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A stochastic method for robustness analysis in sorting problems

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  • Tervonen, Tommi
  • Figueira, José Rui
  • Lahdelma, Risto
  • Dias, Juscelino Almeida
  • Salminen, Pekka
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    Abstract

    ELECTRE TRI is a multiple criteria decision aiding sorting method with a history of successful real-life applications. In ELECTRE TRI, values for certain parameters have to be provided. We propose a new method, SMAA-TRI, that is based on stochastic multicriteria acceptability analysis (SMAA), for analyzing the stability of such parameters. The stability analysis can be used for deriving robust conclusions. SMAA-TRI allows ELECTRE TRI to be used with uncertain, arbitrarily distributed values for weights, the lambda cutting level, and profiles. The method consists of analyzing finite spaces of arbitrarily distributed parameter values. Monte Carlo simulation is applied in this in order to describe for each alternative the share of parameter values that have it assigned to different categories. We show the real-life applicability by re-analyzing a case study in the field of risk assessment.

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    Bibliographic Info

    Article provided by Elsevier in its journal European Journal of Operational Research.

    Volume (Year): 192 (2009)
    Issue (Month): 1 (January)
    Pages: 236-242

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    Handle: RePEc:eee:ejores:v:192:y:2009:i:1:p:236-242

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    Web page: http://www.elsevier.com/locate/eor

    Related research

    Keywords: MCDA ELECTRE TRI Robustness analysis Monte Carlo simulation Risk assessment;

    References

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    1. Mousseau, V. & Figueira, J. & Naux, J. -Ph., 2001. "Using assignment examples to infer weights for ELECTRE TRI method: Some experimental results," European Journal of Operational Research, Elsevier, vol. 130(2), pages 263-275, April.
    2. Lahdelma, Risto & Hokkanen, Joonas & Salminen, Pekka, 1998. "SMAA - Stochastic multiobjective acceptability analysis," European Journal of Operational Research, Elsevier, vol. 106(1), pages 137-143, April.
    3. Rao, J. S. & Sobel, Milton, 1980. "Incomplete Dirichlet integrals with applications to ordered uniform spacings," Journal of Multivariate Analysis, Elsevier, vol. 10(4), pages 603-610, December.
    4. Hokkanen, Joonas & Salminen, Pekka, 1997. "Choosing a solid waste management system using multicriteria decision analysis," European Journal of Operational Research, Elsevier, vol. 98(1), pages 19-36, April.
    5. F. Hutton Barron & Bruce E. Barrett, 1996. "Decision Quality Using Ranked Attribute Weights," Management Science, INFORMS, vol. 42(11), pages 1515-1523, November.
    6. Butler, John & Jia, Jianmin & Dyer, James, 1997. "Simulation techniques for the sensitivity analysis of multi-criteria decision models," European Journal of Operational Research, Elsevier, vol. 103(3), pages 531-546, December.
    7. Dias, Luis C. & Mousseau, Vincent, 2006. "Inferring Electre's veto-related parameters from outranking examples," European Journal of Operational Research, Elsevier, vol. 170(1), pages 172-191, April.
    8. Mousseau, Vincent & Figueira, Jose & Dias, Luis & Gomes da Silva, Carlos & Climaco, Joao, 2003. "Resolving inconsistencies among constraints on the parameters of an MCDA model," European Journal of Operational Research, Elsevier, vol. 147(1), pages 72-93, May.
    9. RogerS, Martin & Bruen, Michael, 1998. "A new system for weighting environmental criteria for use within ELECTRE III," European Journal of Operational Research, Elsevier, vol. 107(3), pages 552-563, June.
    10. Tervonen, Tommi & Lahdelma, Risto, 2007. "Implementing stochastic multicriteria acceptability analysis," European Journal of Operational Research, Elsevier, vol. 178(2), pages 500-513, April.
    11. Lahdelma, Risto & Salminen, Pekka, 2002. "Pseudo-criteria versus linear utility function in stochastic multi-criteria acceptability analysis," European Journal of Operational Research, Elsevier, vol. 141(2), pages 454-469, September.
    12. Dias, Luis & Mousseau, Vincent & Figueira, Jose & Climaco, Joao, 2002. "An aggregation/disaggregation approach to obtain robust conclusions with ELECTRE TRI," European Journal of Operational Research, Elsevier, vol. 138(2), pages 332-348, April.
    13. Figueira, Jose & Roy, Bernard, 2002. "Determining the weights of criteria in the ELECTRE type methods with a revised Simos' procedure," European Journal of Operational Research, Elsevier, vol. 139(2), pages 317-326, June.
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    Cited by:
    1. Fernandez, Eduardo & Navarro, Jorge, 2011. "A new approach to multi-criteria sorting based on fuzzy outranking relations: The THESEUS method," European Journal of Operational Research, Elsevier, vol. 213(2), pages 405-413, September.
    2. Henao, Felipe & Cherni, Judith A. & Jaramillo, Patricia & Dyner, Isaac, 2012. "A multicriteria approach to sustainable energy supply for the rural poor," European Journal of Operational Research, Elsevier, vol. 218(3), pages 801-809.
    3. Tervonen, Tommi & van Valkenhoef, Gert & Baştürk, Nalan & Postmus, Douwe, 2013. "Hit-And-Run enables efficient weight generation for simulation-based multiple criteria decision analysis," European Journal of Operational Research, Elsevier, vol. 224(3), pages 552-559.
    4. Doumpos, Michael & Zopounidis, Constantin & Galariotis, Emilios, 2014. "Inferring robust decision models in multicriteria classification problems: An experimental analysis," European Journal of Operational Research, Elsevier, vol. 236(2), pages 601-611.

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