Preference modelling by estimating local utility functions for multiobjective optimization

Abstract

This paper is intended to design goal programming models for capturing the decision maker's (DM's) preference information and for supporting the search for the best compromise solutions in multiobjective optimization. At first, a linear goal programming model is built to estimate piecewise linear local utility functions based on pairwise comparisons of efficient solutions as well as objectives. The interactive step trade-off method (ISTM) is employed to generate a typical subset of efficient solutions of a multiobjective problem. Another general goal programming model is then constructed to embed the estimated utility functions in the original multiobjective problem for utility optimization using ordinary nonlinear programming algorithms. This technique, consisting of the ISTM method and the newly investigated search process, facilitates the identification and elimination of possible inconsistent information which may exist in the DM's preferences. It also provides various ways to carry out post-optimality analysis to test the robustness of the obtained best solutions. A modified nonlinear multiobjective management problem is taken as example to demonstrate the technique.