system reliability we mean Ch{T (x, ) T 0 }(), i.e., the chance that
the system lifetime is greater than or equal to the given time T 0 . If one
wants to maximize the system reliability under a cost constraint, then use
the following random fuzzy system reliability model (Zhao and Liu [333]):
max Ch{T (x, ) T 0 }()
subject to:
(10.9)
C(x) 600
Problem 10.1. Design a hybrid intelligent algorithm to solve random fuzzy
models for system reliability design problem.
Problem 10.2. Construct models for system reliability design problem with
fuzzy random element lifetimes.
Chapter 11
Project Scheduling
Problem
Project scheduling problem is to determine the schedule of allocating resources so as to balance the total cost and the completion time. Uncertainty
always exists in project scheduling problem, due to the vagueness of project
activity duration times. Freeman [71][72] first introduced probability theory
into project scheduling problem in 1960. After that, project scheduling problem has been studied widely. This chapter will introduce some optimization
models for stochastic and fuzzy project scheduling problems proposed by Ke
and Liu [128][129].
11.1
Problem Description
Project scheduling is usually represented by a directed acyclic graph where

nodes correspond to milestones, and arcs to activities which are basically
characterized by the times and costs consumed.
Let G = (V, A) be a directed acyclic graph, where V = {1, 2, , n, n + 1}
is the set of nodes, A is the set of arcs, (i, j) A is the arc of the graph G
from nodes i to j. It is well-known that we can rearrange the indexes of the
nodes in V such that i < j for all (i, j) A.
Before we begin to study project scheduling problem with stochastic activity duration times, we first make some assumptions: (a) all of the costs
needed are obtained via loans with some given interest rate; and (b) each
activity can be processed only if the loan needed is allocated and all the
foregoing activities are finished.
In order to model the project scheduling problem, we first introduce the
following indices and parameters:
ij : uncertain duration time of activity (i, j) in A;
cij : cost of activity (i, j) in A;
130
Chapter 11 - Project Scheduling Problem
- 5k
> Z
Z
Z
~ k
- 3k
- 6k
1k
8
Z
Z
>
Z
Z
Z
Z
Z
Z
Z
Z
Z
Z
Z
~ k
Z
~ k
7
4
>
2k
Figure 11.1: A Project Graph

r: the interest rate;
xi : integer decision variable representing the allocating time of all loans
needed for all activities (i, j) in A.
For simplicity, we also write = {ij : (i, j) A}, x = (x1 , x2 , , xn ).
Denote Ti (x, ) as the starting time of all activities (i, j) in A. According to
the assumptions, the starting time of the total project should be
T1 (x, ) = x1 .
(11.1)
The starting time of activities (i, j) in A should be

Ti (x, ) = xi max {Tk (x, ) + ki } ,
(k,i)A
i = 2, 3, , n.
(11.2)
The completion time of the total project is

T (x, ) =
max
(k,n+1)A
{Tk (x, ) + k,n+1 } .
(11.3)
Therefore, the total cost of the project can be written as

C(x, ) =
d(T (x,)xi e
cij (1 + r)
(11.4)
(i,j)A
where dae represents the minimal integer greater than or equal to a.
11.2
Stochastic Expected Cost Minimization Model
If we want to minimize the expected cost of the project under the expected
completion time constraint, we may construct the following stochastic ex-
131
Section 11.3 - Stochastic -Cost Minimization Model
pected cost minimization model (Ke and Liu [128]),
min E[C(x, )]
subject to:
E[T (x, )] T 0
x 0, integer vector
(11.5)
where T 0 is the due date of the project, T (x, ) and C(x, ) are the completion time and total cost defined by (11.3) and (11.4), respectively.
Example 11.1: Now let us consider a project scheduling problem shown
in Figure 11.1. The duration times and the costs needed for the relevant
activities in the project are presented in Table 11.1, and the monthly interest
rate r = 0.006 according to some practical case. Note that the activity
duration times are assumed to be normally distributed random variables
N (, 2 ).
Table 11.1: Stochastic Duration Times and Costs of Activities
Duration
Arc
(1,2)
(1,4)
(3,5)
(3,7)
(5,8)
(7,8)
Duration
Time
(Month)
Cost
Arc
Time
(Month)
Cost
N (9, 3)
N (10,3)
N (8, 2)
N (9, 3)
N (10, 2)
N (11, 2)
1500
430
800
2000
550
630
(1,3)
(2,5)
(3,6)
(4,7)
(6,8)
N (5,2)
N (6, 2)
N (8, 2)
N (6, 1)
N (15,3)
1800
1600
500
2100
530
Now we are requested to finish the project within 32 months, i.e., T 0 = 32

(month). A run of the hybrid intelligent algorithm (5000 cycles in simulation,
4000 generations in GA) shows that the expected cost E[C(x , )] = 14345,
the expected completion time E[T (x , )] = 30.4, and the optimal schedule
for the project is shown in Table 11.2.
Table 11.2: Schedule of the Expected Cost Model
Date
Node
Loan
1
1
3730
6
3
3300
12
2,4
3700
13
6
530
17
7
630
18
5
550
132
11.3
Stochastic -Cost Minimization Model
Pr{C(x, ) C}
, where
The -cost of a project is defined as min C|
is a predetermined confidence level. If we want to minimize the -cost
of the project under the completion time chance constraint with a predetermined confidence level , we have the following stochastic -cost minimization model (Ke and Liu [128]),
min C
subject to:

Pr{C(x, ) C}
(11.6)
Pr{T
(x,
)
T
}
x 0, integer vector
Example 11.2: If = 0.9, = 0.9 and T 0 = 32 (month), then a run of
the hybrid intelligent algorithm (5000 cycles in simulation, 4000 generations
in GA) shows that the -cost C = 14502, Pr{C(x , ) C } = 0.901,
Pr{T (x , ) T 0 } = 0.905, and the optimal schedule is presented in Table 11.3.
Table 11.3: Schedule of the -Cost Model
Date
Node
Loan
11.4
1
1
3730
5
3
3300
12
2,4
3700
13
6
530
18
5,7
1180
Probability Maximization Model
If we want to maximize the probability that the total cost should not exceed a
predetermined level C 0 subject to the chance constraint Pr{T (x, ) T 0 }
, then we have the following probability maximization model (Ke and Liu
[128]),
0
max
Pr
C(x,
)
subject to:
(11.7)
Pr{T (x, ) T 0 }
x 0, integer vector
where T (x, ) and C(x, ) are the completion time and total cost defined by
(11.3) and (11.4), respectively.
133
Section 11.6 - Fuzzy -Cost Minimization Model
Example 11.3: If C 0 = 14530, T 0 = 32 and = 0.9, then a run of the

hybrid intelligent algorithm (5000 cycles in simulation, 4000 generations in
GA) shows that the probability Pr{C(x , ) C 0 } = 0.912, Pr{T (x , )
T 0 } = 0.906 and the optimal schedule is presented in Table 11.4.
Table 11.4: Schedule of the Probability Maximization Model
Date
Node
Loan
11.5
1
1
3730
6
3
3300
10
2
1600
11
4
2100
13
6
530
17
7
630
18
5
550
Fuzzy Expected Cost Minimization Model
This section will assume that the activity duration times are all fuzzy variables rather than random ones. If we want to minimize the expected cost of
the project under the expected completion time constraint, we may construct
the following fuzzy expected cost minimization model (Ke and Liu [129]),
min E[C(x, )]
subject to:
(11.8)
E[T (x, )] T 0
x 0, integer vector
Example 11.4: Now let us consider a project scheduling problem shown
in Figure 11.1. The duration times and the costs needed for the relevant
activities in the project are presented in Table 11.5, and the monthly interest
rate r = 0.006 according to some practical case. Note that the activity
duration times are assumed to be triangular fuzzy variables.
Now we are requested to finish the project within 32 months, i.e., T 0 = 32
(month). A run of the hybrid intelligent algorithm (5000 cycles in simulation,
4000 generations in GA) shows that the expected cost E[C(x , )] = 14286,
the expected completion time E[T (x , )] = 30.4, and the optimal schedule
for the project is shown in Table 11.6.
11.6
Fuzzy -Cost Minimization Model
, where
) C}
The -cost of a project is defined as min C|Cr{C(x,
is a predetermined confidence level. If we want to minimize the -cost of the
project under the completion time chance constraint with a predetermined
134
Table 11.5: Fuzzy Duration Times and Costs of Activities

Duration
Duration
Arc
Time
(Month)
Cost
Arc
Time
(Month)
Cost
(1,2)
(1,4)
(3,5)
(3,7)
(5,8)
(7,8)
(7, 9, 12)
(7,10,12)
(6,8,11)
(6,9,12)
(8,10,12)
(9,11,13)
1500
430
800
2000
550
630
(1,3)
(2,5)
(3,6)
(4,7)
(6,8)
(3,5,7)
(4,6,9)
(6,8,10)
(5,6,8)
(13,16,18)
1800
1600
500
2100
530
Table 11.6: Schedule of the Expected Cost Model

