Multi-Objective Optimization Problems with Random Elements - Survey of Approaches

0493605 - ÚTIA 2019 RIV CZ eng K - Conference Paper (Czech conference)
Kaňková, Vlasta
Multi-Objective Optimization Problems with Random Elements - Survey of Approaches.
36th International Conference Mathematical Methods in Economics. Praha: MatfyzPress, 2018 - (Váchová, L.; Kratochvíl, V.), s. 198-203. ISBN 978-80-7378-371-6.
[36th International Conference Mathematical Methods in Economics. Jindřichův Hradec (CZ), 12.09.2018-14.09.2018]
R&D Projects: GA ČR GA18-02739S
Institutional support: RVO:67985556
Keywords : multi-objective optimization problems * random element * mean-risk model * deterministic approach * stochastic multi-objective problems * constraints set * relaxation
OECD category: Economic Theory
http://library.utia.cas.cz/separaty/2018/E/kankova-0493605.pdf

Many economic and financial situations depend simultaneously on a random element and a decision parameter. Mostly, it is possible to influence the above mentioned situation only by an optimization model depending on a probability measure. This optimization problem can be static (one-stage), dynamic with finite or infinite horizon, single-objective or multi-objective. We focus on one-stage multi-objective problems corresponding to applications those are suitable to evaluate simultaneously by a few objectives. The aim of the contribution is to give a survey of different approaches (as they are known from the literature) of the above mentioned applications. To this end we start with well-known mean-risk model and continue with other known approaches. Moreover, we try to complete every model by a suitable application. Except an analysis of a choice of the objective functions type we try to discuss suitable constraints set with respect to the problem base, possible investigation and relaxation. At the end we mention properties of the problem in the case when the theoretical „underlying“ probability measure is replaced by its „deterministic“ or „stochastic“ estimate.
Permanent Link: http://hdl.handle.net/11104/0286981