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Soft Computing

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23.03.2019 | Methodologies and Application

Partial divergence measure of uncertain random variables and its application

verfasst von: Hamed Ahmadzade, Rong Gao, Habib Naderi, Mehran Farahikia

Erschienen in: Soft Computing | Ausgabe 1/2020

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Abstract

Cross-entropy (divergence measure) of two uncertain random variables characterizes the difference of two chance distributions. Sometimes, we occur with a complex system as a mixture of uncertain variables and controllable random variables; in order to characterize the difference in these situations, this paper introduces the concept of partial divergence measure of two uncertain random variables and investigates several properties of this concept. Furthermore, some formulas are derived to calculate the partial divergence measure. And how to use these formulas, several examples are provided. Finally, as an application of partial divergence measure, the concept is used to portfolio selection with uncertain random returns as a mixture of new markets and controllable historical markets.

Vorheriger Artikel Some solving methods for a fuzzy multi-point boundary value problem

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Titel: Partial divergence measure of uncertain random variables and its application
verfasst von: Hamed Ahmadzade
Rong Gao
Habib Naderi
Mehran Farahikia
Publikationsdatum: 23.03.2019
Verlag: Springer Berlin Heidelberg
Erschienen in: Soft Computing / Ausgabe 1/2020
Print ISSN: 1432-7643
Elektronische ISSN: 1433-7479
DOI: https://doi.org/10.1007/s00500-019-03929-0

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