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Solving stochastic multi-objective programming through the GP model

Listed author(s):
  • Belaid AOUNI

    ()

  • Cinzia COLAPINTO

    ()

  • Davide LA TORRE

    ()

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/files/wp/2008/DEMM-2008_018wp.pdf
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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
Handle: RePEc:mil:wpdepa:2008-18
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  1. A. Charnes & W. W. Cooper, 1959. "Chance-Constrained Programming," Management Science, INFORMS, vol. 6(1), pages 73-79, October.
  2. Fernández, Ignacio Cascos & Molchanov, Ilya, 2003. "A stochastic order for random vectors and random sets based on the Aumann expectation," Statistics & Probability Letters, Elsevier, vol. 63(3), pages 295-305, July.
  3. Caballero, Rafael & Cerda, Emilio & del Mar Munoz, Maria & Rey, Lourdes, 2004. "Stochastic approach versus multiobjective approach for obtaining efficient solutions in stochastic multiobjective programming problems," European Journal of Operational Research, Elsevier, vol. 158(3), pages 633-648, November.
  4. A. Charnes & W. W. Cooper & R. O. Ferguson, 1955. "Optimal Estimation of Executive Compensation by Linear Programming," Management Science, INFORMS, vol. 1(2), pages 138-151, January.
  5. Aouni, Belaid & Ben Abdelaziz, Foued & Martel, Jean-Marc, 2005. "Decision-maker's preferences modeling in the stochastic goal programming," European Journal of Operational Research, Elsevier, vol. 162(3), pages 610-618, May.
  6. Aouni, Belaid & Kettani, Ossama, 2001. "Goal programming model: A glorious history and a promising future," European Journal of Operational Research, Elsevier, vol. 133(2), pages 225-231, January.
  7. Kharrat, Aida & Chabchoub, Habib & Aouni, Belaid & Smaoui, Soulef, 2007. "Serial correlation estimation through the imprecise Goal Programming model," European Journal of Operational Research, Elsevier, vol. 177(3), pages 1839-1851, March.
  8. Lee, Sang M. & Olson, David L., 1985. "A gradient algorithm for chance constrained nonlinear goal programming," European Journal of Operational Research, Elsevier, vol. 22(3), pages 359-369, December.
  9. F. Ben Abdelaziz & P. Lang & R. Nadeau, 1999. "Dominance and Efficiency in Multicriteria Decision under Uncertainty," Theory and Decision, Springer, vol. 47(3), pages 191-211, December.
  10. Abdelaziz, Fouad Ben & Aouni, Belaid & Fayedh, Rimeh El, 2007. "Multi-objective stochastic programming for portfolio selection," European Journal of Operational Research, Elsevier, vol. 177(3), pages 1811-1823, March.
  11. Sang M. Lee & Edward R. Clayton, 1972. "A Goal Programming Model for Academic Resource Allocation," Management Science, INFORMS, vol. 18(8), pages 395-408, April.
  12. Bruno Contini, 1968. "A Stochastic Approach to Goal Programming," Operations Research, INFORMS, vol. 16(3), pages 576-586, June.
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