INTEREST: a reference-point-based interactive procedure for stochastic multiobjective programming problems

This paper presents a reference point-based interactive algorithm, which has been specifically designed to deal with stochastic multiobjective programming problems. This algorithm combines the classical information used in this kind of methods, i.e. values that the decision maker regards as desirabl...

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Veröffentlicht in:OR Spectrum Jg. 32; H. 1; S. 195 - 210
Hauptverfasser: Muñoz, María M., Luque, Mariano, Ruiz, Francisco
Format: Journal Article
Sprache:Englisch
Veröffentlicht: Berlin/Heidelberg Springer-Verlag 01.01.2010
Springer Nature B.V
Schlagworte:
Approximation
Business and Management
Calculus of Variations and Optimal Control; Optimization
Decision making
Dynamic programming
Expected values
Hypotheses
Mathematical programming
Methods
Objectives
Operations research
Operations Research/Decision Theory
Optimization
Probability
Random variables
Regular Article
Stochastic models
Studies
Interactive methods
Probability efficiency
Reference point
Multiobjective programming
Stochastic programming
ISSN:0171-6468, 1436-6304
Online-Zugang:Volltext
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Zusammenfassung:This paper presents a reference point-based interactive algorithm, which has been specifically designed to deal with stochastic multiobjective programming problems. This algorithm combines the classical information used in this kind of methods, i.e. values that the decision maker regards as desirable for each objective, with information about the probabilities the decision maker wishes to accept. This novel aspect allows the method to fully take into account the randomness of the final outcome throughout the whole solution process. These two pieces of information have been introduced in an adapted achievement-scalarizing function, which assures each solution obtained to be probability efficient.
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ISSN:0171-6468
1436-6304
DOI:10.1007/s00291-008-0153-4