Date
Node
Loan
1
1
3730
7
3
3300
12
6
530
13
4
2100
14
2
1600
18
7
630
19
5
550
confidence level , we have the following fuzzy -cost minimization model

(Ke and Liu [129]),
min C
subject to:

Cr{C(x, ) C}
(11.9)
Cr{T (x, ) T }
x 0, integer vector
Example 11.5: If = 0.9, = 0.9 and T 0 = 32 (month), then a run of
the hybrid intelligent algorithm (5000 cycles in simulation, 4000 generations
in GA) shows that the -cost C = 14331, Cr{C(x , ) C } = 0.913,
Cr{T (x , ) T 0 } = 0.917, and the optimal schedule is presented in Table 11.7.
11.7
Credibility Maximization Model
If we want to maximize the credibility that the total cost should not exceed a
predetermined level C 0 subject to the chance constraint Cr{T (x, ) T 0 }
135
Table 11.7: Schedule of the -Cost Model

Date
Node
Loan
1
1
3730
6
3
3300
13
4
2100
14
2
1600
15
6
530
20
7
630
21
5
550
, then we have the following credibility maximization model (Ke and Liu
[129]),
max Cr C(x, ) C 0
subject to:
(11.10)
Cr{T (x, ) T 0 }
x 0, integer vector
Example 11.6: If C 0 = 14370, T 0 = 32 and = 0.9, then a run of the
hybrid intelligent algorithm (5000 cycles in simulation, 4000 generations in
GA) shows that the credibility Cr{C(x , ) C 0 } = 0.95, Cr{T (x , )
T 0 } = 0.95 and the optimal schedule is presented in Table 11.8.
Table 11.8: Schedule of the Credibility Maximization Model
Date
Node
Loan
11.8
1
1
3730
6
3
3300
13
4,6
2630
14
2
1600
19
5,7
1180
Random Fuzzy Models
We suppose that the duration times are random fuzzy variables. If we want
to minimize the expected cost of the project under the expected completion
time constraint, we may construct the following random fuzzy expected cost
minimization model (Ke and Liu [130]),
min E[C(x, )]
subject to:
(11.11)
E[T (x, )] T 0
x 0, integer vector
136
,
) C}
The (, )-cost of a project is defined as min C|Ch{C(x,
where and are predetermined confidence levels. If we want to minimize
the (, )-cost of the project under the completion time chance constraint
with predetermined confidence levels and , we have the following random
fuzzy (, )-cost minimization model (Ke and Liu [130]),
min C
subject to:
Ch{C(x, ) C}()
(11.12)
Ch{T (x, ) T }()
x 0, integer vector
If we want to maximize the chance that the total cost should not exceed
a predetermined level C 0 subject to the chance constraint Ch{T (x, )
T 0 }() , then we have the following chance maximization model (Ke and
Liu [130]),
0
max
Ch
C(x,
)
C
()
subject to:
(11.13)
Ch{T (x, ) T 0 }()
x 0, integer vector
models for project scheduling problem.
Problem 11.2. Construct models for project scheduling problem with fuzzy
random duration times.
Chapter 12
Vehicle Routing Problem

Vehicle routing problem (VRP) is concerned with finding efficient routes,
beginning and ending at a central depot, for a fleet of vehicles to serve a
number of customers. See Figure 12.1.
............
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..... ..................................................................... ....
.
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Figure 12.1: A Vehicle Routing Graph

Due to its wide applicability and economic importance, VRP has been
extensively studied. Practically, there are uncertain factors in VRP. Waters
[301] listed various potential uncertainties, such as demands of customers,
travel times between customers, customers to be visited, locations of customers, capacities of vehicles, and number of vehicles available. This fact
provides a motivation to study uncertain VRP. Bertsimas and Simchi-Levi
[18] and Gendreau et al. [88] surveyed the new developments in the research
area of stochastic VRP. Dror et al. [56], Bastian and Rinnooy Kan [11], La-
138
Chapter 12 - Vehicle Routing Problem
porte et al. [152], and Liu and Lai [185] presented several models for stochastic
VRP. When the travel times are provided as fuzzy variables rather than random variables, Zheng and Liu [337] suggested a fuzzy optimization model for
VRP.
12.1
Problem Description
We assume that: (a) a vehicle will be assigned for only one route on which
there may be more than one customer; (b) a customer will be visited by one
and only one vehicle; (c) each route begins and ends at the depot; and (d) each
customer specifies its time window within which the delivery is permitted or
preferred to start.
Let us first introduce the following indices and model parameters:
i = 0: depot;
i = 1, 2, , n: customers;
k = 1, 2, , m: vehicles;
Dij : the travel distance from customers i to j, i, j = 0, 1, 2, , n;
Tij : the uncertain travel time from customers i to j, i, j = 0, 1, 2, , n;
Si : the unloading time at customer i, i = 1, 2, , n;
[ai , bi ]: the time window of customer i, where ai and bi are the beginning
and end of the time window, i = 1, 2, , n, respectively.
In this book, the operational plan is represented by Lius formulation [183]
via three decision vectors x, y and t, where
x = (x1 , x2 , , xn ): integer decision vector representing n customers
with 1 xi n and xi 6= xj for all i 6= j, i, j = 1, 2, , n. That is, the
sequence {x1 , x2 , , xn } is a rearrangement of {1, 2, , n};
y = (y1 , y2 , , ym1 ): integer decision vector with y0 0 y1 y2
ym1 n ym ;
t = (t1 , t2 , , tm ): each tk represents the starting time of vehicle k at
the depot, k = 1, 2, , m.
We note that the operational plan is fully determined by the decision
vectors x, y and t in the following way. For each k (1 k m), if yk = yk1 ,
then vehicle k is not used; if yk > yk1 , then vehicle k is used and starts from
the depot at time tk , and the tour of vehicle k is 0 xyk1 +1 xyk1 +2
xyk 0. Thus the tours of all vehicles are as follows:
Vehicle 1: 0 xy0 +1 xy0 +2 xy1 0;
Vehicle 2: 0 xy1 +1 xy1 +2 xy2 0;
Vehicle m: 0 xym1 +1 xym1 +2 xym 0.
(12.1)
It is clear that this type of representation is intuitive, and the total number
of decision variables is n + 2m 1. We also note that the above decision
variables x, y and t ensure that: (a) each vehicle will be used at most one
139
Section 12.2 - Stochastic Distance Minimization Model
time; (b) all tours begin and end at the depot; (c) each customer will be
visited by one and only one vehicle; and (d) there is no subtour.
Let fi (x, y, t) be the arrival time function of some vehicles at customers i
for i = 1, 2, , n. We remind readers that fi (x, y, t) are determined by the
decision variables x, y and t, i = 1, 2, , n. Since unloading can start either
immediately, or later, when a vehicle arrives at a customer, the calculation of
fi (x, y, t) is heavily dependent on the operational strategy. Here we assume
that the customer does not permit a delivery earlier than the time window.
That is, the vehicle will wait to unload until the beginning of the time window
if it arrives before the time window. If a vehicle arrives at a customer after
the beginning of the time window, unloading will start immediately. For each
k with 1 k m, if vehicle k is used (i.e., yk > yk1 ), then we have
fxyk1 +1 (x, y, t) = tk + T0xyk1 +1
(12.2)
and
fxyk1 +j (x, y, t) = fxyk1 +j1 (x, y, t) axyk1 +j1
+Sxyk1 +j1 + Txyk1 +j1 xyk1 +j
(12.3)
for 2 j yk yk1 , where denotes the maximum operator. It follows

from the uncertainty of travel times Tij s that the arrival times fi (x, y, t),
i = 1, 2, , n are uncertain variables fully determined by (12.2) and (12.3).
Let g(x, y) be the total travel distance of all vehicles. Then we have
g(x, y) =
m
X
gk (x, y)
(12.4)
k=1
where
yP
k 1
D
Dxj xj+1 + Dxyk 0 , if yk > yk1
0xyk1 +1 +
gk (x, y) =
j=yk1 +1
0,
if yk = yk1
for k = 1, 2, , m.
12.2
Stochastic Distance Minimization Model
Now we assume that the travel times are random variables. If we hope that
all customers are visited within their time windows with a confidence level
, then we have the following chance constraint,
Pr {ai fi (x, y, t) bi , i = 1, 2, , n} .
(12.5)
If we want to minimize the total travel distance of all vehicles subject to

the time window constraint, then we have the following stochastic distance
140
minimization model (Liu and Lai [185]),
min g(x, y)
subject to:
Pr {ai fi (x, y, t) bi , i = 1, 2, , n}
1 xi n, i = 1, 2, , n
xi 6= xj , i 6= j, i, j = 1, 2, , n
0
y1 y2 ym1 n
xi , yj , i = 1, 2, , n, j = 1, 2, , m 1,
(12.6)
integers.

