We formulate a multicriteria discrete variant of well-known Markowitz's portfolio optimization model with Savage's ordered minimax risk criteria. We constructed lower and upper bounds of the stability radius of a lexicographic optimum (portfolio) in the case of linear metric l1 in three-dimension space of the problem parameters. Copyright © 2013 John Wiley & Sons, Ltd.
Socially responsible investors pursue financial as well as nonfinancial goals. Whereas the role of financial criteria in investment decisions is well understood, much less is known on the influence of social responsibility considerations. This work seeks to integrate both dimensions within a data envelopment analysis framework consistent with second-order stochastic dominance efficiency. We compare the performance of conventional versus socially responsible mutual funds on an empirical data set. Our data do not support the conjecture that conventional mutual funds exhibit superior overall performance. Copyright © 2013 John Wiley & Sons, Ltd.
An optimal asset allocation is crucial for nonlife insurance companies. The most previous studies focused on this topic use a mono-objective technique optimization. This technique usually allows the maximization of shareholders' expected utility. As nonlife insurance company is a complex system, it has many stakeholders other than shareholders. So, the satisfaction of the shareholders' expected utility cannot lead usually to the satisfaction of other stakeholders' objectives. Therefore, the focus on utility maximization can be a destruction source of other objectives such as productivity, competitiveness and solvency. Our developed model integrates simulation approach with a multiobjective particle swarm optimization algorithm. This model insures an optimal asset allocation that maximizes, simultaneously, shareholders expected utility and technical efficiency of European nonlife insurance companies. The empirical application conducts a comparison between the attained results with multiobjective optimization technique and mono-objective technique to search the optimal asset allocation for nonlife insurance companies. Our results show that the investment portfolio will be more diversified between most available investment assets. In addition, any decision maker should take account of different stakeholders' objectives. Accordingly, multiobjective optimization allows us to find the best asset allocation that maximizes simultaneously expected utility and technical efficiency of nonlife insurance companies. Copyright © 2013 John Wiley & Sons, Ltd.
The design improvement of large-scale structures such as cable stayed and suspension bridges with large spans is one of the major engineering optimization problems faced by design engineers. In many real-life engineering design problems, it is necessary to carry out large-scale experimental physical models for only one prototype to construct the feasible solution set that is too expensive and not practical. For these reasons, an experimental search for optimal solutions is often not carried out at all. This paper presents a technique for multicriteria analysis, which involve the finite element analysis of the prototype in the optimization process. The improvement of the Suez Canal Bridge in Egypt is introduced as a real-life large-scale case study. The parameter space investigation method, the visual basic for application programming language, and Femap as finite element analysis software provide an implementation tools to construct the feasible and Pareto solution sets for the studied bridge. An efficient combination between the parameter space investigation method and the finite element programme was successfully investigated to obtain the Pareto solution set. This study shows possibility to apply the multicriteria optimization method for more applications on different large-scale structural systems in the future. Copyright © 2013 John Wiley & Sons, Ltd.
Managers of invasive species seek to prevent and mitigate their impact, which vary in the time horizon over which they are realized. Likewise, stakeholders vary in the time horizons they consider relevant. Agricultural impacts might reasonably be considered over two or three decades, although ecologists typically consider environmental impacts over much longer time frames. Although time preference plays a critical role in decision making, it has largely been ignored in multicriteria analyses. In this study, we examine how time has been treated in previous decision analyses of invasive species management, focusing on the differences between multicriteria and economic cost–benefit analyses. We then outline a method for incorporating time preference information into multicriteria decision analyses to ensure that criteria weights remain a faithful representation of the decision maker's preferences. To illustrate how time preference can be elicited for invasive species problems involving both monetary and nonmonetary consequences, we describe a small empirical study we conducted with a small group of experts and managers. By outlining a way to consider time preference information in multicriteria analyses of invasive species management, we hope to facilitate better decision making that is reflective of the decision maker's true preferences. Copyright © 2013 John Wiley & Sons, Ltd.
