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report-chen

Action Number: IC0602 - Algorithmic Decision Theory
STSM Title: Interactive Multiobjective Optimization for Decision Analysis
Reference: COST-ONLINE_STSM-IC0602-7889
STSM dates: from 03-04-2011 to 10-04-2011
Date: April 3rd, 2011-April 10th, 2011

Host: Prof. Francisco Ruiz De La Rua, The University of Malaga, Spain, rua à uma.es

Applicant: Dr. Yuwang CHEN, Manchester Business School, The University of Manchester, Manchester, U.K., yu-wang.chen à mbs.ac.uk

Short summary
In my visit to The University of Málaga from April 3rd, 2011 to April 10th, 2011, I had discussions with Prof. Francisco Ruiz de la Rúa and Dr. Mariano Luque every working day. Our discussions were mainly focussed on the research areas of interactive multiobjective optimization and decision analysis, which include,
(1) Interactive reference point methods incorporating preference information for multiobjective optimization,
(2) Reference-point-based interactive procedure for stochastic multiobjective programming problems.
(3) Portfolio selection using multiobjective models and methods,
I provided a short talk on multi-assets class portfolio optimization using a belief-rule-based system. During the talk, Prof. Ruiz and Dr. Luque briefly introduced their interactive multiobjective optimization methods. In our previous research, single-objective optimization models are used to locate the optimal assets allocation of maximizing return and minimizing risk in an efficient frontier. After these discussions, we were going to develop a multiobjective model to solve the portfolio optimization problem in the framework of belief-rule-based system. With consideration of the high-dimensionality of the optimization model, we also briefly discussed if it is necessary to use the non-dominated sorting genetic algorithm (NSGA). In addition, we also discussed on how to use interactive multiobjective methods to solve data envelopment analysis (DEA) problems with preference information, which could be possibly applied to performance measurement problems, such as our potential research project, performance assessment in National Health Service (NHS).
We had an informal talk on international leading figures in the field of multi-criteria decision making, their research directions, and relevant forthcoming conferences (e.g., International Conference on Multiple Criteria Decision Making in 2011, 2013).
Through this short-term academic visit, we have further promoted the academic connections between Manchester Business School and The University of Málaga. The connections enable us to foster research collaboration at a European level and identify future opportunities for joint research activities in the areas of interactive multiobjective optimization and decision analysis.