Hierarchy depending on state in multiple objective dynamic programming

A multi-criteria, multi-period discrete decision problem is considered. It is assumed that a decision maker copes with a set of criteria. In each period the hierarchy of criteria depends on the state of the process. A formal representation of such a situation is proposed. The aim of the paper is to describe an interactive numerical procedure which helps the decision maker to solve the problem. If it is not efficient, a set of dominating efficient solutions is constructed and presented. An illustrative example is given.