Designing products possessing only technical perfectness does not seem to be enough in today's market. New expectations adding value to the product such as product usability and feelings have become more important. Consequently, product usability has become a major focus of manufacturing companies. In this study, touch screen cell phones are examined, and various specifications that affect the usability are researched. Usability tests were carried out with the participation of 15 subjects for four different brands of touch screen phones having the highest market share. The usability factors regarding questionnaires were evaluated by taking into consideration the relationships between them in a three-stage (strategic, tactical and operational) hierarchical network model. Analytical network process method was used in order to analyse the network for end consumer. The results were evaluated within the general framework of the hierarchy, and the most important factors in respect of usability were calculated. Moreover, the usability levels of four brands were ranked evaluating the usability scores. Copyright © 2013 John Wiley & Sons, Ltd.
In this paper, we present a Bayesian approach to model uncertainty about a group's priorities in a multicriteria evaluation problem and develop a methodology to quantify amount of information provided by a sample of priorities. In so doing, we discuss how the quantification of the information content can be used to decide to elicit additional priorities from the group. We illustrate the implementation of our approach and discuss additional insights that it provides using real-life data from an academic department's priority analysis. Copyright © 2013 John Wiley & Sons, Ltd.
This paper presents a new simulated annealing (SA) algorithm for noisy multiobjective optimization with continuous decision variables. A novel feature of the algorithm in the context of SA is that the performance of a candidate solution is determined by estimating the probabilities that the candidate is dominated by the current non-dominated solutions. The sum of these probabilities provides a scalar performance measure that is used to determine the acceptance of the candidate as the current solution and whether the candidate is inserted into the non-dominated set. The second novel feature of the algorithm is the technique utilized for generating candidate solutions. Empirical probability distributions for sampling the new values of the decision variables are constructed on the basis of the values of the variables in the current non-dominated set. Thus, the information contained by the non-dominated set is utilized to improve the quality of the generated candidates, whereas this information is ignored in the existing multiobjective SA algorithms. The proposed algorithm is compared with a reference state-of-the-art evolutionary algorithm as well as two other SA algorithms in numerical experiments involving 16 problems from commonly applied test suites. The proposed algorithm performs as good or better compared with the reference algorithms in majority of the experiments and therefore represents a promising solution method for noisy multiobjective optimization problems. Copyright © 2012 John Wiley & Sons, Ltd.
The progression of the dominated hypervolume in the course of the optimization process, with respect to a global reference point, is thought to be monotonically increasing. This intuition is based on the observation that in each iteration, the solution that contributes the least to the dominated hypervolume is eliminated. Derived from results of multiple optimization runs with incorporated reference point adaptation, we show that this does not always hold for two-dimensional and three-dimensional objective spaces. For the two-dimensional case, this is because the two boundary solutions are always retained in the population regardless of their hypervolume contribution. For the three-dimensional case, we are able to show that the cause of the drop in dominated hypervolume is the continuous adaption of the reference point during selection. Copyright © 2012 John Wiley & Sons, Ltd.
Fair and equitable allocation of donor organs in the USA is a daunting yet necessary task, which can mean the difference between life and death for patients on transplant waiting lists. This paper proposes a multi-criterion decision-making model using the analytic hierarchy process to allow for an allocation decision to be made on the basis of urgency, efficiency, benefit and equity. These four perspectives and objectives can be broken down into both quantitative and qualitative measures, which can be easily combined and weighted through group consensus. The proposed model overcomes the limitations of a single type of system, integrates the views of many organ allocation philosophies, improves the decision maker's ability to collaborate, helps justify the decision and reaches the optimal result. In addition, the proposed profile matrix allows decision makers to graphically trade off criteria against each other and to clearly articulate the decision rationale. Our computational study suggests that the proposed model not only satisfactorily serves the objectives of many constituents, but also remains noticeably robust under various criteria-weight-change scenarios. It improves stakeholder confidence in the organ allocation procedure, maximizes the usefulness of the organ and enhances welfare to society. Copyright © 2012 John Wiley & Sons, Ltd.
