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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

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.

Suggested Citation

  • Tervonen, Tommi & Figueira, José Rui & Lahdelma, Risto & Dias, Juscelino Almeida & Salminen, Pekka, 2009. "A stochastic method for robustness analysis in sorting problems," European Journal of Operational Research, Elsevier, vol. 192(1), pages 236-242, January.
  • Handle: RePEc:eee:ejores:v:192:y:2009:i:1:p:236-242
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    References listed on IDEAS

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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.
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    4. 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.
    5. 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.
    6. 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.
    7. 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.
    8. 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.
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    11. 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.
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    Cited by:

    1. Vetschera, Rudolf & Chen, Ye & Hipel, Keith W. & Marc Kilgour, D., 2010. "Robustness and information levels in case-based multiple criteria sorting," European Journal of Operational Research, Elsevier, vol. 202(3), pages 841-852, May.
    2. Corrente, Salvatore & Figueira, José Rui & Greco, Salvatore, 2014. "The SMAA-PROMETHEE method," European Journal of Operational Research, Elsevier, vol. 239(2), pages 514-522.
    3. repec:spr:grdene:v:22:y:2013:i:2:d:10.1007_s10726-011-9259-1 is not listed on IDEAS
    4. repec:gam:jsusta:v:10:y:2017:i:1:p:33-:d:124150 is not listed on IDEAS
    5. De Smet, Yves & Nemery, Philippe & Selvaraj, Ramkumar, 2012. "An exact algorithm for the multicriteria ordered clustering problem," Omega, Elsevier, vol. 40(6), pages 861-869.
    6. Brito, Anderson J. & de Almeida, Adiel Teixeira & Mota, Caroline M.M., 2010. "A multicriteria model for risk sorting of natural gas pipelines based on ELECTRE TRI integrating Utility Theory," European Journal of Operational Research, Elsevier, vol. 200(3), pages 812-821, February.
    7. Mavrotas, George & Pechak, Olena & Siskos, Eleftherios & Doukas, Haris & Psarras, John, 2015. "Robustness analysis in Multi-Objective Mathematical Programming using Monte Carlo simulation," European Journal of Operational Research, Elsevier, vol. 240(1), pages 193-201.
    8. Govindan, Kannan & Jepsen, Martin Brandt, 2016. "ELECTRE: A comprehensive literature review on methodologies and applications," European Journal of Operational Research, Elsevier, vol. 250(1), pages 1-29.
    9. Angilella, Silvia & Corrente, Salvatore & Greco, Salvatore, 2015. "Stochastic multiobjective acceptability analysis for the Choquet integral preference model and the scale construction problem," European Journal of Operational Research, Elsevier, vol. 240(1), pages 172-182.
    10. Greco, Salvatore & Ishizaka, Alessio & Tasiou, Menelaos & Torrisi, Gianpiero, 2018. "σ-µ efficiency analysis: A new methodology for evaluating units through composite indices," MPRA Paper 83569, University Library of Munich, Germany.
    11. Tylock, Steven M. & Seager, Thomas P. & Snell, Jeff & Bennett, Erin R. & Sweet, Don, 2012. "Energy management under policy and technology uncertainty," Energy Policy, Elsevier, vol. 47(C), pages 156-163.
    12. 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.
    13. Almeida-Dias, J. & Figueira, J.R. & Roy, B., 2010. "Electre Tri-C: A multiple criteria sorting method based on characteristic reference actions," European Journal of Operational Research, Elsevier, vol. 204(3), pages 565-580, August.
    14. repec:spr:grdene:v:23:y:2014:i:5:d:10.1007_s10726-012-9321-7 is not listed on IDEAS
    15. repec:wsi:ijitdm:v:16:y:2017:i:01:n:s0219622016500061 is not listed on IDEAS
    16. Atici, Kazim Baris & Simsek, Ahmet Bahadir & Ulucan, Aydin & Tosun, Mustafa Umur, 2015. "A GIS-based Multiple Criteria Decision Analysis approach for wind power plant site selection," Utilities Policy, Elsevier, vol. 37(C), pages 86-96.
    17. 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.
    18. 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.
    19. 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.
    20. Angilella, Silvia & Mazzù, Sebastiano, 2015. "The financing of innovative SMEs: A multicriteria credit rating model," European Journal of Operational Research, Elsevier, vol. 244(2), pages 540-554.
    21. repec:eee:ejores:v:264:y:2018:i:2:p:453-461 is not listed on IDEAS

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