PROMISE/scenarios: An interactive method for multiobjective stochastic linear programming under partial uncertainty

PROMISE/scenarios: An interactive method for multiobjective stochastic linear programming under partial uncertainty

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Article ID: iaor20051956
Country: Netherlands
Volume: 155
Issue: 2
Start Page Number: 361
End Page Number: 372
Publication Date: Jun 2004
Journal: European Journal of Operational Research
Authors: ,
Keywords: programming: probabilistic
Abstract:

In many real contexts where the multiobjective stochastic linear programming can be used as a modelling approach, the decision maker is in general placed in a situation of incomplete information concerning the uncertain parameters of the problem. A good way to express that incomplete information consists in resorting to the idea of scenarios relatively to the objectives and constraints of the stochastic program. While the authors who have suggested methods based on scenarios suppose that the probabilities of those scenarios are known, in this paper we propose a scenarios approach where the probabilities of scenarios is only incompletely specified according to a ranking. That interactive method, called PROMIS/scenarios, is presented and is illustrated by a didactic example.

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