Decision uncertainty in multiobjective optimization

Abstract

In many real-world optimization problems, a solution cannot be realized in practice exactly as computed, e.g., it may be impossible to produce a board of exactly 3.546 mm width. Whenever computed solutions are not realized exactly but in a perturbed way, we speak of decision uncertainty. We study decision uncertainty in multiobjective optimization problems and we propose the concept of decision robust efficiency for evaluating the robustness of a solution in this case. This solution concept is defined by using the framework of set-valued maps. We prove that convexity and continuity are preserved by the resulting set-valued maps. Moreover, we obtain specific results for particular classes of objective functions that are relevant for solving the set-valued problem. We furthermore prove that decision robust efficient solutions can be found by solving a deterministic problem in case of linear objective functions. We also investigate the relationship of the proposed concept to other concepts in the literature.