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A Risk-Aversion Approach for the Multiobjective Stochastic Programming Problem

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León Caballero, Javier and Puerto, Justo and Vitoriano, Begoña (2020) A Risk-Aversion Approach for the Multiobjective Stochastic Programming Problem. Mathematics, 8 (11). 1 -26. ISSN 2227-7390

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Official URL: https://doi.org/10.3390/math8112026




Abstract

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.


Item Type:Article
Uncontrolled Keywords:Multiobjective stochastic programming; Linear programming; Risk-aversion
Palabras clave (otros idiomas):Programación lineal; Programación estocástica
Subjects:Sciences > Mathematics
Sciences > Mathematics > Stochastic processes
ID Code:63283
Deposited On:04 Dec 2020 08:42
Last Modified:04 Dec 2020 12:00

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