Possibilistic linear programming: a brief review of fuzzy mathematical programming and a comparison with stochastic programming in portfolio selection problem

In this paper, we review some fuzzy linear programming methods and techniqu es from a practical point of view. In the first part, the general history a nd the approach of fuzzy mathematical programming are introduced. Using a n umerical example, some models of fuzzy linear programming are described. In the second part of the paper, fuzzy mathematical programming approaches ar e compared to stochastic programming ones. The advantages and disadvantages of fuzzy mathematical programming approaches are exemplified in the settin g of an optimal portfolio selection problem. Finally, some newly developed ideas and techniques in fuzzy mathematical programming are briefly reviewed . (C) 2000 Elsevier Science B.V. All rights reserved.