Interactive fuzzy multiobjective stochastic programming with simple recourse

Abstract

This paper considers multiobjective linear programming problems involving random variables in constraints. Using the concept of simple recourse, the formulated multiobjective stochastic programming problems with simple recourse are transformed into deterministic ones. Taking into account vagueness of judgments of the decision maker, interactive fuzzy programming is presented. In the proposed method, after determining the fuzzy goals of the decision maker, a satisficing solution for the decision maker is derived efficiently by updating the reference membership levels. Extensions to integer programming are also considered. An illustrative numerical example is provided to demonstrate the feasibility and efficiency of the proposed method.