Multiobjective problems usually contain conflicting objectives. Therefore, there is no single best solution but a set of solutions that represent different tradeoffs between these objectives. Knowledge of this front can help in understanding the optimization problem better, as promising designs can be identified, and it can be seen what the achievable tradeoffs between the objective values are. Although for real-world problems, this interpretation of the front is usually not straightforward.
This paper proposes a method to help the decision maker by clustering a given set of tradeoff solutions. It does so by extending the standard approach of clustering the solutions in objective space, such that it finds clusters that are compact and well separated both in decision space and in objective space. It is not the goal of the method to provide the decision maker with a single preferred solution. Instead, it helps the decision maker by structuring the tradeoff solutions such that he or she can learn about the problem. More precisely, a good clustering of the tradeoff solutions both in decision space and in objective space elicits information from the front about what design types lead to what regions in objective space. The novelty of the presented approach over existing work is its general nature, as it does not require the identification of distinct design variables or feature vectors. Instead, the proposed method only requires that a distance measure between a given pair of solutions can be calculated both in decision space and in objective space.
As good clusters in decision space do not necessarily correspond to good clusters in objective space, we formulate this clustering problem as a biobjective optimization problem and propose PAN, a multiobjective evolutionary algorithm, to generate promising partitionings. Tests on artificial datasets are used to identify a suitable representation and a suitable partitioning goodness measure for PAN. Results from applying PAN to a knapsack problem and a bridge construction problem show that PAN is able to find multiple tradeoffs between good clustering in decision space and in objective space. Copyright © 2012 John Wiley & Sons, Ltd.
During the last few decades, several multi-criteria decision analysis methods have been proposed to help in selecting the best compromise alternatives. Among them, analytic hierarchy process (AHP) and its applications have attracted much attention from academics and practitioners. However, since the early 1980s, critics have raised questions regarding its proper use. One of them concerns the unacceptable changes in the ranks of the alternatives, called rank reversal, upon changing the structure of the decision. Several modifications were suggested to preserve ranks. In this paper, a classification scheme and a comprehensive literature review are presented in order to uncover, classify and interpret the current research on AHP methodologies and rank reversals. On the basis of the scheme, 61 scholarly papers from 18 journals are categorized into specific areas. The specific areas include the papers on the topics of adding/deleting alternatives and the papers published in adding/deleting criteria. The scholarly papers are also classified by (1) year of publication, (2) journal of publication, (3) authors' geographic location and (4) using the AHP in association with other methods. It is hoped that the paper can meet the needs of researchers and practitioners for convenient references of AHP methodologies and rank reversals and hence promote the future of rank reversal research. Copyright © 2012 John Wiley & Sons, Ltd.
We introduce a bipolarly extended veto principle—a positive, as well as negative, large performance differences polarization—which allows us to extend the definition of the classical outranking relation in such a way that the identity between its asymmetric part and its codual relation is preserved. Copyright © 2012 John Wiley & Sons, Ltd.
This work proposes an approach to cluster and sort a set of alternatives considering multi-criteria categories with a partial order structure. It can be considered a heuristic approach because it does not attempt to derive an optimal partial order among all conceivable clusters of alternatives. Rather than this, it intends to be a simple approach that is transparent to the Decision Maker (DM) whose assistance is sought to help shaping the results. The approach proposed arises from the conjugation of traditional Clustering analysis and Multi-criteria sorting tools. At the outset, the number of categories and their characteristics is unknown. First, we need to detect only the clusters themselves on the basis of a similarity measure independent of the preferences of the DM. Next, we detect potential partial order relations that might exist between them, according to the subjective preferences of the DM. Such preferences are elicited only after the DM has examined the clusters detected and deemed that these categories made sense. The new approach performs very well in a real-world problem of management of intragroup conflicts and conflict handling strategies. Copyright © 2012 John Wiley & Sons, Ltd.
