Solving stochastic multi-objective programming through the GP model

Belaid Aouni (), Cinzia Colapinto () and Davide La Torre

Departmental Working Papers from Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano

Abstract: The aim of this paper is to present an approach for solving the Stochastic Multi-Objective Programming (SMOP) through the Goal Programming (GP) model. We introduce a deterministic equivalent formulation and we show how GP can provide solutions to SMOP. The proposed method will be illustrated through a numerical example from the Tunisian stock exchange market.

Keywords: Stochastic Multi-Objective Programming; Goal Programming (search for similar items in EconPapers)
Date: 2008-06-13
New Economics Papers: this item is included in nep-cba and nep-cmp
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:mil:wpdepa:2008-18

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