In order to solve the stochastic models, we may employ the hybrid intelligent
algorithm documented in Chapter 4 provided that the representation structure, initialization, crossover and mutation operations are revised as follows.
We represent an operational plan by the chromosome V = (x, y, t), where
the genes x, y, t are the same as the decision vectors. Without loss of generality, we also assume that the time window at the depot is [a, b]. This means
that the gene t will be restricted in the hypercube [a, b]m .
Let us show how to initialize a chromosome randomly. For gene x, we
define a sequence {x1 , x2 , , xn } with xi = i, i = 1, 2, , n, and repeat
the following process from j = 1 to n: generating a random position n0 between j and n, and exchanging the values of xj and xn0 . It is clear that
{x1 , x2 , , xn } is just a random rearrangement of {1, 2, , n}. Then we
obtain a gene x = (x1 , x2 , , xn ). For each i with 1 i m 1, we
set yi as a random integer between 0 and n. Then we rearrange the sequence {y1 , y2 , , ym1 } from small to large. We thus have a gene y =
(y1 , y2 , , ym1 ). Finally, for each i with 1 i m, we set ti as a random
number on the time window [a, b]. Then we get a gene t = (t1 , t2 , , tm ).
If the generated chromosome V = (x, y, t) is proven to be feasible, then it
is accepted as a chromosome; otherwise we repeat the above process until a
feasible chromosome is obtained.
Let us illustrate the crossover operator on the pair V1 and V2 . We denote
V1 = (x1 , y 1 , t1 ) and V2 = (x2 , y 2 , t2 ). First, we generate a random number
c from the open interval (0, 1) and define
t01 = c t1 + (1 c) t2 ,
t02 = (1 c) t1 + c t2 .
The two children V10 and V20 are produced by the crossover operation as
follows: V10 = (x1 , y 2 , t01 ) and V20 = (x2 , y 1 , t02 ).
We mutate the chromosome V = (x, y, t) in the following way. For the
gene x, we randomly generate two mutation positions n1 and n2 between 1
and n, and rearrange the sequence {xn1 , xn1 +1 , , xn2 } at random to form
a new sequence {x0n1 , x0n1 +1 , , x0n2 }. We thus obtain a new gene
x0 = (x1 , , xn1 1 , x0n1 , x0n1 +1 , , x0n2 , xn2 +1 , , xn ).
141
Section 12.2 - Stochastic Distance Minimization Model
Similarly, for gene y, we generate two random mutation positions n1 and n2

between 1 and m 1, and set yi as a random integer number yi0 between 0
and n for i = n1 , n1 + 1, , n2 . We then rearrange the sequence
{y1 , , yn1 1 , yn0 1 , yn0 1 +1 , , yn0 2 , yn2 +1 , , ym1 }
from small to large and obtain a new gene y 0 . For the gene t, we choose a
mutation direction d in <m randomly. If t + M d is not in the time window
[a, b]m , then we set M as a random number between 0 and M until it is in
[a, b]m , where M is a predetermined step length. If the above process cannot
yield a gene t in [a, b]m in a predetermined number of iterations, then we set
M = 0. We replace the parent gene t with its child t0 = t + M d.
Example 12.1: We assume that there are 8 customers labeled 1, 2, , 8
in a company and one depot labeled 0. We assume that the travel distances
among the depot and customers are listed in Table 12.1.
Table 12.1: Travel Distance Matrix
LCTs
1
2
3
4
5
6
7
8
0
18
14
14
21
17
21
18
14
20
34
55
49
57
49
22
15
41
43
55
52
35
28
36
51
51
44
21
36
43
55
16
22
41
13
43
32
The travel times among the depot and customers are all normally distributed variables N (, 2 ), which are given in Table 12.2.
The time windows of customers are shown in Table 12.3.
We suppose that the unloading times (Si , i = 1, 2, , 8) at locations are
all 15 minutes.
We assign a confidence level = 0.80 at which all customers are visited
within their time windows. If we want to minimize the total travel distance
of all vehicles subject to the chance constraint, then we have a stochastic distance minimization model. A run of the hybrid intelligent algorithm (10000
cycles in simulation, 5000 generations in GA) shows that the best operational
plan is:
Vehicle 1: depot 6 7 depot, starting time = 8:45;
Vehicle 2: depot 3 depot, starting time = 9:17;
Vehicle 3: depot 8 1 2 5 4 depot, starting time = 8:35.
142
Table 12.2: Stochastic Travel Time Matrix (, 2 )

LCTs
1
2
3
4
5
6
7
8
LCTs
5
6
7
8
0
(50,25)
(10,5)
(50,25)
(50,25)
(50,25)
(15,7)
(50,25)
(50,25)
4
(30,15)
(35,17)
(30,15)
(10,5)
(40,20)
(10,5)
(35,17)
(15,7)
(40,20)
(15,7)
(10,5)
5
(40,20)
(35,17)
(40,20)
(10,5)
(45,22)
(35,17)
6
(30,15)
(5,2)
(45,22)
(10,5)
(30,15)
7
(40,20)
(10,5)
(30,15)
(40,20)
(35,17)
(35,17)
Table 12.3: Time Windows of Customers

i
1
4
7
[ai , bi ]
[09 : 30, 14 : 10]
[09 : 20, 13 : 00]
[09 : 40, 12 : 10]
i
2
5
8
[ai , bi ]
[09 : 20, 11 : 00]
[09 : 10, 15 : 20]
[09 : 20, 10 : 00]
i
3
6
[ai , bi ]
[09 : 40, 11 : 10]
[08 : 20, 10 : 00]
The total travel distance of the three vehicles is 221. Furthermore, when the
obtained operational plan is performed, we have
Pr {ai fi (x , y , t ) bi , i = 1, 2, , 8} = 0.85.
12.3
If we hope that total travel distance does not exceed a fixed number g, then
we have a distance constraint g(x, y) g. If we want to maximize the
probability that all customers are visited within their time windows subject to
the distance constraint, then we have the following probability maximization
143
Section 12.4 - Fuzzy Distance Minimization Model
model,
max Pr {ai fi (x, y, t) bi , i = 1, 2, , n}
subject to:
g(x, y) g
1 xi n, i = 1, 2, , n
xi 6= xj , i 6= j, i, j = 1, 2, , n
0
y1 y2 ym1 n
xi , yj , i = 1, 2, , n, j = 1, 2, , m 1,
(12.7)
integers.
Example 12.2: We set g = 240. A run of the hybrid intelligent algorithm

(10000 cycles in simulation, 5000 generations in GA) shows that the best
operational plan is:
Vehicle 1: depot 1 3 2 depot, starting time = 8:51;
Vehicle 2: depot 6 5 7 4 depot, starting time = 9:04;
Vehicle 3: depot 8 depot, starting time = 8:58.
When the obtained operational plan is performed, the total travel distance
is 232, and
Pr {ai fi (x , y , t ) bi , i = 1, 2, , 8} = 0.88.
12.4
Fuzzy Distance Minimization Model
Here we assume that the travel times are fuzzy variables instead of stochastic
variables. Since the travel times are fuzzy variables, every customer will be
visited at a fuzzy time. If we hope that all customers are visited within their
time windows with a confidence level , then we have the following chance
constraint,
Cr {ai fi (x, y, t) bi , i = 1, 2, , n} .
(12.8)
If we want to minimize the total distance traveled of all vehicles subject to time window constraints, then we have the following fuzzy distance
minimization model (Zheng and Liu [337]),
min g(x, y)
subject to:
Cr {ai fi (x, y, t) bi , i = 1, 2, , n}
1 xi n, i = 1, 2, , n
xi 6= xj , i 6= j, i, j = 1, 2, , n
0
y1 y2 ym1 n
xi , yj , i = 1, 2, , n, j = 1, 2, , m 1, integers.
144
Table 12.4: Fuzzy Travel Time Matrix

LCTs
1
2
3
4
5
6
7
8
LCTs
5
6
7
8
0
(25,50,75)
(5,10,15)
(25,50,75)
(25,50,75)
(25,50,75)
(7,15,23)
(25,50,75)
(25,50,75)
4
(15,30,45)
(17,35,53)
(15,30,45)
(5,10,15)
(20,40,60)
(5,10,15)
(17,35,53)
(7,15,23)
(20,40,60)
(7,15,23)
(5,10,15)
5
(20,40,60)
(17,35,53)
(20,40,60)
(5,10,15)
(22,45,68)
(17,35,53)
6
(15,30,45)
(2,5,8)
(22,45,68)
(5,10,15)
(15,30,45)
7
(20,40,60)
(5,10,15)
(15,30,45)
(20,40,60)
(17,35,53)
(17,35,53)
Example 12.3: Let us consider a fuzzy vehicle routing problem shown in

