Efficient model for interval goal programming with arbitrary penalty function

Penalty function is a key factor in interval goal programming (IGP), especially for decision makers weighing resources vis‐à ‐vis goals. Many approaches (Chang et al., 2006; Chang and Lin, 2009; Jones et al., 1995; Romero, 2004; Vitoriano and Romero, 1999) have been proposed for treating several types of penalty functions in the past several decades. The recent approach of Chang and Lin (2009) considers the S‐shaped penalty function. Although there are many approaches cited in literature, all are complicated and inefficient. The current paper proposes a novel and concise uniform model to treat any arbitrary penalty function in IGP. The efficiency and usefulness of the proposed model are demonstrated in several numeric examples.