Abstract
This study proposes a new interactive multicriteria method for determining the best levels of the decision variables needed to optimize a stochastic computer simulation with multiple response variables. The method, called the Pairwise Comparison Stochastic Cutting Plane (PCSCP) method, combines good features from interactive multiple objective mathematical programming and response surface methodology. The major characteristics of the PCSCP method are: (1) it interacts progressively with the decision-maker (DM) to obtain her preferences, (2) it uses experimental design to explore the decision space adequately while reducing the burden on the DM, and (3) it uses the preference information provided by the DM and the sampling error in the responses to reduce the decision space. The mechanics of the method are illustrated with a numerical example. Some computational studies evaluating the method are also reported.
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