Satisficing solutions for multiobjective stochastic linear programming problems

Abstract

Multiobjective Stochastic Linear Programming is a relevant topic. As a matter of fact, many real life problems ranging from portfolio selection to water resource management may be cast into this framework. There are severe limitations in objectivity in this field due to the simultaneous presence of randomness and conflicting goals. In such a turbulent environment, the mainstay of rational choice does not hold and it is virtually impossible to provide a truly scientific foundation for an optimal decision. In this thesis, we resort to the bounded rationality and chance-constrained principles to define satisficing solutions for Multiobjective Stochastic Linear Programming problems. These solutions are then characterized for the cases of normal, exponential, chi-squared and gamma distributions. Ways for singling out such solutions are discussed and numerical examples provided for the sake of illustration. Extension to the case of fuzzy random coefficients is also carried out.