ISTMO: An interval reference point-based method for stochastic multiobjective programming problems
AbstractIn this paper, we present an interactive algorithm (ISTMO) for stochastic multiobjective problems with continuous random variables. This method combines the concept of probability efficiency for stochastic problems with the reference point philosophy for deterministic multiobjective problems. The decision maker expresses her/his references by dividing the variation range of each objective into intervals, and by setting the desired probability for each objective to achieve values belonging to each interval. These intervals may also be redefined during the process. This interactive procedure helps the decision maker to understand the stochastic nature of the problem, to discover the risk level (s)he is willing to assume for each objective, and to learn about the trade-offs among the objectives.
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Bibliographic InfoArticle provided by Elsevier in its journal European Journal of Operational Research.
Volume (Year): 197 (2009)
Issue (Month): 1 (August)
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Web page: http://www.elsevier.com/locate/eor
Multiple objective programming Stochastic programming Probability efficiency Interactive methods Reference point;
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- Abdelaziz, Fouad Ben, 2012. "Solution approaches for the multiobjective stochastic programming," European Journal of Operational Research, Elsevier, vol. 216(1), pages 1-16.
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