Issue |
RAIRO-Oper. Res.
Volume 55, Number 4, July-August 2021
|
|
---|---|---|
Page(s) | 2413 - 2422 | |
DOI | https://doi.org/10.1051/ro/2021112 | |
Published online | 25 August 2021 |
A novel approach for solving stochastic problems with multiple objective functions
LAROMAD Laboratory, Faculty of Sciences, Mouloud Mammeri University, BP 17 RP, 15000 Tizi-Ouzou, Algeria.
* Corresponding author: ramzi.kasri@ummto.dz, kasriramzi1@gmail.com
Received:
16
June
2019
Accepted:
24
July
2021
In this paper we suggest an approach for solving a multiobjective stochastic linear programming problem with normal multivariate distributions. Our approach is a combination between a multiobjective method and a nonconvex technique. The problem is first transformed into a deterministic multiobjective problem introducing the expected value criterion and an utility function that represents the decision makers preferences. The obtained problem is reduced to a mono-objective quadratic problem using a weighting method. This last problem is solved by DC (Difference of Convex) programming and DC algorithm. A numerical example is included for illustration.
Mathematics Subject Classification: 90C15 / 90C26 / 90C29 / 90B50
Key words: Multiobjective programming / stochastic programming / DCA / DC programming / utility function / expected value criterion
© The authors. Published by EDP Sciences, ROADEF, SMAI 2021
This is an Open Access article distributed under the terms of the Creative Commons Attribution License (https://creativecommons.org/licenses/by/4.0), which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
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