IDEAS home Printed from https://ideas.repec.org/a/eee/ejores/v197y2009i1p25-35.html
   My bibliography  Save this article

ISTMO: An interval reference point-based method for stochastic multiobjective programming problems

Author

Listed:
  • Muñoz, Maria M.
  • Ruiz, Francisco

Abstract

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.

Suggested Citation

  • Muñoz, Maria M. & Ruiz, Francisco, 2009. "ISTMO: An interval reference point-based method for stochastic multiobjective programming problems," European Journal of Operational Research, Elsevier, vol. 197(1), pages 25-35, August.
    • Handle: RePEc:eee:ejores:v:197:y:2009:i:1:p:25-35
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0377-2217(08)00473-6
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, March.
    2. ,, 2002. "Problems And Solutions," Econometric Theory, Cambridge University Press, vol. 18(4), pages 1007-1017, August.
    3. R. Caballero & E. Cerdá & M. M. Muñoz & L. Rey & I. M. Stancu-Minasian, 2001. "Efficient Solution Concepts and Their Relations in Stochastic Multiobjective Programming," Journal of Optimization Theory and Applications, Springer, vol. 110(1), pages 53-74, July.
    4. 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.
    5. ,, 2002. "Problems And Solutions," Econometric Theory, Cambridge University Press, vol. 18(6), pages 1461-1465, December.
    6. Ballestero, Enrique, 2001. "Stochastic goal programming: A mean-variance approach," European Journal of Operational Research, Elsevier, vol. 131(3), pages 476-481, June.
    7. ,, 2002. "Problems And Solutions," Econometric Theory, Cambridge University Press, vol. 18(1), pages 193-194, February.
    8. ,, 2002. "Problems And Solutions," Econometric Theory, Cambridge University Press, vol. 18(5), pages 1273-1289, October.
    9. ,, 2002. "Problems And Solutions," Econometric Theory, Cambridge University Press, vol. 18(3), pages 819-821, June.
    10. ,, 2002. "Problems And Solutions," Econometric Theory, Cambridge University Press, vol. 18(2), pages 541-545, April.
    11. Urli, Bruno & Nadeau, Raymond, 2004. "PROMISE/scenarios: An interactive method for multiobjective stochastic linear programming under partial uncertainty," European Journal of Operational Research, Elsevier, vol. 155(2), pages 361-372, June.
    12. Teghem, J. & Dufrane, D. & Thauvoye, M. & Kunsch, P., 1986. "Strange: An interactive method for multi-objective linear programming under uncertainty," European Journal of Operational Research, Elsevier, vol. 26(1), pages 65-82, July.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Abdelaziz, Fouad Ben, 2012. "Solution approaches for the multiobjective stochastic programming," European Journal of Operational Research, Elsevier, vol. 216(1), pages 1-16.
    2. Wang, S. & Huang, G.H., 2016. "Risk-based factorial probabilistic inference for optimization of flood control systems with correlated uncertainties," European Journal of Operational Research, Elsevier, vol. 249(1), pages 258-269.
    3. Ballestero, Enrique & Bravo, Mila & Pérez-Gladish, Blanca & Arenas-Parra, Mar & Plà-Santamaria, David, 2012. "Socially Responsible Investment: A multicriteria approach to portfolio selection combining ethical and financial objectives," European Journal of Operational Research, Elsevier, vol. 216(2), pages 487-494.
    4. Mila Bravo & Dylan Jones & David Pla-Santamaria & Francisco Salas-Molina, 2022. "Encompassing statistically unquantifiable randomness in goal programming: an application to portfolio selection," Operational Research, Springer, vol. 22(5), pages 5685-5706, November.
    5. Fatima Bellahcene, 2019. "Decision maker's preferences modeling for multiple objective stochastic linear programming problems," Operations Research and Decisions, Wroclaw University of Science and Technology, Faculty of Management, vol. 29(3), pages 5-16.
    6. Mehri Raei & Javad Hossienzad & Mohammad Ali Ghorbani, 2023. "An Uncertainty-Based Random Boundary Interval Multi-Stage Stochastic Programming for Water Resources Planning," Water Resources Management: An International Journal, Published for the European Water Resources Association (EWRA), Springer;European Water Resources Association (EWRA), vol. 37(12), pages 4571-4587, September.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Fatima Bellahcene & Philippe Marthon, 2021. "A compromise solution method for the multiobjective minimum risk problem," Operational Research, Springer, vol. 21(3), pages 1913-1926, September.
