A fuzzy stochastic single-period model for cash management

Yao, Jing-Shing; Chen, Miao-Sheng; Lu, Huei-Fu

doi:10.1016/j.ejor.2004.06.017

Cited by 43 publications

(19 citation statements)

References 16 publications

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“…The use of the computational methods for the problem resolution is observed in some cases, such as the proposal of Yao et al (2006) that approaches fuzzy systems, as well as Gormley and Meade (2007) on the utilization of genetic algorithms, not observed in literature the application of PSO in this type of problem. …”

Section: Cash Management Modelsmentioning

confidence: 99%

Cash balance management: A comparison between genetic algorithms and particle swarm optimization

Moraes

Nagano

2012

Acta Sci. Technol.

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ABSTRACT. This work aimed to apply genetic algorithms (GA) and particle swarm optimization (PSO) in cash balance management using Miller-Orr model, which consists in a stochastic model that does not define a single ideal point for cash balance, but an oscillation range between a lower bound, an ideal balance and an upper bound. Thus, this paper proposes the application of GA and PSO to minimize the Total Cost of cash maintenance, obtaining the parameter of the lower bound of the Miller-Orr model, using for this the assumptions presented in literature. Computational experiments were applied in the development and validation of the models. The results indicated that both the GA and PSO are applicable in determining the cash level from the lower limit, with best results of PSO model, which had not yet been applied in this type of problem.Keywords: optimization, cash flow, evolutionary models.Gerenciamento do saldo de caixa: uma comparação entre algoritmos genéticos e particle swarm optimization RESUMO. O presente trabalho tem por objetivo a aplicação de algoritmos genéticos (AG) e particle swarm optimization (PSO) no gerenciamento do saldo de caixa, a partir do modelo Miller-Orr, que consiste em um modelo estocástico que não define um único ponto ideal para o saldo de caixa, mas uma faixa de oscilação entre um limite inferior, um saldo ideal e um limite superior. Assim, este trabalho propõe a aplicação de AG e PSO, para minimizar o Custo Total de manutenção do saldo de caixa, obtendo o parâmetro de limite inferior do modelo Miller-Orr, utilizando para isso premissas apresentadas na literatura. São aplicados experimentos computacionais no desenvolvimento e validação dos modelos. Os resultados indicam que tanto AG quanto PSO são aplicáveis na determinação do nível de caixa a partir do limite inferior, com melhores resultados do modelo PSO, que até então não havia sido aplicado neste tipo de problema.Palavras-chave: otimização, fluxo de caixa, modelos evolutivos.

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Section: Cash Management Modelsmentioning

confidence: 99%

Cash balance management: A comparison between genetic algorithms and particle swarm optimization

Moraes

Nagano

2012

Acta Sci. Technol.

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“…Few works use a computational method for solving the problem, as proposed by Yao, Chen and Lu (2006) that addresses the fuzzy systems as well as Gormley and Meade (2007) on the use of genetic algorithms, not being observed in the literature the application of PSO in this kind of problem.…”

Section: Models For Cash Managementmentioning

confidence: 99%

Cash Management Policies By Evolutionary Models: A Comparison Using The MILLER-ORR Model

Moraes

Nagano

2013

JISTEM

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This work aims to apply genetic algorithms (GA) and particle swarm optimization (PSO) to managing cash balance, comparing performance results between computational models and the Miller-Orr model. Thus, the paper proposes the application of computational evolutionary models to minimize the total cost of cash balance maintenance, obtaining the parameters for a cash management policy, using assumptions presented in the literature, considering the cost of maintenance and opportunity for cost of cash. For such, we developed computational experiments from cash flows simulated to implement the algorithms. For a control purpose, an algorithm has been developed that uses the Miller-Orr model defining the lower bound parameter, which is not obtained by the original model. The results indicate that evolutionary algorithms present better results than the Miller-Orr model, with prevalence for PSO algorithm in results.

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“…Where δ is an arbitrary number; the number N satisfies condition (17); And the quantities ε k are given by the righthand sides of the inequalities…”

Section: Hypererlang Approximation Of Arbitrary Distributionsmentioning

confidence: 99%

“…Then, for inventory management, the demand is modeled on the basis of expert assessments, which contain more subjectivity than chance. In such cases, the inventory management problem is formulated as an optimization problem under fuzzy information [13][14][15][16][17]. In some works (see, for example, [18,19]) single-period (single-period) control problems of singleand multi-item reserves are solved using the strategy of minimal average and conditional Risk or neutral risk.…”

Section: Introductionmentioning

confidence: 99%

A Logistical Approach to Managing the Resources of Multi Nomenclature Spare Parts of a Corporate Car Service in Conditions of Risk and Uncertainty of Demand

Ashraf¹

2017

SJBM

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Abstract:The task of determining the optimal sizes of spare parts for an auto-service enterprise based on the maximum profit criterion for a discrete distribution of demand is formulated as a problem of quadratic programming with linear constraints. To calculate the probabilistic measure of the distribution of the values of the demand vector components, an approximation is used of the empirical distribution function of the demand components by hyper-Erlanger distribution functions, and the subsequent calculation of the corresponding distribution densities.

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A fuzzy stochastic single-period model for cash management

Cited by 43 publications

References 16 publications

Cash balance management: A comparison between genetic algorithms and particle swarm optimization

Cash balance management: A comparison between genetic algorithms and particle swarm optimization

Cash Management Policies By Evolutionary Models: A Comparison Using The MILLER-ORR Model

A Logistical Approach to Managing the Resources of Multi Nomenclature Spare Parts of a Corporate Car Service in Conditions of Risk and Uncertainty of Demand

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