Figure 12.1. We assume that the distance matrix is listed in Table 12.1 and
the time windows customers are given in Table 12.3. We also assume that
the travel times among the deport and customers are all triangular fuzzy
variables as shown in Table 12.4. Finally, we suppose that the unloading
times at the 8 locations are all 15 minutes.
If the confidence level is 0.80, then a run of the hybrid intelligent algorithm (10000 cycles in simulation, 5000 generations in GA) shows that the
best operational plan is:
Vehicle 2: depot 8 depot, starting time = 8:48;
Vehicle 3: depot 2 3 1 depot, starting time = 9:21.
The total distance travelled by the three vehicles is 224. Furthermore, when
the operational plan is performed, we have
Cr {ai fi (x , y , t ) bi , i = 1, 2, , 8} = 0.87.
12.5
If we hope that total travel distance does not exceed a fixed number g, then
we have a distance constraint g(x, y) g. If we want to maximize the
credibility that all customers are visited within their time windows subject to
the distance constraint, then we have the following credibility maximization
145
model,
max Cr {ai fi (x, y, t) bi , i = 1, 2, , n}
subject to:
g(x, y) g
1 xi n, i = 1, 2, , n
xi 6= xj , i 6= j, i, j = 1, 2, , n
0
y1 y2 ym1 n
xi , yj , i = 1, 2, , n, j = 1, 2, , m 1,
(12.9)
integers.
Example 12.4: We set g = 240. A run of the hybrid intelligent algorithm

(10000 cycles in simulation, 5000 generations in GA) shows that the best
operational plan is
Vehicle 1: depot 8 1 3 depot, starting time = 8:55;
Vehicle 3: depot 2 depot, starting time = 9:21.
When the operational plan is performed, the total travel distance is 231, and
Cr {ai fi (x , y , t ) bi , i = 1, 2, , 8} = 0.96.
12.6
Random Fuzzy Models
Now we suppose that the the travel times are random fuzzy variables. If we
hope that all customers are visited within their time windows with confidence
levels and , then we have the following chance constraint,
Ch {ai fi (x, y, t) bi , i = 1, 2, , n} () .
(12.10)
If we want to minimize the total travel distance of all vehicles subject to the
time window constraint, then we have the following random fuzzy distance
minimization model,
min g(x, y)
subject to:
Ch {ai fi (x, y, t) bi , i = 1, 2, , n} ()
1 xi n, i = 1, 2, , n
(12.11)
xi 6= xj , i 6= j, i, j = 1, 2, , n
0 y1 y2 ym1 n
If we hope that total travel distance does not exceed a fixed number g,
then we have a distance constraint g(x, y) g. If we want to maximize
146
the chance that all customers are visited within their time windows subject
to the distance constraint, then we have the following chance maximization
model,
max Ch {ai fi (x, y, t) bi , i = 1, 2, , n} ()
subject to:
g(x, y) g
1 xi n, i = 1, 2, , n
(12.12)
xi 6= xj , i 6= j, i, j = 1, 2, , n
0
y1 y2 ym1 n
xi , yj , i = 1, 2, , n, j = 1, 2, , m 1, integers
where is a given confidence level.
models for vehicle routing problem.
Problem 12.2. Construct models for vehicle routing problem with fuzzy
random travel times.
Chapter 13
Facility Location Problem

Facility location problem is to find locations for new facilities such that the
conveying cost from facilities to customers is minimized. Facility location
problem has been studied for half a century because of its widely practical
application backgrounds.
Facility location problem was first proposed by Cooper [51] in 1963. In
practice, some factors such as demands, allocations, even locations of customers and facilities are usually changing. The uncapacitated facility location
problem with stochastic demand was considered by Logendran and Terrell
[203] in 1988, in which the customers are supplied by the nearest factory.
However, in a capacitated problem, the customers may not be supplied by
the nearest factory only. In order to solve this type of problem, Zhou and
Liu [338] presented three types of stochastic model for capacitated facility
location problem with stochastic demands. When the demands are given as
fuzzy variables rather than random ones, Zhou and Liu [340] presented three
types of fuzzy optimization model.
13.1
Problem Description
In order to model facility location problem, we use the following indices,

parameters, and decision variables:
i = 1, 2, , n: facilities;
j = 1, 2, , m: customers;
(aj , bj ): location of customer j, 1 j m;
j : uncertain demand of customer j, 1 j m;
si : capacity of facility i, 1 i n;
(xi , yi ): decision vector representing the location of facility i, 1 i n;
zij : quantity supplied to customer j by facility i after the uncertain demands are realized, 1 i n, 1 j m.
We write the demand vector = (1 , 2 , , m ). For convenience, we
148
Chapter 13 - Facility Location Problem
also write
y1
y2
,

yn
x1
x2
(x, y) =

xn
z11
z21
z=

zn1
z12
z22
zn2
z1m
z2m
.

znm
(13.1)
For each , () is a realization of uncertain vector . An allocation

z is said to be feasible with respect to if and only if
zij 0, i = 1, 2, , n, j = 1, 2, , m
P
zij = j (), j = 1, 2, , m
(13.2)
i=1
m
P
zij si , i = 1, 2, , n.
j=1
We denote the feasible allocation set by
zij 0, i = 1, 2, , n, j = 1, 2, , m
P
zij = j (), j = 1, 2, , m
Z() = z i=1
m
P
zij si , i = 1, 2, , n
j=1
(13.3)
Note that Z() may be an empty set for some .

For each , the minimal cost is the one associated with the best
allocation z, i.e.,
C(x, y|) = min
z Z( )
m
n X
X
q
zij
(xi aj )2 + (yi bj )2
(13.4)
i=1 j=1
whose optimal solution z is called the optimal allocation. If Z() = , then

the demands of some customers are impossible to be met. As a penalty, we
define
C(x, y|) =
13.2
m
P
p
max j () (xi aj )2 + (yi bj )2 .
j=1 1in
(13.5)
Stochastic Expected Cost Minimization Model
Since the demands are stochastic variables, the conveying cost C(x, y|) is
also a stochastic variable. In order to evaluate the location design, we use its
expected cost
Z
E[C(x, y|)] =
Pr C(x, y|) r dr.
(13.6)
0
Section 13.2 - Stochastic Expected Cost Minimization Model
149
In order to minimize the expected cost, Zhou and Liu [338] presented the
following expected cost minimization model for stochastic facility location
problem,
Pr C(x, y|) r dr
min
x ,y 0
(13.7)
subject to:
gj (x, y) 0, j = 1, 2, , p
where gj (x, y) 0, j = 1, 2, , p represent the potential region of locations
of new facilities and C(x, y|) is defined by equation (13.4).
This model is different from traditional stochastic programming models
because there is a sub-problem in it, i.e.,
q
n P
m
P
2
2
min
(xi aj ) + (yi bj )
z
ij
i=1 j=1
subject to:
n
P
(13.8)
zij = j (), j = 1, 2, , m
i=1
m
P
zij si , i = 1, 2, , n
j=1
zij 0, i = 1, 2, , n, j = 1, 2, , m.
Note that in (13.8) the parameters xi , yi and j () are fixed real numbers for
i = 1, 2, , n, j = 1, 2, , m. It is clearly a linear programming which may
be solved by the simplex algorithm.
Example 13.1: Assume that there are 3 new facilities whose capacities
are (s1 , s2 , s3 ) = (70, 80, 90), and 8 customers whose demands are uniformly
distributed variables. The locations (aj , bj ) and demands U(li , ui ), j =
1, 2, , 8 of customers are given in Table 13.1.
Table 13.1: Locations and Demands of 8 Customers
j
1
2
3
4
(aj , bj )
(28, 42)
(18, 50)
(74, 34)
(74, 6)
j
(14,17)
(13,18)
(12,16)
(17,20)
j
5
6
7
8
(aj , bj )
(70, 18)
(72, 98)
(60, 50)
(36, 40)
j
(21,26)
(24,28)
(13,16)
(12,17)

generations in GA) shows that the optimal locations of the 3 facilities are

29.92, 43.19
x1 , y 1
x2 , y2 = 70.04, 17.99
72.02, 98.02
x3 , y3
150
whose expected conveying cost is 1259.
13.3
Stochastic -Cost Minimization Model
Now we define the -cost as the minimum number C such that

Pr{C(x, y|) C} .
(13.9)
If we want to minimize the -cost, then we have the following stochastic

-cost minimization model (Zhou and Liu [338]),
min
x,y
subject to:
(13.10)
Pr C(x, y|) C
gj (x, y) 0, j = 1, 2, , p
where f is the -cost and C(x, y|) is defined by equation (13.4).
Example 13.2: Here we suppose that the 0.9-cost is to be minimized. A
run of the hybrid intelligent algorithm (5000 cycles in simulations and 300
generations in GA) shows that the optimal locations of the 3 facilities are

31.00, 43.08
x1 , y 1
x2 , y2 = 70.04, 17.92
71.98, 97.99
x3 , y3
whose 0.9-cost is 1313.
13.4
If we hope to maximize the probability that the conveying cost will not exceed
a given level C 0 , then we have a probability maximization model (Zhou and
Liu [338]),
max Pr C(x, y|) C

x,y
subject to:
gj (x, y) 0, j = 1, 2, , p
(13.11)
where C(x, y|) is defined by equation (13.4).

