ISTMO: An interval reference point-based method for stochastic multiobjective programming problems
In 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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"Analysis and Comparisons of some Solution Concepts for Stochastic Programming Problems,"
Documentos de Trabajo del ICAE
0218, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- R. Caballero & E. Cerda & M. Muñoz & L. Rey, 2002. "Analysis and comparisons of some solution concepts for stochastic programming problems," TOP- An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 10(1), pages 101-123, June.
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