Complutense University Library

Stochastic approach versus multiobjective approach for obtaining efficient solutions in stochastic multiobjective programming problems


Caballero Fernández, Rafael and Cerdá Tena, Emilio and Muñoz Martos, María del Mar and Rey, Lourdes (2002) Stochastic approach versus multiobjective approach for obtaining efficient solutions in stochastic multiobjective programming problems. [ Documentos de trabajo del Instituto Complutense de Análisis Económico (ICAE); nº 0217, 2002, ]


Official URL:


In this work, we deal with obtaining efficient solutions for stochastic multiobjective
programming problems. In general, these solutions are obtained in two stages: in one of them,
the stochastic problem is transformed into its equivalent deterministic problem, and in the other
one, some of the existing generating techniques in multiobjective programming are applied to
obtain efficient solutions, which involves transforming the multiobjective problem into a
problem with only one objective function. Our aim is to determine whether the order in which
these two transformations are carried out influences, in any way, the efficient solution obtained.
Our results show that depending on the type of stochastic criterion followed and the statistical
characteristics of the initial problem, the order can have an influence on the final set of efficient
solutions obtained for a given problem.

Item Type:Working Paper or Technical Report
Uncontrolled Keywords:Stochastic Multiobjective Programming, Efficiency, Stochastic Approach, Multiobjective Approach
Subjects:Social sciences > Economics > Econometrics
Series Name:Documentos de trabajo del Instituto Complutense de Análisis Económico (ICAE)
ID Code:7674

Ben Abdelaziz, F., 1992. L’efficacité en Programmation Multi-objectifs Stochastique. Ph. D. Thesis, Université de Laval, Québec.

Ben Abdelaziz, F., Lang, P., Nadeau, R., 1997. Distributional Unanimity Multiobjective Stochastic Linear Programming. In: Climaco, J. (Ed.: Multicriteria Analysis: Proceedings of the With Conference on MCDM, pp. 225-236. Springer-Verlag.

Ben Abdelaziz, F., Lang, P., Nadeau, R., 1999. Dominance and Efficiency in Multicriteria Decision under Uncertainty. Theory and Decision, 47, 191-211.

Caballero, C., Cerdá, E., Muñoz, M.M., Rey, L., 2000. Relations among Several Efficiency Concepts in Stochastic Multiple Objective Programming. Research and Practice in Multiple Criteria Decision Making, Edited by Y. Y. Haimes and R. Steuer, Lectures Notes in Economics and Mathematical Systems, Springer-Verlag, Berlin, Germany, Vol. 487, 57-68.

Caballero, R., Cerdá, E., Muñoz, M.M., Rey, L., Stancu Minasian, I. M., (2001), Efficient Solution Concepts and Their Relations in Stochastic Multiobjective Programming. Journal of Optimization, Theory and Applications, Vol. 110, 1, 53-74.

Chankong, V., Haimes, Y.Y., 1983. Multiobjective Decision Making: Theory and Methodology. North-Holland, New York.

Goicoechea, A., Hansen, D. R., Duckstein, L., 1982. Multiobjective Decision Analysis with Engineering and Business Applications. John Wiley and Sons, New York.

Hogg, R. V., Craig, A. T., 1989. Introduction to Mathematical Statistics. MacMillan Publishing Co., New York.

Kall, P., Wallace, S.W., 1994. Stochastic Programming. John Wiley and sons, Chichester.

Liu, B., Iwamura, K., 1997. Modelling Stochastic Decision Systems Using Dependent-Chance Programming. European Journal of Operational Research, 101, 193-203.

Prékopa, A., 1995. Stochastic Programming. Kluwer Academic Publishers. Dordrecht.

Sawaragi, Y., Nakayama H., Tanino T., 1985. Theory of Multiobjective Optimization. Academic Press, New York.

Slowinski, R., Teghem, J. (Ed.), 1990. Stochastic Versus Fuzzy Approaches to Multiobjective Mathematical Programming Under Uncertainty. Kluwer Academic Publishers, Dordrecht.

Stancu-Minasian, I. M., 1984. Stochastic Programming with Multiple Objective Functions. D. Reidel Publishing Company, Dordrecht.

Stancu-Minasian, I., Tigan, S., 1984. The Vectorial Minimum Risk Problem. Proceedings of the Colloquium on Approximation and Optimization. Cluj-Napoca, 321-328.

White, D. J., 1982. Optimality and Efficiency. John Wiley and Sons, Chichester.

Deposited On:10 Mar 2008
Last Modified:06 Feb 2014 07:55

Repository Staff Only: item control page