Example 13.3: Now we want to maximize the probability that the transportation cost does not exceed 1300. A run of the hybrid intelligent algorithm
(5000 cycles in simulation, and 300 generations in GA) shows that the optimal
locations of the 3 facilities are

30.21, 42.75
x1 , y 1
x2 , y2 = 70.47, 17.94
72.03, 97.98
x3 , y3
Section 13.5 - Fuzzy Expected Cost Minimization Model
151
whose probability is 0.86.
13.5
Fuzzy Expected Cost Minimization Model
We have discussed facility location problem with stochastic demands. However, in many cases, the probability distributions are not easy to obtain due to
the lack of data. Instead, expert knowledge is used to estimate the demands.
Thus we have facility location problem with fuzzy demands.
In this section, we suppose that j are fuzzy demands of customers j
defined on the credibility space (, P(), Cr), j = 1, 2, , m, respectively,
and denote = (1 , 2 , , n ).
For each , () is a realization of fuzzy vector . We denote the
feasible allocation set by
zij 0, i = 1, 2, , n, j = 1, 2, , m
P
z
=
(),
j
=
1,
2,
,
m
ij
j
.
(13.12)
Z() = z i=1
m
P
zij si , i = 1, 2, , n
j=1
Note that Z() may be an empty set for some .

For each , the minimal conveying cost from facilities to customers
is
m
n X
q
X
zij (xi aj )2 + (yi bj )2
C(x, y|) = min
(13.13)
z Z() i=1
j=1
whose optimal solution z is called the optimal allocation. If Z() = , then

the demands of some customers are impossible to be met. As a penalty, we
define
m
p
P
C(x, y|) =
max j () (xi aj )2 + (yi bj )2 .
(13.14)
j=1 1in
Note that the conveying cost C(x, y|) is a fuzzy variable. In order to
evaluate the location design, we use its expected cost
Z
Cr C(x, y|) r dr.

(13.15)
E[C(x, y|)] =
0
In order to minimize the expected cost, Zhou and Liu [340] presented
the following expected cost minimization model for fuzzy capacitated facility
location problem,
Cr { |C(x, y|) r} dr
min
x ,y
0
(13.16)
subject to:
gj (x, y) 0, j = 1, 2, , p
152

of new facilities and C(x, y|) is defined by equation (13.13).
Example 13.4: Now we assume that there are 8 customers whose locations
and trapezoidal fuzzy demands are given in Table 13.2, and 3 facilities with
capacities 70, 80 and 90.
Table 13.2: Locations and Demands of 8 Customers
j
1
2
3
4
(aj , bj )
(28, 42)
(18, 50)
(74, 34)
(74, 6)
j
(14,15,16,17)
(13,14,16,18)
(12,14,15,16)
(17,18,19,20)
j
5
6
7
8
(aj , bj )
(70, 18)
(72, 98)
(60, 50)
(36, 40)
j
(21,23,24,26)
(24,25,26,28)
(13,14,15,16)
(12,14,16,17)
A run of the hybrid intelligent algorithm (10000 cycles in fuzzy simulation,

1000 generations in GA) shows that the optimal locations of the 3 facilities
are

30.34, 42.50
x1 , y 1
x2 , y2 = 70.14, 17.97
71.99, 98.04
x3 , y3
whose expected conveying cost is 1255.
13.6
Fuzzy -Cost Minimization Model
Now we define the -cost as the minimum number f such that

Cr{C(x, y|) f } .
If we want to minimize the -cost, then we have a fuzzy -cost minimization
model (Zhou and Liu [340]),
min f
x,y
subject to:
(13.17)
Cr C(x, y|) f
gj (x, y) 0, j = 1, 2, , p
where f is the -cost and C(x, y|) is defined by equation (13.13).
Example 13.5: Let us minimize the 0.9-cost. A run of the hybrid intelligent
algorithm (10000 cycles in fuzzy simulation, 1000 generations in GA) shows
that the optimal locations of the 3 facilities are

30.39, 43.49
x1 , y 1
x2 , y2 = 70.10, 17.64
71.98, 98.03
x3 , y3
153
whose 0.9-cost is 1354.
13.7
If we hope to maximize the credibility that the conveying cost does not exceed
a given level C 0 , then we have a credibility maximization model (Zhou and
Liu [340]),
C(x, y|) C 0
max
Cr
x,y
(13.18)
subject to:
gj (x, y) 0, j = 1, 2, , p
where C(x, y|) is defined by equation (13.13).
Example 13.6: Assume C 0 = 1350. A run of the hybrid intelligent algorithm (10000 cycles in fuzzy simulation, 1000 generations in GA) shows that
the optimal locations of the 3 facilities are

32.18, 42.04
x1 , y 1
x2 , y2 = 70.15, 17.81
72.04, 98.09
x3 , y3
whose credibility is 0.87.
13.8
Random Fuzzy Models
In this section, we suppose that the demands of customers are random fuzzy
variables defined on (, P(), Cr) (, A, Pr).
For each (, ) , the value (, ) is a realization of random fuzzy
vector . We denote the feasible allocation set by
zij 0, i = 1, 2, , n, j = 1, 2, , m
z
=
(,
),
j
=
1,
2,
,
m
ij
j
Z(, ) = z i=1
.
(13.19)
m
P
zij si , i = 1, 2, , n
j=1
Note that Z(, ) may be an empty set for some (, ).

For each (, ) , the minimal conveying cost from facilities to
customers is
C(x, y|, ) =
min
m
n X
X
z Z(, ) i=1
q
zij
(xi aj )2 + (yi bj )2
(13.20)
j=1
whose optimal solution z is called the optimal allocation. If Z(, ) = ,

then the demands of some customers are impossible to be met. As a penalty,
154
we define
C(x, y|, ) =
m
P
p
max j (, ) (xi aj )2 + (yi bj )2 .
j=1 1in
(13.21)
Note that the conveying cost C(x, y|, ) is a random fuzzy variable. In
order to evaluate the location design, we use its expected cost
Z
(13.22)
E[C(x, y|, )] =
Cr E[C(x, y|, )] r dr.
0
In order to minimize the expected cost, we have the following expected

cost minimization model for random fuzzy capacitated facility location problem (Wen and Liu [303]),
Cr { |E[C(x, y|, )] r} dr
min
x ,y 0
(13.23)
subject to:
gj (x, y) 0, j = 1, 2, , p
of new facilities and C(x, y|, ) is defined by equation (13.20).
Now we define the (, )-cost as the minimum number f such that
Ch{C(x, y|, ) f }() .
If we want to minimize the (, )-cost, then we have a random fuzzy (, )cost minimization model (Wen and Liu [303]),
min f
x ,y
subject to:
(13.24)
Ch (, ) C(x, y|, ) f ()
gj (x, y) 0, j = 1, 2, , p
where f is the (, )-cost and C(x, y|, ) is defined by equation (13.20).
If we hope to maximize the chance that the conveying cost does not exceed
a given level C 0 , then we have a chance maximization model (Wen and Liu
[303]),
C(x, y|, ) C 0 ()
max
Ch
(,
)
x,y
(13.25)
subject to:
gj (x, y) 0, j = 1, 2, , p
where is a confidence level and C(x, y|, ) is defined by equation (13.20).
models for facility location problem.
Problem 13.2. Construct models for facility location problem with fuzzy
random demands.
Chapter 14
Machine Scheduling
Problem
Machine scheduling problem is concerned with finding an efficient schedule
during an uninterrupted period of time for a set of machines to process a set
of jobs. Much of research work has been done on this type of problem during
the past five decades.
14.1
Problem Description
In a machine scheduling problem, we assume that (a) each job can be processed on any machine without interruption; and (b) each machine can process only one job at a time.
Let us first introduce the following indices and parameters.
i = 1, 2, , n: jobs;
k = 1, 2, , m: machines;
ik : uncertain processing time of job i on machine k;
Di : the due date of job i, i = 1, 2, , n.
The schedule is represented by Lius formulation [183] via two decision
vectors x and y, where
x = (x1 , x2 , , xn ): integer decision vector representing n jobs with
1 xi n and xi 6= xj for all i 6= j, i, j = 1, 2, , n. That is, the sequence
{x1 , x2 , , xn } is a rearrangement of {1, 2, , n};
y = (y1 , y2 , , ym1 ): integer decision vector with y0 0 y1 y2
ym1 n ym .
We note that the schedule is fully determined by the decision vectors x
and y in the following way. For each k (1 k m), if yk = yk1 , then
machine k is not used; if yk > yk1 , then machine k is used and processes
jobs xyk1 +1 , xyk1 +2 , , xyk in turn. Thus the schedule of all machines is
156
Chapter 14 - Machine Scheduling Problem
as follows:
Machine 1: xy0 +1 xy0 +2 xy1 ;
Machine 2: xy1 +1 xy1 +2 xy2 ;
Machine m: xym1 +1 xym1 +2 xym .
(14.1)
Let Ci (x, y, ) be the completion times of jobs i, i = 1, 2, , n, respectively. They can be calculated by the following equations,
Cxyk1 +1 (x, y, ) = xyk1 +1 k
(14.2)
Cxyk1 +j (x, y, ) = Cxyk1 +j1 (x, y, ) + xyk1 +j k
(14.3)
and
for 2 j yk yk1 and k = 1, 2, , m.

