Robustness analysis in multi-objective mathematical programming using Monte Carlo simulation

DOI10.1016/J.EJOR.2014.06.039MaRDI QIDQ2629615zbMATH OpenOpenAlexDBLPWikidataFDO

Authors George Mavrotas, Olena Pechak, Eleftherios Siskos, John Psarras, Haris Ch. Doukas

Publication date 6 July 2016

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.ejor.2014.06.039

zbMATH Keywords

Monte Carlo simulationmulti-objective programmingrobustness analysis

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical mathematical programming methods (65K05) Multi-objective and goal programming (90C29) Approximation methods and heuristics in mathematical programming (90C59)

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Cites work

• A stochastic method for robustness analysis in sorting problems
• An improved version of the augmented \(\varepsilon\)-constraint method (AUGMECON2) for finding the exact Pareto set in multi-objective integer programming problems
• Hit-and-run enables efficient weight generation for simulation-based multiple criteria decision analysis
• scientific article; zbMATH DE number 4085440 (Why is no real title available?)
• scientific article; zbMATH DE number 1139029 (Why is no real title available?)
• Implementing stochastic multicriteria acceptability analysis
• Multi-objective modeling for engineering applications: DIDASN++ system
• Multiple criteria optimization: State of the art annotated bibliographic surveys
• Nonlinear multiobjective optimization
• On the calculation of stability radius for multi-objective combinatorial optimization problems by inverse optimization
• Preference programming for robust portfolio modeling and project selection
• Robust convex optimization
• Robust discrete optimization and its applications
• Robust discrete optimization and network flows
• Robust Optimization of Large-Scale Systems
• Robust portfolio modeling with incomplete cost information and project interdependencies
• Robust solutions of linear programming problems contaminated with uncertain data
• Robustness in operational research and decision aiding: a multi-faceted issue
• Technical Note—Convex Programming with Set-Inclusive Constraints and Applications to Inexact Linear Programming
• The aspiration level interactive method (aim) reconsidered: robustness of solutions
• The Price of Robustness
• Theory and applications of robust optimization
• Weight stability intervals in multicriteria decision aid

Cited in

(5)

• A multiobjective genetic algorithm based on a discrete selection procedure
• Multi-objective optimization using statistical models
• Robust optimization in simulation: Taguchi and Krige combined
• Biobjective robust optimization over the efficient set for Pareto set reduction
• Analysis of robust performance with multiple objectives

Describes a project that uses

Uses Software

• GAMS
• DIDASN++

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