Multiple Objectives Satisficing Under Uncertainty

Shao-Wei Lam (), Tsan Sheng Ng (), Melvyn Sim () and Jin-Hwa Song ()
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Shao-Wei Lam: Department of Decision Sciences, National University of Singapore, S119245 Singapore, Republic of Singapore
Tsan Sheng Ng: Department of Industrial and Systems Engineering, National University of Singapore, S117576 Singapore, Republic of Singapore
Melvyn Sim: Department of Decision Sciences, National University of Singapore, S119245 Singapore, Republic of Singapore
Jin-Hwa Song: Corporate Strategic Research, ExxonMobil Research and Engineering, Annandale, New Jersey 08801

Operations Research, 2013, vol. 61, issue 1, 214-227

Abstract: We propose a class of functions, called multiple objective satisficing (MOS) criteria, for evaluating the level of compliance of a set of objectives in meeting their targets collectively under uncertainty. The MOS criteria include the joint targets' achievement probability (joint success probability criterion) as a special case and also extend to situations when the probability distributions are not fully characterized. We focus on a class of MOS criteria that favors diversification, which has the potential to mitigate severe shortfalls in scenarios when any objective fails to achieve its target. Naturally, this class excludes joint success probability. We further propose the shortfall-aware MOS criterion (S-MOS), which is inspired by the probability measure and is diversification favoring. We also show how to build tractable approximations of the S-MOS criterion. Because the S-MOS criterion maximization is not a convex optimization problem, we propose improvement algorithms via solving sequences of convex optimization problems. We report encouraging computational results on a blending problem in meeting specification targets even in the absence of full probability distribution description.

Keywords: satisficing; targets; multiple objectives; robust optimization (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (8)

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