We denote the tardiness and makespan of the schedule (x, y) by f1 (x, y, )
and f2 (x, y, ), respectively. Then we have
f1 (x, y, ) = max {Ci (x, y, ) Di } 0,
(14.4)
f2 (x, y, ) = max Cxyk (x, y, ).
(14.5)
1in
1km
14.2
Stochastic Expected Time Goal Programming
In this section, we introduce an expected time goal programming model for

parallel machine scheduling problems proposed by Peng and Liu [248]. In
order to balance the above conflicting objectives, we may have the following
target levels and priority structure.
At the first priority level, the expected tardiness E[f1 (x, y, )] should not
exceed the target value b1 . Thus we have a goal constraint
E[f1 (x, y, )] b1 = d+
1
in which d+
1 0 will be minimized.
At the second priority level, the expected makespan E[f2 (x, y, )] should
not exceed the target value b2 . That is, we have a goal constraint
E[f2 (x, y, )] b2 = d+
2
in which d+
Section 14.2 - Stochastic Expected Time Goal Programming
157
Then according to the priority structure, we have the following stochastic

expected time goal programming model:
+
lexmin d+
1 0, d2 0
subject to:
E[f1 (x, y, )] b1 = d+
E[f2 (x, y, )] b2 = d+
2
(14.6)
n,
i
=
1,
2,
,n
i
xi 6= xj , i 6= j, i, j = 1, 2, , n
0 y1 y2 ym1 n
The hybrid intelligent algorithm documented in Chapter 4 may solve this
model provided that the initialization, crossover and mutation operations
are revised as follows.
We encode a schedule into a chromosome V = (x, y), where x, y are the
same as the decision vectors. For the gene section x, we define a sequence
{x1 , x2 , , xn } with xi = i, i = 1, 2, , n. In order to get a random rearrangement of {1, 2, , n}, we repeat the following process from j = 1 to n:
generating a random position n0 between j and n, and exchanging the values
of xj and xn0 . For each i with 1 i m 1, we set yi as a random integer
between 0 and n. Then we rearrange the sequence {y1 , y2 , , ym1 } from
small to large and thus obtain a gene section y = (y1 , y2 , , ym1 ). We can
ensure that the produced chromosome V = (x, y) is always feasible.
Let us illustrate the crossover operator on the pair V1 and V2 . We denote
V1 = (x1 , y 1 ) and V2 = (x2 , y 2 ). Two children V10 and V20 are produced by
the crossover operation as follows: V10 = (x1 , y 2 ) and V20 = (x2 , y 1 ). Note
that the obtained chromosomes V10 = (x1 , y 2 ) and V20 = (x2 , y 1 ) in this way
are always feasible.
We mutate the parent V = (x, y) in the following way. For the gene x,
we randomly generate two mutation positions n1 and n2 between 1 and n,
and rearrange the sequence {xn1 , xn1 +1 , , xn2 } at random to form a new
sequence {x0n1 , x0n1 +1 , , x0n2 }, thus we obtain a new gene section
x0 = (x1 , , xn1 1 , x0n1 , x0n1 +1 , , x0n2 , xn2 +1 , , xn ).
Similarly, for the gene y, we generate two random mutation positions n1
and n2 between 1 and m 1, and set yi as a random integer number yi0
between 0 and n for i = n1 , n1 + 1, , n2 . We then rearrange the sequence
y1 , , yn1 1 , yn0 1 , yn0 1 +1 , , yn0 2 , yn2 +1 , , ym1 from small to large and obtain a new gene section y 0 . Finally, we replace the parent V with the offspring
V 0 = (x0 , y 0 ).
158
Example 14.1: Assume that there are 8 jobs and 3 machines. The processing times of jobs on different machines are all uniformly distributed variables.
The random processing times and due dates are listed in Table 14.1.
Table 14.1: Random Processing Times and Due Dates
Jobs
1
2
3
4
5
6
7
8
Random Processing Times

Machine 1 Machine 2 Machine 3
(10, 16)
(11, 15)
(12, 17)
(10, 18)
(10, 16)
(12, 18)
(12, 16)
(11, 16)
(12, 18)
(18, 24)
(20, 23)
(20, 25)
(10, 15)
(12, 17)
(10, 15)
(10, 18)
(12, 17)
(12, 20)
(10, 16)
(10, 14)
(10, 13)
(15, 20)
(14, 20)
(12, 16)
Due Dates
30
150
105
130
60
30
75
50
We suppose that the target levels of expected tardiness and expected

makespan are b1 = 0 and b2 = 43. A run of the hybrid intelligent algorithm
(10000 cycles in simulation, 1000 generations in GA) shows that the optimal
schedule is
Machine 1: 1 5 3;
Machine 2: 6 7 2;
Machine 3: 8 4
which can satisfy the two goals.
14.3
Stochastic Chance-Constrained Goal Programming
We assume the following priority structure. At the first priority level, the
tardiness f1 (x, y, ) should not exceed the target value b1 with a confidence
level 1 . Thus we have a goal constraint
Pr f1 (x, y, ) b1 d+
1
1
in which d+
At the second priority level, the makespan f2 (x, y, ) should not exceed
the target value b2 with a confidence level 2 . Thus we have a goal constraint
Pr f2 (x, y, ) b2 d+
2
2
in which d+
Section 14.4 - Stochastic Dependent-Chance Goal Programming
159
Then we have the following CCGP model for parallel machine scheduling
problem (Peng and Liu [248]),
+
lexmin{d+
1 0, d2 0}
subject to:
Pr f1 (x, y, ) b1 d+
1
+
Pr f2 (x, y, ) b2 d2 2
1
xi n, i = 1, 2, , n
xi 6= xj , i 6= j, i, j = 1, 2, , n
0 y1 y2 ym1 n
xi , yj , i = 1, 2, , n, j = 1, 2, , m 1,
(14.7)
integers.
Example 14.2: Suppose that the target levels of tardiness and makespan
are b1 = 0 and b2 = 43 with confidence levels 1 = 0.95 and 2 = 0.90.
generations in GA) shows that the optimal schedule is
Machine 1: 5 1 3;
Machine 2: 7 6 2;
Machine 3: 8 4
which can satisfy the first goal, but the second objective is 0.52.
14.4
Stochastic Dependent-Chance Goal Programming
Suppose that the management goals have the following priority structure.
At the first priority level, the probability that the tardiness f1 (x, y, )
does not exceed the given value b1 should achieve a confidence level 1 . Thus
we have a goal constraint
1 Pr {f1 (x, y, ) b1 } = d
1
in which d
At the second priority level, the probability that the makespan f2 (x, y, )
2 Pr {f2 (x, y, ) b2 } = d
2
in which d
Then we have the following DCGP model formulated by Peng and Liu
160
[248],
lexmin{d
1 0, d2 0}
subject to:
1 Pr {f1 (x, y, ) b1 } = d
2 Pr {f2 (x, y, ) b2 } = d
2
1 xi n, i = 1, 2, , n
xi 6= xj , i 6= j, i, j = 1, 2, , n
0 y1 y2 ym1 n
xi , yj , i = 1, 2, , n, j = 1, 2, , m 1,
(14.8)
integers.
Example 14.3: Suppose that the upper bounds of tardiness and makespan
are b1 = 0 and b2 = 43, and the target levels are 1 = 0.95 and 2 = 0.90.
generations in GA) shows that the optimal schedule is
Machine 1: 1 5 3;
Machine 2: 6 2 7;
Machine 3: 8 4
14.5
Fuzzy Expected Time Goal Programming
Sometimes, the probability distributions are not easy to obtain due to the lack
of data. Instead, expert knowledge is used to estimate the processing times.
In order to balance the conflicting objectives, we may have the following
target levels and priority structure:
E[f1 (x, y, )] b1 = d+
1
in which d+
E[f2 (x, y, )] b2 = d+
2
in which d+
Then we have the following fuzzy expected time goal programming model
161
Section 14.6 - Fuzzy Chance-Constrained Goal Programming
for the parallel machine scheduling problem (Peng and Liu [249]),
+
lexmin d+
1 0, d2 0
subject to:
E[f1 (x, y, )] b1 = d+
E[f2 (x, y, )] b2 = d+
2
n,
i
=
1,
2,
,n
i
xi 6= xj , i 6= j, i, j = 1, 2, , n
0
y1 y2 ym1 n
(14.9)
Example 14.4: Assume that there are 8 jobs and 3 machines. The trapezoidal fuzzy processing times and the due dates are listed in Table 14.2.
Table 14.2: Fuzzy Processing Times and Due Dates
Jobs
1
2
3
4
5
6
7
8
Fuzzy Processing Times

