Two difficulties arise when solving the set covering problem (SCP) with metaheuristic approaches: solution infeasibility and set redundancy. In this paper, we first present a review and analysis of the heuristic approaches that have been used in the literature to address these difficulties. We then present a new formulation that can be used to solve the SCP as an unconstrained optimization problem and that eliminates the need to address the infeasibility and set redundancy issues. We show that all local optimums with respect to the new formulation and a 1-flip neighbourhood structure are feasible and free of redundant sets. In addition, we adapt an existing greedy heuristic for the SCP to the new formulation and compare the adapted heuristic to the original heuristic using 88 known test problems for the SCP. Computational results show that the adapted heuristic finds better results than the original heuristic on most of the test problems in shorter computation times.

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Value-at-Risk (VaR) has become the most important benchmark for measuring risk in portfolios of different types of financial instruments. However, as reported by many authors, estimating VaR is subject to a high level of uncertainty. One of the sources of uncertainty stems from the dependence of the VaR estimation on the choice of the computation method. As we show in our experiment, the lower the number of samples, the higher this dependence. In this paper, we propose a new nonparametric approach called maxitive kernel estimation of the VaR. This estimation is based on a coherent extension of the kernel-based estimation of the cumulative distribution function to convex sets of kernel. We thus obtain a convex set of VaR estimates gathering all the conventional estimates based on a kernel belonging to the above considered convex set. We illustrate this method in an empirical application to daily stock returns. We compare the approach we propose to other parametric and nonparametric approaches. In our experiment, we show that the interval-valued estimate of the VaR we obtain is likely to lead to more careful decision, i.e., decisions that cannot be biased by an arbitrary choice of the computation method. In fact, the imprecision of the obtained interval-valued estimate is likely to be representative of the uncertainty in VaR estimate.

This paper presents a theoretical and practical novel approach for computing the probability density function underlying a set of observations. The estimator we propose is an extension of the conventional Parzen Rosenblatt method that leads to a very specific interval-valued estimation of the density. Within this approach, we make use of the convenient representation of a set of usual (summative) kernels by a maxitive kernel (i.e. a possibility distribution) to derive an exact computation with a very low complexity of an interval-valued estimation. The considered set of kernels is particularly convenient since it contains kernels having comparable shapes and bandwidth. We prove that the obtained imprecise probability density function contains a set of precise density functions estimated using the standard method with kernels belonging to the considered set.

This article proposes an interval-valued extension of kernel density estimation. We show that the imprecision of this interval-valued estimation is highly correlated with the variance of the density estimation induced by the statistical variations of the set of observations.