Tradeoff-based decomposition and decision-making in multiobjective programming |
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Authors: | Alexander Engau |
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Institution: | aDepartment of Management Sciences, University of Waterloo, 200 University Avenue West, Waterloo, Ontario, Canada N2L 3G1;bDepartment of Mathematical and Statistical Sciences, University of Colorado Denver, Denver, CO 80217-3364, USA |
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Abstract: | To facilitate the evaluation of tradeoffs and the articulation of preferences in multiple criteria decision-making, a multiobjective decomposition scheme is proposed that restructures the original problem as a collection of smaller-sized subproblems with only subsets of the original criteria. A priori preferences on objective tradeoffs are integrated into this process by modifying the ordinary Pareto order by more general domination cones, and decision makers are supported by an interactive decision-making procedure to coordinate any remaining tradeoffs using concepts of approximate efficiency. A theoretical foundation for this method is provided, and an illustrative application to multiobjective portfolio optimization is described in detail. |
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Keywords: | Multiobjective programming Multicriteria decision-making Preferences Tradeoffs Decomposition Domination cones Approximate efficiency Portfolio optimization |
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