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A DC Algorithm for Solving Multiobjective Stochatic Problem via Exponential Utility Functions

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Optimization of Complex Systems: Theory, Models, Algorithms and Applications (WCGO 2019)

Part of the book series: Advances in Intelligent Systems and Computing ((AISC,volume 991))

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Abstract

In this paper we suggest an algorithm for solving a multiobjective stochastic linear programming problem with normal multivariate distributions. The problem is first transformed into a deterministic multiobjective problem introducing the expected value criterion and an utility function. The obtained problem is reduced to a monobjective quadratic problem using a weighting method. This last problem is solved by DC algorithm.

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Authors and Affiliations

  1. Faculty of Sciences, LAROMAD, Mouloud Mammeri University, BP 17 RP, 15000, Tizi-Ouzou, Algeria

    Ramzi Kasri & Fatima Bellahcene

Authors
  1. Ramzi Kasri
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  2. Fatima Bellahcene
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Corresponding author

Correspondence to Ramzi Kasri .

Editor information

Editors and Affiliations

  1. Computer science and Applications Department, LGIPM, University of Lorraine, Metz Cedex 03, France

    Hoai An Le Thi

  2. Computer Science and Applications Department, LGIPM, University of Lorraine, Metz Cedex 03, France

    Hoai Minh Le

  3. Laboratory of Mathematics, National Institute for Applied Sciences (INSA)-Rouen Normadie, Saint-Étienne-du-Rouvray Cedex, France

    Tao Pham Dinh

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Kasri, R., Bellahcene, F. (2020). A DC Algorithm for Solving Multiobjective Stochatic Problem via Exponential Utility Functions. In: Le Thi, H., Le, H., Pham Dinh, T. (eds) Optimization of Complex Systems: Theory, Models, Algorithms and Applications. WCGO 2019. Advances in Intelligent Systems and Computing, vol 991. Springer, Cham. https://doi.org/10.1007/978-3-030-21803-4_29

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