Solving stochastic multi-objective programming through the GP model

The aim of this paper is to present an approach for solving the Stochastic Multi-Objective Programming (SMOP) through the Goal Programming (GP) model. We introduce a deterministic equivalent formulation and we show how GP can provide solutions to SMOP. The proposed method will be illustrated through a numerical example from the Tunisian stock exchange market.

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Year of publication:	2008-06-13
Authors:	AOUNI, Belaid ; COLAPINTO, Cinzia ; TORRE, Davide LA
Institutions:	Dipartimento di Economia, Management e Metodi Quantitativi (DEMM), Università degli Studi di Milano
Subject:	Stochastic Multi-Objective Programming \| Goal Programming

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Extent:	application/pdf
Series:	Departmental Working Papers.
Type of publication:	Book / Working Paper
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005007192