Generalized-Hukuhara penalty method for optimization problem with interval-valued functions and its application in interval-valued portfolio optimization problems

Abstract

In this study, a gH-penalty method is developed to obtain efficient solutions to constrained optimization problems with interval-valued functions. The algorithmic implementation of the proposed method is illustrated. In order to develop the gH-penalty method, an interval-valued penalty function is defined and the characterization of efficient solutions of a CIOP is done. As an application of the proposed method, a portfolio optimization problem with interval-valued return is solved. © 2022 Elsevier B.V.