RT Journal Article
T1 A Risk-Aversion Approach for the Multiobjective Stochastic Programming Problem
A1 León Caballero, Javier
A1 Puerto, Justo
A1 Vitoriano Villanueva, Begoña
AB Multiobjective stochastic programming is a field that is well suited to tackling problems that arise in many fields: energy, financial, emergencies, among others; given that uncertainty and multiple objectives are usually present in such problems. A new concept of solution is proposed in this work, which is especially designed for risk-averse solutions. The proposed concept combines the notions of conditional value-at-risk and ordered weighted averaging operator to find solutions protected against risks due to uncertainty and under-achievement of criteria. A small example is presented in order to illustrate the concept in small discrete feasible spaces. A linear programming model is also introduced to obtain the solution in continuous spaces. Finally, computational experiments are performed by applying the obtained linear programming model to the multiobjective stochastic knapsack problem, gaining insight into the behaviour of the new solution concept. g insight into the behaviour of the new solution concept.
PB MDPI
SN 2227-7390
YR 2020
FD 2020-11-13
LK https://hdl.handle.net/20.500.14352/7579
UL https://hdl.handle.net/20.500.14352/7579
LA eng
NO León, J., Puerto, J., Vitoriano, B.: A Risk-Aversion Approach for the Multiobjective Stochastic Programming Problem. Mathematics. 8, 2026 (2020). https://doi.org/10.3390/math8112026
NO European Commission
NO Ministerio de Ciencia, Innovación y Universidades (España)
NO Universidad Complutense de Madrid /Banco de Santander
DS Docta Complutense
RD 10 abr 2025