STRANGE: An interactive method for multi-objective linear programming under uncertainty
In the field of investment planning within a time horizon, problems typically involve multiple objectives, and basic data are uncertain. In a large number of cases, these decision problems can be written as linear programming problems in which time dependent uncertainties affect the coefficients and the right hand side of constraints. Given the possibility of defining plausible scenarios on basic data, discrete sets of such coefficients are given, each with its subjective probability of occurrence. The correspondence structure is then characteristic for Multi-Objective Stochastic Linear Programming (MOSLP). An interactive procedure is described to obtain a best compromise for such a MOSLP problem. This algorithm, called STRANGE, extends the STEM method to take the random aspects into account. It involves in particular, the concepts of stochastic programming with recourse. In its interactive steps, the efficiency projection techniques are used to provide the decision-maker with detailed graphical information on efficient solution families. As an illustration of the successive steps, a didactic example is solved in some detail and the results of a case study in energy planning are given.
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