Machine 1
Machine 2
Machine 3
(10, 11, 14, 16) (11, 12, 14, 15) (12, 13, 15, 17)
(10, 13, 16, 18) (10, 11, 15, 16) (12, 13, 14, 18)
(12, 14, 15, 16) (11, 13, 14, 16) (12, 15, 16, 18)
(18, 21, 22, 24) (20, 21, 22, 23) (20, 23, 24, 25)
(10, 12, 13, 15) (12, 14, 15, 17) (10, 12, 13, 15)
(10, 14, 15, 18) (12, 13, 16, 17) (12, 16, 17, 20)
(10, 11, 12, 16) (10, 11, 12, 14) (10, 11, 12, 13)
(15, 17, 18, 20) (14, 15, 16, 20) (12, 14, 15, 16)
Due Dates
30
150
105
130
60
30
75
50
Suppose that b1 = 0 and b2 = 45. A run of the hybrid intelligent algorithm

(10000 cycles in fuzzy simulation, 500 generations in GA) shows that the
optimal schedule is
Machine 1: 1 3 5
Machine 2: 6 7 2
Machine 3: 4 8
which can satisfy the two goals.
14.6
Fuzzy Chance-Constrained Goal Programming
tardiness f1 (x, y, ) should not exceed the target value b1 with a confidence
level 1 . Thus we have a goal constraint
Cr f1 (x, y, ) b1 d+
1
1
162
in which d+
the target value b2 with a confidence level 2 . Thus we have a goal constraint
Cr f2 (x, y, ) b2 d+
2
2
in which d+
Then we have the following fuzzy CCGP model for the parallel machine
scheduling problem (Peng and Liu [249]),
+
lexmin{d+
1 0, d2 0}
subject to:
Cr f1 (x, y, ) b1 d+
1
Cr f2 (x, y, ) b2 d+
2
2
(14.10)
1 xi n, i = 1, 2, , n
xi 6= xj , i 6= j, i, j = 1, 2, , n
0 y1 y2 ym1 n
Example 14.5: Suppose that b1 = 0, b2 = 45, 1 = 0.95 and 2 = 0.90.
1000 generations in GA) shows that the optimal schedule is
Machine 1: 6 4
Machine 2: 1 2 3
Machine 3: 5 8 7
14.7
Fuzzy Dependent-Chance Goal Programming
At the first priority level, the credibility that the tardiness f1 (x, y, ) does
not exceed the given value b1 should achieve a confidence level 1 . Thus we
have a goal constraint
1 Cr {f1 (x, y, ) b1 } = d
1
in which d
At the second priority level, the credibility that the makespan f2 (x, y, )
2 Cr {f2 (x, y, ) b2 } = d
2
in which d
163
Then Peng and Liu [249] proposed the following fuzzy DCGP model for
parallel machine scheduling problem,
lexmin{d
1 0, d2 0}
subject to:
1 Cr {f1 (x, y, ) b1 } = d
2 Cr {f2 (x, y, ) b2 } = d
2
n,
i
=
1,
2,
,
n
i
xi 6= xj , i 6= j, i, j = 1, 2, , n
0
y1 y2 ym1 n
xi , yj , i = 1, 2, , n, j = 1, 2, , m 1,
(14.11)
integers.
Example 14.6: Suppose that b1 = 0, b2 = 45, 1 = 0.95 and 2 = 0.90.

1000 generations in GA) shows that the optimal schedule is
Machine 1: 1 5 3
Machine 2: 6 4 2
Machine 3: 8 7
14.8
Random Fuzzy Models
We assume that the processing times are random fuzzy variables. In order
to balance the conflicting objectives, we may have the following target levels
and priority structure:
E[f1 (x, y, )] b1 = d+
1
in which d+
E[f2 (x, y, )] b2 = d+
2
in which d+
Then we have the following random fuzzy expected time goal program-
164
ming model for the parallel machine scheduling problem,
+
lexmin d+
1 0, d2 0
subject to:
E[f1 (x, y, )] b1 = d+
E[f2 (x, y, )] b2 = d+
2
n,
i
=
1,
2,
,n
i
x
=
6
x
,
i
=
6
j,
i,
j
=
1, 2, , n
i
j
0 y1 y2 ym1 n
(14.12)
tardiness f1 (x, y, ) should not exceed the target value b1 with confidence
levels 1 and 1 . Thus we have a goal constraint
Ch f1 (x, y, ) b1 d+
1 (1 ) 1
in which d+
the target value b2 with confidence levels 2 and 2 . Thus we have a goal
constraint
Ch f2 (x, y, ) b2 d+
2 (2 ) 2
in which d+
Then we have the following random fuzzy CCGP model for the parallel
machine scheduling problem,
+
lexmin{d+
1 0, d2 0}
subject to:
Ch f1 (x, y, ) b1 d+
1 (1 ) 1
Ch f2 (x, y, ) b2 d+
2 (2 ) 2
(14.13)
1 xi n, i = 1, 2, , n
xi 6= xj , i 6= j, i, j = 1, 2, , n
0 y1 y2 ym1 n
At the first priority level, the chance that the tardiness f1 (x, y, ) does
not exceed the given value b1 should achieve a confidence level 1 . Thus we
have a goal constraint
1 Ch {f1 (x, y, ) b1 } (1 ) = d
1
in which d
165
At the second priority level, the chance that the makespan f2 (x, y, )
2 Ch {f2 (x, y, ) b2 } (2 ) = d
2
in which d
Then we have the following random fuzzy DCGP model for parallel machine scheduling problem,
lexmin{d
1 0, d2 0}
subject to:
1 Ch {f1 (x, y, ) b1 } (1 ) = d
2 Ch {f2 (x, y, ) b2 } (2 ) = d
2
(14.14)
n,
i
=
1,
2,
,
n
i
xi 6= xj , i 6= j, i, j = 1, 2, , n
0 y1 y2 ym1 n
models for machine scheduling problem.
Problem 14.2. Construct models for machine scheduling problem with
fuzzy random processing times.
Chapter 15
Overview
Uncertain programming was defined by Liu [176] as the optimization theory
in generally uncertain environments. From the viewpoint of optimization
theory, there is no difference among these uncertainties except for the arithmetical operations on them. This fact provides the motivation to develop a
unifying principle of
- stochastic programming
- fuzzy programming
- fuzzy random programming
- random fuzzy programming
thus producing a general uncertain programming theory. In this chapter,
uncertain programming theory is sketched. We also present a graph to
classify uncertain programming models.
15.1
Why Uncertain Programming Useful?
As pointed by Bellman and Zadeh [14], Much of the decision-making in the

real world takes place in an environment in which the goals, the constraints
and the consequences of possible actions are not known precisely. That is,
we often find ourselves in a state of uncertainty.
On the other hand, in order to make a satisfactory decision in practice,
an important problem is to determine the type and accuracy of information.
If complete information is required in the decision process, it will mean the
expenditure of some extra time and money. If incomplete information is used
to make a decision quickly, then it is possible to take a nonoptimal action. In
fact, we cannot have complete accuracy in both information and decision because the total cost is the sum of the cost spent for running the target system
and the cost spent for getting decision information (See Figure 15.1). Since
we have to balance the advantages of making better decisions against the
disadvantages of getting more accurate information, incomplete information
will almost surely be used in the real-life decision process.
168
Chapter 15 - Overview
Cost
.
.
.........
...
...
.... .......
.....
.....
..
.....
.....
...
......
.....
......
.....
.
.
.
...
.
.....
......
...
.....
......
......
...
......
......
......
...
......
......
.
.
......
.
...
.
.
.
......
......
...
......
.......
.......
...
......
.......
.......
...
.......
.......
.
.
........
.
.
...
.
.
.................
...
.... ..............
...
..........
.........
...........
..........
...
.............
...........
.
.
.
.
.
.
.
.
...
.
.................
.
.
....
.....................................
... .........................................
...
...
................................................................................................................................................................................................................................................................
Information
Decision
Accuracy
Figure 15.1: Balance between Information and Decision

