Interactive procedure for a multiobjective stochastic discrete dynamic problem

Maciej Nowak () and Tadeusz Trzaskalik ()

Journal of Global Optimization, 2013, vol. 57, issue 2, 315-330

Abstract: Multiple objectives and dynamics characterize many sequential decision problems. In the paper we consider returns in partially ordered criteria space as a way of generalization of single criterion dynamic programming models to multiobjective case. In our problem evaluations of alternatives with respect to criteria are represented by distribution functions. Thus, the overall comparison of two alternatives is equivalent to the comparison of two vectors of probability distributions. We assume that the decision maker tries to find a solution preferred to all other solutions (the most preferred solution). In the paper a new interactive procedure for stochastic, dynamic multiple criteria decision making problem is proposed. The procedure consists of two steps. First, the Bellman principle is used to identify the set of efficient solutions. Next interactive approach is employed to find the most preferred solution. A numerical example and a real-world application are presented to illustrate the applicability of the proposed technique. Copyright The Author(s) 2013

Keywords: Multiobjective dynamic programming; Partial order; Stochastic dominance; Interactive approach (search for similar items in EconPapers)
Date: 2013
References: Add references at CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://hdl.handle.net/10.1007/s10898-012-0019-9 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:jglopt:v:57:y:2013:i:2:p:315-330

Ordering information: This journal article can be ordered from
http://www.springer. ... search/journal/10898

DOI: 10.1007/s10898-012-0019-9

Access Statistics for this article

Journal of Global Optimization is currently edited by Sergiy Butenko

More articles in Journal of Global Optimization from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().