Solving complex decision problems is a demanding task; it requires determining and evaluating the consequences of decision alternatives. To this end, uncertain factors that can only partly be influenced by the decision makers, and their interdependencies need to be considered. Scenarios focus on this part of the decision problem; they enable a systematic exploration of a multitude of possible future developments that are relevant for the decision including external events and decisions made. Scenarios are particularly useful when the problem is pervaded by severe uncertainties that cannot be quantified. For the evaluation of alternatives, multiple objectives and the potentially diverging preferences of the involved actors need to be respected. Multi-criteria decision analysis aims at structuring the problem, evaluating the alternatives and supporting decision makers pursuing multiple goals.
We propose an approach integrating scenarios and multi-criteria decision analysis that focuses on the robustness of alternatives in complex, dynamic, uncertain and time-bound situations. In this integrated framework, the scenarios provide the basis for evaluating a set of alternatives. Ideally, the set of scenarios considered captures all possible future developments. To appropriately explore this set, formal or analytical approaches to scenario construction generate a large number of scenarios. This challenges the decision makers' information-processing capacity. To support them in managing the richness of information, a two-fold approach that uses selection and aggregation is presented. By using a selection method, the scenarios that are deemed most relevant are identified, and their evaluations are presented in detail to decision makers. This approach is complemented by an aggregation of scenario evaluations on the basis of the decision makers' preferences. We present two approaches to facilitate the preference elicitation process. Copyright © 2013 John Wiley & Sons, Ltd.
Criteria are the central focus of multi-criteria decision analysis. Many authors have suggested using our values (or preferences) to define the criteria we use to evaluate alternatives. Value-focused thinking (VFT) is an important philosophy that advocates a more fundamental view of values in our decision making in our private and professional lives. VFT proponents advocate starting first with our values and then using our values to create decision opportunities, evaluate alternatives and finally develop improved alternatives. It has been 20 years since VFT was first introduced by Ralph Keeney. This paper surveys the VFT literature to provide a comprehensive summary of the significant applications, describe the main research developments and identify areas for future research. We review the scope and magnitude of VFT applications and the key developments in theory since VFT was introduced in 1992 and found 89 papers written in 29 journals from 1992 to 2010. We develop about 20 research questions that include the type of article (application, theory, case study, etc.), the size of the decision space (which, when given, ranged from $200K to billions of dollars), the contribution documented in the article (application benefits) and the research contributions (categorized by preferences, uncertainties and alternatives). After summarizing the answers to these questions, we conclude the paper with suggestions for improving VFT applications and potential future research. We found a large number of significant VFT applications and several useful research contributions. We also found an increasing number of VFT papers written by international authors. Copyright © 2012 John Wiley & Sons, Ltd.
We present main characteristics of ELECTRE (ELimination Et Choix Traduisant la REalité - ELimination and Choice Expressing the REality) family methods, designed for multiple criteria decision aiding. These methods use as a preference model an outranking relation on the set of actions—it is constructed in result of concordance and nondiscordance tests involving a specific input preference information. After a brief description of the constructivist conception in which the ELECTRE methods are inserted, we present the main features of these methods. We discuss such characteristic features as the possibility of taking into account positive and negative reasons in the modelling of preferences, without requiring commensurable performance scales; the use of discriminating thresholds for taking into account the imperfect knowledge of data; the absence of systematic compensation between ‘gains’ and ‘losses’. The main weaknesses are also presented. Then, some aspects related to new developments are outlined. These are related to some new methodological developments, new procedures, axiomatic analysis, software tools and several other aspects. This paper is an updated version of a chapter published by the authors under the title ‘Electre Methods: Main Features and Recent Developments’ in C. Zopounidis and P. Pardalos (Editors): Handbook of Multicriteria Analysis, Springer, Berlin 2010, pp. 51–89. Copyright © 2012 John Wiley & Sons, Ltd.
This historical note is based on a plenary talk ‘A History of Early Developments in Multiple Criteria Decision Making’, presented by Stanley Zionts at the 21st International Conference on Multiple Criteria Decision Making held in Jyväskylä, Finland, June 2011. It draws heavily on our book, Multiple Criteria Decision Making: From Early History to the 21st Century, published by World Scientific, Singapore, 2011. Copyright © 2013 John Wiley & Sons, Ltd.