Solving stochastic multi-objective programming through the GP model
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.
|Date of creation:||13 Jun 2008|
|Contact details of provider:|| Postal: Via Conservatorio 7, I-20122 Milan - Italy|
Phone: +39 02 50321522
Fax: +39 02 50321505
Web page: http://www.demm.unimi.it
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- A. Charnes & W. W. Cooper, 1959. "Chance-Constrained Programming," Management Science, INFORMS, vol. 6(1), pages 73-79, October.
- 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.
- 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.
- Rafael Caballero & Emilio Cerdá & Mª del Mar Muñoz & Lourdes Rey, 2002. "Stochastic Approach versus Multiobjective Approach for Obtaining Efficient Solutions in Stochastic Multiobjective Programming Problems," Documentos de Trabajo del ICAE 0217, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- Bruno Contini, 1968. "A Stochastic Approach to Goal Programming," Operations Research, INFORMS, vol. 16(3), pages 576-586, June. Full references (including those not matched with items on IDEAS)