Efficient solution concepts and their relations in stochastic multiobjective programming
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A stochastic multiobjective programming problem \[ f(x,Y) \longrightarrow \text{ Min \,}, \quad x \in G \tag{(SMP)} \] where \(Y\) is a continuous random vector and \(G\) is nonempty, convex and compact subset of \(\mathbb R^n\), can be transformed in a deterministic one by using some statistical characteristics of the random vector. The use of different statistical characteristics of course leads to different efficient sets. The authors consider five such efficient sets: expected-value efficiency, expected-value minimum standard deviation efficiency, minimum-variance efficiency, minimum-risk efficiency and efficiency in probability. Many relationships between these efficiency concepts are investigated.
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