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Efficient solution concepts and their relations in stochastic multiobjective programming

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Caballero, R. and Cerdá Tena, Emilio and Muñoz, M.M. and Rey, L. and Stancu-Minasian, I. (2000) Efficient solution concepts and their relations in stochastic multiobjective programming. [ Documentos de Trabajo del Instituto Complutense de Análisis Económico (ICAE); nº 03, 2000, ]

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Official URL: http://eprints.ucm.es/29227/


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Abstract

In 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.


Item Type:Working Paper or Technical Report
Uncontrolled Keywords:Stochastic multiobjective programming; Expected value efficiency; Minimum variance efficiency; Minimum-risk efficiency; Efficiency in probability.
Subjects:Sciences > Mathematics > Stochastic processes
Series Name:Documentos de Trabajo del Instituto Complutense de Análisis Económico (ICAE)
Volume:2000
Number:03
ID Code:29227
Deposited On:16 Mar 2015 15:18
Last Modified:16 Mar 2015 15:18

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