LR-NIMBUS : an interactive algorithm for uncertain multiobjective optimization with lightly robust efficient solutions
Koushki, J., Miettinen, K., & Soleimani-damaneh, M. (2022). LR-NIMBUS : an interactive algorithm for uncertain multiobjective optimization with lightly robust efficient solutions. Journal of Global Optimization, 83(4), 843-863. https://doi.org/10.1007/s10898-021-01118-8
Julkaistu sarjassa
Journal of Global OptimizationPäivämäärä
2022Oppiaine
Laskennallinen tiedeMultiobjective Optimization GroupPäätöksen teko monitavoitteisestiComputational ScienceMultiobjective Optimization GroupDecision analytics utilizing causal models and multiobjective optimizationTekijänoikeudet
© 2022 the Authors
In this paper, we develop an interactive algorithm to support a decision maker to find a most preferred lightly robust efficient solution when solving uncertain multiobjective optimization problems. It extends the interactive NIMBUS method. The main idea underlying the designed algorithm, called LR-NIMBUS, is to ask the decision maker for a most acceptable (typical) scenario, find an efficient solution for this scenario satisfying the decision maker, and then apply the derived efficient solution to generate a lightly robust efficient solution. The preferences of the decision maker are incorporated through classifying the objective functions. A lightly robust efficient solution is generated by solving an augmented weighted achievement scalarizing function. We establish the tractability of the algorithm for important classes of objective functions and uncertainty sets. As an illustrative example, we model and solve a robust optimization problem in stock investment (portfolio selection).
Julkaisija
Springer Science and Business Media LLCISSN Hae Julkaisufoorumista
0925-5001Asiasanat
Julkaisu tutkimustietojärjestelmässä
https://converis.jyu.fi/converis/portal/detail/Publication/104130877
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Lisätietoja rahoituksesta
This research is related to the thematic research area Decision Analytics utilizing Causal Models and Multiobjective Optimization (DEMO, jyu.fi/demo) at the University of Jyvaskyla.Lisenssi
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