Cutting plane method for multiple objective stochastic integer linear programming

Cutting plane method for multiple objective stochastic integer linear programming

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Article ID: iaor20063660
Country: Netherlands
Volume: 168
Issue: 3
Start Page Number: 967
End Page Number: 984
Publication Date: Feb 2006
Journal: European Journal of Operational Research
Authors: ,
Keywords: programming: integer
Abstract:

This paper grapples with the problem of incorporating integer variables in the constraints of a multiple objective stochastic linear program (MOSLP). After representing uncertain aspirations of the decision maker by converting the original problem into a deterministic multiple objective integer linear program (MOILP), a cutting plane technique may be used to compute all the efficient solutions of the last model leaving the decision maker to choose a solution according to his preferences. A numerical example is also included for illustration.

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