Efficient Solution Concepts and Their Relations in Stochastic Multiobjective Programming

R. Caballero, E. Cerdá, M. M. Muñoz, L. Rey and I. M. Stancu-Minasian
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R. Caballero: University of Málaga
E. Cerdá: Universidad Complutense de Madrid
M. M. Muñoz: University of Málaga
L. Rey: University of Málaga
I. M. Stancu-Minasian: Romanian Academy

Journal of Optimization Theory and Applications, 2001, vol. 110, issue 1, No 4, 53-74

Abstract: Abstract In this work, different concepts of efficient solutions to problems of stochastic multiple-objective programming are analyzed. We center our interest on problems in which some of the objective functions depend on random parameters. The existence of different concepts of efficiency for one single stochastic problem, such as expected-value efficiency, minimum-risk efficiency, etc., raises the question of their quality. Starting from this idea, we establish some relationships between the different concepts. Our study enables us to determine what type of efficient solutions are obtained by each of these concepts.

Keywords: stochastic multiobjective programming; expected-value efficiency; minimum-variance efficiency; minimum-risk efficiency; efficiency in probability (search for similar items in EconPapers)
Date: 2001
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Citations: View citations in EconPapers (11)

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DOI: 10.1023/A:1017591412366

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