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Solving stochastic multi-objective programming through the GP model

Author

Listed:
  • Belaid AOUNI
  • Cinzia COLAPINTO
  • Davide LA TORRE

Abstract

The aim of this paper is to present an approach for solving the Stochastic Multi-Objective Programming (SMOP) through the Goal Programming (GP) model. We introduce a deterministic equivalent formulation and we show how GP can provide solutions to SMOP. The proposed method will be illustrated through a numerical example from the Tunisian stock exchange market.

Suggested Citation

  • Belaid AOUNI & Cinzia COLAPINTO & Davide LA TORRE, 2008. "Solving stochastic multi-objective programming through the GP model," Departmental Working Papers 2008-018, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano.
    • Handle: RePEc:mil:wpdepa:2008-018
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