Hierarchical approach to multi-criteria dynamic programming

Multi-criteria, multi-period discrete decision problems are considered. It is assumed that the decision maker has a fixed single hierarchy in the set of multi-period criteria. The paper aims at describing a hierarchical approach to multi-criteria discrete dynamic programming. Then, a new interactive hierarchical dynamic programming technique based on the concept of a period structure of the solution is introduced. In the following stages successive criteria are considered, one by one, using single objective dynamic programming and the sets of states and decisions are reduced according to the decision maker’s requirements. After the last stage the decision maker is asked to point to one solution which is most suitable. This solution is tested and, if it is not efficient, the set of efficient solutions better than the chosen one is constructed and presented. The decision maker can choose the final solution among the indicated solutions, and if not satisfied, can: point to another solution and repeat the last part of the procedure; repeat all the procedure with changed period parameters; break it. Finally, an example illustrating the method is shown.