    2. Engau, Alexander, 2009. "Tradeoff-based decomposition and decision-making in multiobjective programming," European Journal of Operational Research, Elsevier, vol. 199(3), pages 883-891, December.
    3. Cambier, Adrien & Chardy, Matthieu & Figueiredo, Rosa & Ouorou, Adam & Poss, Michael, 2022. "Optimizing subscriber migrations for a telecommunication operator in uncertain context," European Journal of Operational Research, Elsevier, vol. 298(1), pages 308-321.
    4. Libura, Marek, 2007. "On the adjustment problem for linear programs," European Journal of Operational Research, Elsevier, vol. 183(1), pages 125-134, November.
    5. Christophe Loussouarn & Carine Franc & Yann Videau & Julien Mousquès, 2021. "Can General Practitioners Be More Productive? The Impact of Teamwork and Cooperation with Nurses on GP Activities," Health Economics, John Wiley & Sons, Ltd., vol. 30(3), pages 680-698, March.
    6. Tschakert, Petra, 2016. "Shifting Discourses of Vilification and the Taming of Unruly Mining Landscapes in Ghana," World Development, Elsevier, vol. 86(C), pages 123-132.
    7. Isabelle Boutron & Peter John & David J. Torgerson, 2010. "Reporting Methodological Items in Randomized Experiments in Political Science," The ANNALS of the American Academy of Political and Social Science, , vol. 628(1), pages 112-131, March.
    8. Ben Slimane, Faten & Padilla Angulo, Laura, 2019. "Strategic change and corporate governance: Evidence from the stock exchange industry," Journal of Business Research, Elsevier, vol. 103(C), pages 206-218.
    9. Weijun Xie & Yanfeng Ouyang & Sze Chun Wong, 2016. "Reliable Location-Routing Design Under Probabilistic Facility Disruptions," Transportation Science, INFORMS, vol. 50(3), pages 1128-1138, August.
    10. Natalia Nikolaevna Natocheeva* & Yuri Alexandrovich Rovensky & Yuri Yuryevich Rusanov & Tatiana Viktorovna Belyanchikova & Anna Anatolevna Staurskaya, 2018. "Optimizing Variability of Approaches to Regulatory Financing of Higher Education Services," The Journal of Social Sciences Research, Academic Research Publishing Group, pages 221-227:3.
    11. Sahar Validi & Arijit Bhattacharya & P. J. Byrne, 2020. "Sustainable distribution system design: a two-phase DoE-guided meta-heuristic solution approach for a three-echelon bi-objective AHP-integrated location-routing model," Annals of Operations Research, Springer, vol. 290(1), pages 191-222, July.
    12. Andy Hall, 2005. "Capacity development for agricultural biotechnology in developing countries: an innovation systems view of what it is and how to develop it," Journal of International Development, John Wiley & Sons, Ltd., vol. 17(5), pages 611-630.
    13. Athinoula A. Kosti & Simon Colreavy-Donnelly & Fabio Caraffini & Zacharias A. Anastassi, 2020. "Efficient Computation of the Nonlinear Schrödinger Equation with Time-Dependent Coefficients," Mathematics, MDPI, vol. 8(3), pages 1-12, March.
    14. Bruno Frey, 2005. "Problems with Publishing: Existing State and Solutions," European Journal of Law and Economics, Springer, vol. 19(2), pages 173-190, April.
    15. Lan, Heng-you, 2021. "Approximation-solvability of population biology systems based on p-Laplacian elliptic inequalities with demicontinuous strongly pseudo-contractive operators," Chaos, Solitons & Fractals, Elsevier, vol. 150(C).
    16. Shelly Jeffcott & Nick Pidgeon & Andrew Weyman & John Walls, 2006. "Risk, Trust, and Safety Culture in U.K. Train Operating Companies," Risk Analysis, John Wiley & Sons, vol. 26(5), pages 1105-1121, October.
    17. Rainer Niemann, 2004. "Asymmetric Taxation and Cross-Border Investment Decisions," CESifo Working Paper Series 1219, CESifo.
    18. Zhenghua Gu & Xiaomeng Cao & Guoliang Liu & Weizhen Lu, 2014. "Optimizing Operation Rules of Sluices in River Networks Based on Knowledge-driven and Data-driven Mechanism," Water Resources Management: An International Journal, Published for the European Water Resources Association (EWRA), Springer;European Water Resources Association (EWRA), vol. 28(11), pages 3455-3469, September.
    19. Ian N. Gregory & Paul S. Ell, 2005. "Breaking the boundaries: geographical approaches to integrating 200 years of the census," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 168(2), pages 419-437, March.
    20. Alexis Comber & Paul Harris, 2018. "Geographically weighted elastic net logistic regression," Journal of Geographical Systems, Springer, vol. 20(4), pages 317-341, October.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:ejores:v:197:y:2009:i:1:p:25-35. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/eor .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.