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Solving stochastic multi-objective programming through the GP model

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Author Info

  • 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.

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File URL: http://wp.demm.unimi.it/tl_files/wp/2008/DEMM-2008_018wp.pdf
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Bibliographic Info

Paper provided by Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano in its series Departmental Working Papers with number 2008-18.

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Date of creation: 13 Jun 2008
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Handle: RePEc:mil:wpdepa:2008-18

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Keywords: Stochastic Multi-Objective Programming; Goal Programming;

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Cited by:
  1. William Seitz & D La Torre, 2014. "Modelling Investment Optimization on Smallholder Farms through Multi-criteria Decision Approaches: An Example from Ethiopia," CSAE Working Paper Series 2014-06, Centre for the Study of African Economies, University of Oxford.

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