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Efficient solution concepts and their relations in stochastic multiobjective programming

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dc.contributor.authorCaballero, R.
dc.contributor.authorCerdá Tena, Emilio Jaime
dc.contributor.authorMuñoz, M.M.
dc.contributor.authorRey, L.
dc.contributor.authorStancu-Minasian, I.
dc.date.accessioned2023-06-21T01:38:32Z
dc.date.available2023-06-21T01:38:32Z
dc.date.issued2000
dc.description.abstractIn this work different concepts of efficient solutioos to problems of Stochastic Multiple Objective Programming are analyzed. We centre our interest on problems in which some of the objective functions depend on random parameters. The existence of different concepts of efficiency for one single stochastic problem, such as expected value efficiency, minimum-risk efficiency, etc., raise the question of their "quality". Starting from this idea we establish some relationships between the different concepts. Our study enables us to determine what type of efficient solutions are obtained by each of these concepts.
dc.description.facultyFac. de Ciencias Económicas y Empresariales
dc.description.facultyInstituto Complutense de Análisis Económico (ICAE)
dc.description.refereedTRUE
dc.description.statuspub
dc.eprint.idhttps://eprints.ucm.es/id/eprint/29227
dc.identifier.relatedurlhttp://www.ucm.es/icae
dc.identifier.urihttps://hdl.handle.net/20.500.14352/64232
dc.issue.number03
dc.language.isoeng
dc.page.total27
dc.publication.placeMadrid
dc.publisherFacultad de Ciencias Económicas y Empresariales. Instituto Complutense de Ciencias Económicas y Empresariales (ICAE)
dc.relation.ispartofseriesDocumentos de Trabajo del Instituto Complutense de Análisis Económico (ICAE)
dc.rightsAtribución-NoComercial-CompartirIgual 3.0 España
dc.rights.accessRightsopen access
dc.rights.urihttps://creativecommons.org/licenses/by-nc-sa/3.0/es/
dc.subject.keywordStochastic multiobjective programming
dc.subject.keywordExpected value efficiency
dc.subject.keywordMinimum variance efficiency
dc.subject.keywordMinimum-risk efficiency
dc.subject.keywordEfficiency in probability.
dc.subject.ucmProcesos estocásticos
dc.subject.unesco1208.08 Procesos Estocásticos
dc.titleEfficient solution concepts and their relations in stochastic multiobjective programming
dc.typetechnical report
dc.volume.number2000
dcterms.references1. GOICOECHEA, A., HANSEN, D. R and DUCKSTEIN, L., Multiobjective Decision Analysis with Engineering and Business Applications, John Wiley and Sons, New York, New York, 1982. 2. STANCU-MINASIAN, I. M., Stochastic Programming with Multiple Objective Functions, D. Reidel Publishing Company, Dordrecht" Netherlands, 1984. 3. SLOWINSKI, R. and TEGHEM, J. (Eds.), Stochastic versus Fuzzy Approaches to Multiobjective Mathematical Programming Under Uncertainty, Kluwer Academic Publishers, Dordrecht, Netherlands, 1990. 4. TEGHEM, J., DUFRANE, D., lHAUVOYE, M. and KUNSCH, P., SFRANGK An Interactive Method for Multi-Objective Linear Programming Under Uncertainty, European J. Oper. Res, Vol. 26, No. 1, pp. 65-82, 1986. 5. STANCU-MINASIAN, I. and TIGAN, S., The Vectorial Minimum Risk Problem., In: Approximation and Optimization, Prac. Colloq., pp. 321-328, Cluj-Napoca, Romania, 1985. 6. STANCU-MINASIAN, I. M., Stochastic Programming with Multiple Fractile Critena, Rev. Roumaine Math. Puros Appl., 37, 10, pp. 939-941, 1992. 7. URLI, B. and NADEAU, R., Stochastic MOLP with Incomplete Information: An Interactive Approach with Recourse, Journal of the Operational Research Society, Vol. 41, No. 12, pp. 1143-1152,1990. 8. BEN ABDELAZIZ, F., LANG P. and NADEAU, R, Pointwise Efftciency in Multiobjective Stochastic Linear Programming, Journal of the Operational Research Society, Vol. 45, No. 11, pp. 1324-1334, 1994. 9. BEN ABDELAZIZ, F., LANG P. and NADEAU, R. Distributional Efficiency in Multiobjective Linear Programming", European J. Opero Res., Vol. 85, pp. 399-415,1995. 10. CABALLERO, R, CERDÁ, E., MUÑoz, M. M. and REY, L., Relations among Several Efficiency Concepts in Stochastic Multiple Objective Programming, Proceedings of the XIV-th International Conference on Multiple Criteria Decision Making, Edited by Y. Y. Haimes and R Steuer, Springer Verlag, Berlin, Gennany, 1999, to appear. 11. MARKOWITZ, H., Portfolio Selection, Journal of Finance, Vol. 7, pp. 77-91, 1952. 12. WHITE, D.J., Optimality and Efficiency, John Wiley and Sons, New York, New York, 1982. 13. CHANKONG, V. and HAIMES, Y.Y., Multiobjective Decision Making: Theory and Methodology, North-Holland, New York, New York, 1983. 14. PRÉKOPA, A., Stochastic Programming. Kluwer Academic Publisbers, Dordrecht, Netherlands, 1995.
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relation.isAuthorOfPublication175b0308-6eb3-4282-b17d-221c851b2595
relation.isAuthorOfPublication.latestForDiscovery175b0308-6eb3-4282-b17d-221c851b2595

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