UDC 519.22
1 V.M. Glushkov Institute of Cybernetics, National Academy of Sciences of Ukraine, Kyiv, Ukraine
 pepelaev@yahoo.com
|
2 V.M. Glushkov Institute of Cybernetics, National Academy of Sciences of Ukraine, Kyiv, Ukraine
|
3 V.M. Glushkov Institute of Cybernetics, National Academy of Sciences of Ukraine, Kyiv, Ukraine
|
|
RELIABILITY OPTIMIZATION METHOD ALTERNATIVE TO bPOE
Abstract. A new method of reliability optimization, alternative to the bPOE method, is developed.
To compare the efficiency of the proposed method and of the original bPOE method, numerical experiments
were performed using two different data sets. Analysis of the calculations showed that both methods gave the same results.
Keywords: bPOE, CVaR, minimization of failure probability, tail distribution function, loss function, threshold.
FULL TEXT
REFERENCES
- Rockafellar T., Royset J.O. On buffered failure probability in design and optimization of structures. Journal of Reliability Engineering and System Safety. 2010. Vol. 95, N 5. P. 499–510. https://doi.org/10.1016/j.ress.2010.01.001.
- Rockafellar R.T. Convexity and reliability in engineering optimization. Proc. of the 9th International Conference on Nonlinear Analysis and Convex Analysis (Chiangrai, Thailand). 2015. P. 1–10. URL: https://sites.math.washington.edu/~rtr/papers/rtr239-Reliability.pdf.
- Mafusalov A., Uryasev S. Buffered probability of exceedance: Mathematical properties and optimization. SIAM. J. Optim. 2018. Vol. 28. P. 1077–1103. https://doi.org/10.1137/15M1042644.
- Rockafellar R.T., Uryasev S. Conditional value-at-risk for general loss distributions. Journal of Banking & Finance. 2002. Vol. 26, N 7. P. 1443–1471. https://doi.org/10.1016/S0378-4266(02)00271-6.
- Zrazhevsky G.M., Golodnikov A.N., Uryasev S.P., Zrazhevsky A.G. Application of buffered probability of exceedance in reliability optimization problems. Cybernetics and Systems Analysis. 2020. Vol. 56, N 3. P. 476–484. https://doi.org/10.1007/s10559-020-00263-4.
- Pepelyaev V.A., Golodnikov O.M., Golodnikova N.O. Reliability optimization in crop production. Kibernetyka ta systemnyi analiz. 2022. Vol. 58, N 2. P. 35–41.
- Pepelyaev V.A., Golodnikova N.O. Optimization of the structure of agricultural production to ensure food security of Ukraine. Kompʹyuternaya matematyka. 2011. Iss. 1. P. 46–55. URL: http://nbuv.gov.ua/UJRN/Koma_2011_1_7.
- Pepelyaev V.A., Golodnikova N.A. Mathematical methods for assessing the risk of crop losses and taking it into account when planning the structure of sown areas. Kibernetika i sistemnyj analiz. 2014. Vol. 50, N 1. 67–77. URL: http://dspace.nbuv.gov.ua/bitstream/handle/ 123456789/115763/06-Pepelyayev.pdf?sequence=1.
- Portfolio Safeguard. URL: http://www.aorda.com/index.php/portfolio-safeguard/.
- Test problems for nonlinear, stochastic, mixed-integer optimization. URL: .
- Case study: Style classification with quantile regression. URL: http://uryasev.ams.stonybrook.edu/wp-content/uploads/2014/02/data_problem_kb_err_style_classification_ fidelity_magellan_0p1_short.zip .
- Case study: Omega portfolio rebalancing. URL: http://uryasev.ams.stonybrook.edu/wp-content/uploads/2018/05/data_problem_omega_short.zip .
