A novel approach for solving stochastic problems with multiple objective functions

Abstract

In this paper we suggest an approach for solving a multiobjective stochastic linear programming problem with normal multivariate distributions. Our solution method is a combination between the multiobjective approach and a nonconvex technique. The problem is first transformed into a deterministic multiobjective problem introducing the expected value criterion and an utility function that represents the decision makers’ preferences. The obtained problem is reduced to a mono-objective quadratic problem using a weighting method. This last problem is solved by DC programming and DC algorithm. A numerical example is included for illustration.