Abstract
This paper focuses on the issues of risk management in a hierarchical multi-objective framework. A discussion of the control of expected extreme values is followed by a description of a risk management model suitable for hierarchical power-decentralized systems that are composed of a coordinating central system and plural, semi autonomous, lower-level systems, each of which possesses a decisionmaking unit with its own multiobjectives. The decision makers at the upper level and at the lower level have different attitudes toward risk. The central decision maker is concerned with the control of the expected extreme values, while the lower-level systems consider the popular expected values. A solution scheme is developed by extending the decomposition strategy of direct distribution, and an example problem is studied.
This is a preview of subscription content, log in via an institution.
Buying options
Tax calculation will be finalised at checkout
Purchases are for personal use only
Learn about institutional subscriptionsPreview
Unable to display preview. Download preview PDF.
References
Ang, A. H-S., and W.H. Tang, 1984, Probability Concepts in Engineering Planning and Design, Volume II, Decision, Risk, and Reliability, New York: John Wiley and Sons.
Asbeck, E., and Y. Haimes, 1984, “The partitioned multiobjective risk method,” Large Scale Systems, Vol. 6, No. 1.
Cramer, H., 1946, Mathematical Methods of Statistics, Princeton: Princeton University Press.
Geoffrion, A.M., 1970, “Primal resource directive approaches for optimizing nonlinear decomposable systems,” Operations Research, Vol. 18, pp. 375–403.
Geoffrion, A.M., J.S. Dyer and A. Feinberg, 1972, “An Interactive approach for multi-criterion optimization, with an application to the operation of an academic department,” Management Science, Vo. 19, No. 4.
Gumbel, E.J., 1954, The Statistical Theory of Extreme Values and Some Practical Applications, Applied Mathematics Series 33, Washington, D.C.: National Bureau of Standards.
Gumbel, E.J., 1958, Statistics of Extremes, New York: Columbia Univ. Press.
Haimes, Y.Y., and M.R. Leach, 1984, “Risk assessment and management in a multi-objective framework”, in Decision Making with Multiple Objectives, Proceedings, Cleveland, Ohio, Y. Haimes and V. Chankong, eds.
Kate, A.T., 1972, “Decomposition of linear programs by direct distribution,” Econometrica, Vol. 40, No. 5.
Komai, J., and T. Liptak, 1965, “Two-level planning”, Econometrica, Vol. 33, No. 1.
Nijkamp, P., and P. Rietveld, 1981, “-Multi-objective multi-level policy models: An application to regional and environmental planning,” European Economic Review, Vol. 15, pp. 63–89.
Sage, A., and E. White, 1980, “Methodologies for risk and hazard assessment: A survey and status report,” IEEE-SMC, Vol. SMC-10, No. 8.
Shimizu, K., and E. Aiyoshi, 1981, “Hierarchical multiobjective decision systems for general resource allocation problems,” Journal of Optimization Theory and Applications, Vol. 35, No. 4.
Silverman, G.J., 1972, “Primal decomposition of mathematical programs by resource allocation,” Operations Research, Vol. 20, No. 1.
Author information
Authors and Affiliations
Editor information
Editors and Affiliations
Rights and permissions
Copyright information
© 1987 Springer-Verlag Berlin Heidelberg
About this paper
Cite this paper
Li, D., Haimes, Y.Y. (1987). Risk Management in a Hierarchical Multiobjective Framework. In: Sawaragi, Y., Inoue, K., Nakayama, H. (eds) Toward Interactive and Intelligent Decision Support Systems. Lecture Notes in Economics and Mathematical Systems, vol 286. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-46609-0_20
Download citation
DOI: https://doi.org/10.1007/978-3-642-46609-0_20
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-17719-7
Online ISBN: 978-3-642-46609-0
eBook Packages: Springer Book Archive