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Article

A Risk-Aversion Approach for the Multiobjective Stochastic Programming Problem

1
HUM-LOG Research Group, Instituto de Matemática Interdisciplinar (IMI), Facultad de Ciencias Matemáticas, Universidad Complutense de Madrid, Plaza de las Ciencias 3, 28040 Madrid, Spain
2
Mathematical Research Institute (IMUS), University of Seville, 41004 Sevilla, Spain
*
Author to whom correspondence should be addressed.
Mathematics 2020, 8(11), 2026; https://doi.org/10.3390/math8112026
Received: 10 October 2020 / Revised: 5 November 2020 / Accepted: 8 November 2020 / Published: 13 November 2020
(This article belongs to the Special Issue Multi-Criteria Optimization Models and Applications)
Multiobjective stochastic programming is a field that is well suited to tackling problems that arise in many fields: energy, financial, emergencies, among others; given that uncertainty and multiple objectives are usually present in such problems. A new concept of solution is proposed in this work, which is especially designed for risk-averse solutions. The proposed concept combines the notions of conditional value-at-risk and ordered weighted averaging operator to find solutions protected against risks due to uncertainty and under-achievement of criteria. A small example is presented in order to illustrate the concept in small discrete feasible spaces. A linear programming model is also introduced to obtain the solution in continuous spaces. Finally, computational experiments are performed by applying the obtained linear programming model to the multiobjective stochastic knapsack problem, gaining insight into the behaviour of the new solution concept. View Full-Text
Keywords: multiobjective stochastic programming; linear programming; risk-aversion multiobjective stochastic programming; linear programming; risk-aversion
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MDPI and ACS Style

León, J.; Puerto, J.; Vitoriano, B. A Risk-Aversion Approach for the Multiobjective Stochastic Programming Problem. Mathematics 2020, 8, 2026. https://doi.org/10.3390/math8112026

AMA Style

León J, Puerto J, Vitoriano B. A Risk-Aversion Approach for the Multiobjective Stochastic Programming Problem. Mathematics. 2020; 8(11):2026. https://doi.org/10.3390/math8112026

Chicago/Turabian Style

León, Javier, Justo Puerto, and Begoña Vitoriano. 2020. "A Risk-Aversion Approach for the Multiobjective Stochastic Programming Problem" Mathematics 8, no. 11: 2026. https://doi.org/10.3390/math8112026

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