Hybrid Method for a Class of Stochastic Bi-Criteria Optimization Problems

作者：Wan, Zhong^*; Hao, AiYun; Meng, FuZheng; Hu, Chaoming

来源：JOURNAL OF INEQUALITIES AND APPLICATIONS, 2010, 2010(Pt.3): 745162.

DOI：10.1155/2010/745162

• MODEL

We study a class of stochastic bi-criteria optimization problems with one quadratic and one linear objective functions and some linear inequality constraints. A hybrid method of chance-constrained programming (CCP) combined with variance expectation (VE) is proposed to find the optimal solution of the original problem. By introducing the expectation level, the bi-criteria problem is converted into a single-objective problem. By introducing the confidence level and the preference level of decision maker, we obtain a relaxed robust deterministic formulation of the stochastic problem. Then, an interactive algorithm is developed to solve the obtained deterministic model with three parameters, reflecting the preferences of decision maker. Numerical experiments show that the proposed method is superior to the existing methods. The optimal solution obtained by our method has less violation of the constraints and reflects the satisfaction degree of decision-maker.

• 出版日期2010
• 单位中南大学