原创力文档chance-constrained approaches for multiobjective stochastic linear programming problems机会约束多目标随机线性规划问题的方法.pdfVIP
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chance-constrained approaches for multiobjective stochastic linear programming problems机会约束多目标随机线性规划问题的方法
American Journal of Operations Research, 2012, 2, 519-526
/10.4236/ajor.2012.24061 Published Online November 2012 (http://www.SciRP.org/journal/ajor)
Chance-Constrained Approaches for Multiobjective
Stochastic Linear Programming Problems
1 2
Justin Dupar Busili Kampempe , Monga Kalonda Luhandjula
1Department of Mathematics and Computer Science, University of Kinshasa, Kinshasa, D.R. Congo
2Department of Decision Sciences, University of South Africa, Pretoria, South Africa
Email: kampempe@yahoo.fr, luhanmk@unisa.ac.za
Received July 30, 2012; revised August 31, 2012; accepted September 13, 2012
ABSTRACT
Multiple objective stochastic linear programming is a relevant topic. As a matter of fact, many practical problems rang-
ing from portfolio selection to water resource management may be cast into this framework. Severe limitations on ob-
jectivity are encountered in this field because of the simult aneous presence of randomness and conflicting goals. In such
a turbulent environment, the mainstay of rational choice cannot hold and it is virtually impossible to provide a truly
scientific foundation for an optimal decision. In this paper, we resort to the bounded rationality principle to introduce
satisfying solution for multiobjective stochastic linear programming problems. These solutions that are based on the
chance-constrained paradigm are characterized under the assumption of normality of involved random variables. Ways
for singling out such solutions are also discussed and a numerical example provided for the sake of illustration.
Keywords: Satisfying Solution; Chance-Constrained; Multiobjective Programming; Stochastic Programming
1. In
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