This paper proposes a Fuzzy Goal Programming model (FGP) for a real aggregate production-planning problem. To do so, an application was made in a Brazilian Sugar and Ethanol Milling Company. The FGP Model depicts the comprehensive production process of sugar, ethanol, molasses and derivatives,...

In this paper, we propose a new original method to solve the production cost minimization problem with Cobb-Douglas production function by using the weighted arithmetic-geometric-mean inequality (weighted AM-GM inequality). Instead of using derivatives or the Lagrange multiplier method, the...

In spite of their importance, third or higher moments of portfolio returns are often neglected in portfolio construction problems due to the computational difficulties associated with them. In this paper, we propose a new robust mean–variance approach that can control portfolio skewness and...

The paper analyses how the data envelopment analysis (DEA) and fuzzy set theory can be used to measure and evaluate the efficiency of a hierarchical system with n decision making units and a coordinating unit. It is presented a model for determining the of activity levels of decision making...

We consider optimal stopping problems in uncertain environments for an agent assessing utility by virtue of dynamic variational preferences or, equivalently, assessing risk by dynamic convex risk measures. The solution is achieved by generalizing the approach in terms of multiple priors...

We revisit the seminal growth model with exhaustible resources, the so called Dasgupta-Heal-Stiglitz-Solow model (DHSS). For this optimal control problem with two state variables, we explicitly characterize the dynamics of all the variables in the model and from all possible initial values of...

This article discusses the impact of inventory inaccuracy on service-level quality in (Q,R) continuous review, lost-sales inventory models. A simulation model is built to study the behaviour of this kind of model exposed to an inaccuracy in inventory records as well as demand variability. We...

Standard economic theory tells that a command system, like the former eastern economies, allocates resources poorly due to the impossibility of accurate calculation. Therefore, once prices are freed and start to operate at quasi-equilibrium (market-clearing) levels, the hidden inefficiencies...

Decision support system often requires the combined knowledge of multiple domains. A knowledge-based approach is proposed to include not only the process modelling knowledge but also the descriptive knowledge in the integration. Descriptive knowledge such as survey statistics and expert opinions...

In simulation we often have to generate correlated random variables by giving a reference intercorrelation matrix, R or Q. The matrix R is positive definite and a valid correlation matrix. The matrix Q may appear to be a correlation matrix but it may be invalid (negative definite). With R(m,m)...