Decision uncertainty in multiobjective optimization

Eichfelder, Gabriele GND; Krüger, Corinna; Schöbel, Anita

In many real-world optimization problems, a solution cannot be realized in practice exactly as computed, e.g., it may be impossible to produce a board of exactly 3.546~mm width. Whenever computed solutions are not realized exactly but in a perturbed way, we speak of decision uncertainty. We study decision uncertainty in multiobjective optimization problems and we propose the concept decision robust efficiency for evaluating the robustness of a solution in this case. Therefore, we address decision uncertainty within the framework of set-valued maps. First, we prove that convexity and continuity are preserved by the resulting set-valued mappings. Second, we obtain specific results for particular classes of objective functions that are relevant for solving the set-valued problem. We furthermore prove that decision robust efficient solutions can be found by solving a deterministic problem in case of linear objective functions. We also investigate the relationship of the proposed concept to other concepts in the literature.

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Eichfelder, Gabriele / Krüger, Corinna / Schöbel, Anita: Decision uncertainty in multiobjective optimization. Ilmenau 2016.

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