The incomplete information may be described by stochastic variables,
fuzzy variables, rough variables, or random fuzzy variables.
If all uncertain parameters in a decision problem could be replaced with
deterministic quantities (for example, their expected values), then deterministic mathematical programming is enough for either deterministic or uncertain
decision problems. However, it is very dangerous if we do so.
Let us consider a queuing system in which the customers (for example,
people, trucks, jobs) are waiting in one line to be served (for example, checked
out, loaded, finished) by the servers (for example, machines, individuals).
Assume that:
(a) there is a single line and a single server;
(b) the interarrival times between customers are exponentially distributed
with an expected value of 1 minute;
(c) the service time for each customer is exponentially distributed with an
expected value of 0.99 minute.
If we replace each stochastic variable with its expected value (i.e., if customers
arrive at times 1 minute, 2 minutes, and if each customer is served with
exactly 0.99 minute), then for each customer there is no time delay in the
queue.
However, the actually average delay time of each customer is 98.01 minutes! Although this example is not a decision problem, we can imagine that
replacing uncertain parameters with deterministic quantities is a very dangerous way for decision-making.
15.2
Graph of Uncertain Programming
There are many possible ways that we can classify uncertain programming
models. For example, we may classify them according to the state of knowl-
Section 15.3 - Further Research
169
edge about information, modeling structure, and uncertainty-handling philosophy. Let us now briefly outline some important aspects to be considered
when discussing each of these.
1. State of knowledge about information
a. Stochastic variable
b. Fuzzy variable
c. Fuzzy random variable
d. Random fuzzy variable
2. Modeling structure
a. Single-objective programming
b. Multiobjective programming
c. Goal programming
d. Dynamic programming
e. Multilevel programming
3. Uncertainty-handling philosophy
a. Expected value model
b. Chance-constrained programming
c. Dependent-chance programming
15.3
Further Research
170
Chapter 15 - Overview
Information
..
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Random Fuzzy
Fuzzy Random
Fuzzy
Stochastic
SOP
MOP
GP
DP
MLP
EVM CCP DCP
Philosophy
Structure
Figure 15.2: Graph for Uncertain Programming Classifications. Any
type of uncertain programming may be represented by the graph which
is essentially a coordinate system (Philosophy, Structure, Information).
For example, the plane P=CCP represents chance-constrained programming; the plane I=Stochastic represents stochastic programming; the point
(P,S,I)=(DCP, GP, Fuzzy Random) represents fuzzy random dependentchance goal programming.
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List of Acronyms
CCDP
CCGP
CCMLP
CCMOP
CCP
DCDP
DCGP
DCMLP
DCMOP
DCP
DP
EVDP
EVGP
EVM
EVMLP
EVMOP
GA
GP
MLP
MOP
NN
SOP
Chance-Constrained Dynamic Programming

Chance-Constrained Goal Programming
Chance-Constrained Multilevel Programming
Chance-Constrained Multiobjective Programming
Dependent-Chance Dynamic Programming
Dependent-Chance Goal Programming
Dependent-Chance Multilevel Programming
Dependent-Chance Multiobjective Programming
Dynamic Programming
Expected Value Dynamic Programming
Expected Value Goal Programming
Expected Value Multilevel Programming
Expected Value Multiobjective Programming
Genetic Algorithm
Goal Programming
Multilevel Programming
Multiobjective Programming
Neural Network
Single-Objective Programming
List of Frequently Used Symbols

x, y, z
x, y, z
a
, b, c
a
,
b, c
, ,
, ,
,
,
,
f, fi
g, gj
Pr
Cr
Ch
E
(, A, Pr)
(, P(), Cr)
, ,
d+ , d
<
<n
lexmin
decision variables
decision vectors
fuzzy variables
fuzzy vectors
uncertain (random, fuzzy, etc.) variables
uncertain (random, fuzzy, etc.) vectors
membership functions
probability (credibility, chance) density functions
probability (credibility, chance) distributions
objective functions
constraint functions
empty set
probability measure
credibility measure
chance measure
expected value
probability space
credibility space
confidence levels
positive and negative deviations
set of real numbers
set of n-dimensional real vectors
maximum operator
minimum operator
lexicographical minimization
Index
-level set, 56
ascent method, 3
backpropagation algorithm, 22
chance-constrained programming
fuzzy, 62
fuzzy random, 79
random fuzzy, 96
stochastic, 32
chance constraint, 32, 61
chance function, 40, 66
chance measure of
fuzzy random event, 77
random fuzzy event, 93
chromosome, 9
compromise model, 4
compromise solution, 4
confidence level, 32
credibility density function, 56
credibility distribution, 56
credibility inversion theorem, 55
credibility measure, 54
credibility space, 54
crisp equivalent, 64
critical value of
fuzzy random variable, 78
fuzzy variable, 59
random fuzzy variable, 94
random variable, 28
decision variable, 1
dependent-chance programming
fuzzy, 67
fuzzy random, 82
random fuzzy, 98
stochastic, 38
deterministic equivalent, 35
deviation, 5, 34, 63
direct method, 3
distance function, 4
dynamic programming, 7
chance-constrained, 108
dependent-chance, 108
expected value, 107
equipossible fuzzy variable, 55
expected value of
fuzzy variable, 57
random variable, 28
expected value model
fuzzy, 60
fuzzy random, 78
random fuzzy, 95
stochastic, 30
exponential distribution, 27
facility location problem, 147
function approximation, 21
fuzzy arithmetic, 55
fuzzy environment, 66
fuzzy event, 66
fuzzy programming, 53
fuzzy random programming, 75
fuzzy random simulation, 85
fuzzy simulation, 69
fuzzy variable, 55
genetic algorithm, 9
goal programming, 5
Hessian method, 3
integer programming, 3
interactive approach, 5
inverse transform method, 29
Kuhn-Tucker conditions, 2
machine scheduling problem, 155
mathematical programming, 1
membership function, 53
multilevel programming, 7
chance-constrained, 113
dependent-chance, 114
194
expected value, 111
multiobjective programming, 4
Nash equilibrium, 8, 112
neural network, 19
newsboy problem, 30
normal distribution, 27
optimistic value, see critical value
Pareto solution, 4
pessimistic value, see critical value
preference function, 4
principle of uncertainty, 42, 67
probability density function, 27
probability distribution, 27
probability measure, 25
probability space, 25
product credibility space, 54
product probability space, 26
project scheduling problem, 129
graph, 170
queuing system, 168
random fuzzy event, 99
random fuzzy programming, 91
random fuzzy simulation, 100
ranking criterion, 29, 59, 78, 94
sigmoid function, 19
simplex algorithm, 2
Stackelberg-Nash equilibrium, 8, 112
stochastic environment, 39
stochastic programming, 25
stochastic simulation, 46
system reliability design, 121
uncertain dynamic programming, 107
uncertain environment, 39, 66
uncertain function, 47, 68
uncertain multilevel programming, 111
uncertain programming, ix, 167
uniform distribution, 27
vehicle routing problem, 137
zero-one programming, 3
Index

Foundation of Uncertainty Theory

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Foundation of Uncertainty Theory

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Introduction to

August 12, 2006

6 Fuzzy Random Programming

7 Random Fuzzy Programming

8 Uncertain Dynamic Programming

9 Uncertain Multilevel Programming

10 System Reliability Design

Fuzzy Expected Lifetime Maximization Model

11 Project Scheduling Problem

12 Vehicle Routing Problem

13 Facility Location Problem

14 Machine Scheduling Problem

List of Frequently Used Symbols

The general form of single-objective programming (SOP) is written as follows,

Chapter 1 - Mathematical Programming

Definition 1.2 A feasible solution x is called the optimal solution of SOP

for any feasible solution x.

Section 1.2 - Multiobjective Programming

Chapter 1 - Mathematical Programming

max [f1 (x), f2 (x), , fm (x)]

and fj (x) > fj (x ) for at least one index j.

where the weights 1 , 2 , , m are nonnegative numbers with 1 + 2 +

min (f1 (x) f1 ) + + (fm (x) fm )

Section 1.3 - Goal Programming

By the third way a compromise solution can be found via an interactive

where lexmin represents lexicographically minimizing the objective vector.

Chapter 1 - Mathematical Programming

(an initial state)

Section 1.5 - Multilevel Programming

fN (a) = max rN (a, x)

r1 (a, x) + f2 (T (a, x)) .

Please mention that,

The system of equations (1.11) is called dynamic programming (DP) by

fN (a) = max rN (a, x)

Chapter 1 - Mathematical Programming

where G is a vector-valued function of decision vector x and 0 is a vector

where gi are vector-valued functions, i = 1, 2, , m, respectively.

Chapter 2 - Genetic Algorithms

A key problem of GA is how to encode a solution x = (x1 , x2 , , xn ) into a

In mathematical programming, if there are some equality constraints, for

We define an integer pop size as the number of chromosomes and initialize

Section 2.5 - Selection Process

Assume that the decision-maker can predetermine a region which contains

Chapter 2 - Genetic Algorithms

Step 2. Generate a random number r in (0, qpop size ].

We define a parameter Pc of a genetic system as the probability of crossover.

Section 2.8 - General Procedure

We define a parameter Pm of a genetic system as the probability of mutation.

Following selection, crossover, and mutation, the new population is ready

Chapter 2 - Genetic Algorithms

Example 2.1: Now we use GA to solve the following maximization problem,

x21 + 2x22 + 3x23 1

where the function U(a, b) generates uniformly distributed variables on the

x21 + x22 + x23 100

Section 2.9 - Numerical Experiments

We may encode a solution x = (x1 , x2 , x3 ) into a chromosome V = (v1 , v2 , v3 ),

Since the feasible coding space is contained in the following hypercube

V = (v1 , v2 , v3 ) 0 v1 10, 0 v2 10, 0 v3 10 ,

Chapter 2 - Genetic Algorithms

In other words, we should find a fixed point of the vector-valued function

(a) If we have explicit expressions of all functions ri , i = 1, 2, , m, then

If an array (y 1 , y 2 , , y m ) makes R(y 1 , y 2 , , y m ) = 0, then y i =

Section 2.9 - Numerical Experiments

vector (y11 , y12 , y21 , y22 , y31 , y32 ),