Decision-maker’s behavioral preferences modeling in fuzzy goal programming through linear-nonlinear membership functions

Abstract

A relevant extension of traditional goal programming (GP), fuzzy goal programming (FGP) can handle uncertainty and imprecision in multi-objective optimization problems. Based on fuzzy set theory, the notion of membership functions has been introduced to consider the fuzziness related to objectives and constraints. These membership functions are mainly intended for fuzziness in the GP rather than modeling the decision-maker’s (DM’s) preferences and his/her attitude toward risk in the decision-making process. In the satisfying philosophy of FGP, little attention has been given to how preferences evolve in terms of the behavior of the decision-maker (DM) and how these preferences may affect decisions in risky scenarios. To address this issue, we suggest novel behavioral-type utility functions for the FGP approach by introducing the concept of behavioral membership functions. This concept offers an innovative procedure for simulating the DM’s behavioral preferences in the FGP approach. First, two main categories of objectives in relation to the DM’s behavioral preferences are distinguished in this work. A risk aversion parameter is integrated into membership functions according to the nature of each objective type, obtaining the so-called behavioral membership functions. A behavioral FGP approach is subsequently formulated. Finally, an illustrative example of venture capital investments, a sensitivity analysis, and comparisons with other FGP approaches are provided to demonstrate the validity and practicality of our proposed approach.