The stochastic goal programming model: Theory and applications

Journal of Multi-Criteria Decision Analysis

Volumn 19, Issue 5-6, 2012, Pages 185-200

  Aouni, Belaid ^a   Ben Abdelaziz, Fouad ^b   La Torre, Davide ^c  

^a LAURENTIAN UNIVERSITY   (Canada)

^b NEOMA BUSINESS SCHOOL   (France)

^c UNIVERSITY OF MILAN   (Italy)

Author keywords

Deterministic equivalent formulations; Stochastic goal programming; Stochastic multi objective programming

Indexed keywords

EID: 85011833648     PISSN: 10579214     EISSN: 10991360     Source Type: Journal    
DOI: 10.1002/mcda.1466     Document Type: Article

References (40)

1. Al-Zahrani, MA., Ahmad, AM., 2004. Stochastic goal programming model for optimal blending of desalinated water with groundwater. Water Resources Management 18: 339-352.
2. Aouni, B., Kettani, O., 2001. Goal programming model: a glorious history and a promising future. European Journal of Operational Research 133(2): 1-7.
3. Aouni, B., La Torre, D., 2010. A generalized stochastic goal programming model. Applied Mathematics and Computation 215: 4347-4357.
4. Aouni, B., Ben Abdelaziz, F., Martel, J-M., 2005. Decision-maker’s preferences modeling in the stochastic goal programming. European Journal of Operational Research 162(2): 610-618.
5. Aouni, B., Colapinto, C., La Torre, D., 2010. Solving stochastic multi-objective programming in portfolio selection through the GP model. Journal of Financial Decision Making 6(2): 17-30.
6. Ben Abdelaziz, F., Masmoudi, M., 2011. A multiobjective stochastic program for Hospital Bed Planning. forthcoming in Journal of the Operational Research Society.
7. Ben Abdelaziz, F., Mejri, S., 2001. Application of goal programming in a multi-objective reservoir operation model in Tunisia. European Journal of Operational Research 133: 352-361.
8. Ben Abdelaziz, F., Aouni, B., El, Fayedh., 2007. Multi-objective stochastic programming for portfolio selection. European Journal of Operational Research 177: 1811-1823.
9. Ben Abdelaziz, F., R El Fayedh., A Rao., 2009. A Discrete stochastic goal program for portfolio selection: the case of United Arab Emirates equity market. INFOR Information Systems and Operational Research 47(1): 5-13.
10. Ben Abdelaziz, F., Lang, P., Nadeau, R., 1999. Dominance and efficiency in multicriteria decision under uncertainty. Theory and Decisions 47(3): 191-211.
11. Bhattacharya, UK., 2009. A chance constraints goal programming model for the advertising planning problem. European Journal of Operational Research 192: 382-395.
12. Bravo, M., Gonzalez, I., 2009. Applying stochastic goal programming: A case study on water use planning. European Journal of Operational Research 196: 1123-1129.
13. Caballero, R., Cerda, E., Munoz, MM., Rey, L., 2004. Stochastic approach versus multiobjective approach for obtaining efficient solutions in stochastic multiobjective programming problems. European Journal of Operational Research 158: 633-648.
14. Caballero, R., Cerda, E., Munoz, MM., Rey, L., Stancu-Minasian, IM., 2001. Efficient solution concepts and their relations in stochastic multiobjective programming. Journal of Optimization Theory and Applications 110(1): 53-74.
15. Charnes, A., Cooper, WW., 1952. Chance constraints and normal deviates. Journal of the American Statistical Association 57: 134-148.
16. Charnes, A., Cooper, WW., 1959. Chance-constrained programming. Management Science 6: 73-80.
17. Charnes, A., Cooper, WW., 1963. Deterministic equivalents for optimising and satisfying under chance constraints. Operations Research 11: 11-39.
18. Chobot, M., 1972. Goal-interval programming, and a stochastic approach to decentralization problems (Slovak) Second National Conference on Mathematical Methods in Economics (Harmónia, 1972) (Czech), 69-93. Ekonom.-Mat. Lab. Ekonom. Ústavu Českoslov. Akad. Vĕd, Prague, 1973.
19. Chobot, M., 1973. A stochastic approach to goal programming (Slovak). Ekonom.-Mat Obzor 9: 305-319.
20. Contini, B., 1968. A stochastic approach to goal programming. Operations Research 16(3): 576-586.
21. Gal, T., Wolf, H., 1985. Solving stochastic linear programs via goal programming. Decision making with multiple objectives (Cleveland, Ohio, 1984). Lecture Notes in Economics and Mathematical Systems, 242, Springer: Berlin, 126-143.
22. Heras, MA., Aguado, AG., 1999a. Stochastic goal programming with recourse. Revista de la Real Academia de Ciencias Exactas, Físicas y Naturales (España) 92(4): 409-414.
23. Heras, MA., Aguado, AG., 1999b. Stochastic goal programming. Central European Journal of Operations Research 7(3): 139-158.
24. Iskander, MG., 2001. On solving stochastic fuzzy goal programming problem using a suggested interactive approach. Journal of Fuzzy Mathematics 9(2): 437-446.
25. Iskander, MG., 2004. A fuzzy weighted additive approach for stochastic fuzzy goal programming. Applied Mathematics and Computation 154(2): 543-553.
26. Iskander, MG., 2006. Exponential membership function in stochastic fuzzy goal programming. Applied Mathematics and Computation 173(2): 782-791.
27. Iskander, MG., 2007. Using the weighted max-min approach for stochastic fuzzy goal programming: a case of fuzzy weights. Applied Mathematics and Computation 188(1): 456-461.
28. Keown, AJ., 1978. A chance-constrained goal programming model for bank liquidity management. Decision Sciences 9(7): 93-106.
29. Keown, AJ., Martin, JD., 1977. A chance constrained goal programming model for working capital management. The Engineering Economist 22(3): 153-174.
30. Keown, AJ., Taylor III, BW. 1980. A chance-constrained integer goal programming model for capital budgeting in the production area. Journal of the Operational Research Society 31(7): 579-589.
31. Martel, J-M., Aouni, B., 1990. Incorporating the decision-maker’s preferences in the goal programming model. Journal of the Operational Research Society 41: 1121-1132.
32. Mortazavi Izadi, MA., 1989. Stochastic goal programming. Ph.D. Thesis, University of Wyoming, USA.
33. Mukherjee, K., A Bera., 1995. Application of goal programming in project selection decision - a case study from the Indian coal mining industry. European Journal of Operational Research 82: 18-25.
34. Qu, H., Zhang, S., 1995. Stochastic generalized goal programming. Transactions of Tianjin University 2: 129-132.
35. Romero, C., 1991. Handbook of critical issues in goal programming. Pergamon Press: Oxford, England.
36. Sengupta, JK., 1979. Stochastic goal programming with estimated parameters. Z. Nationalökonom (Journal of Economics) 39(3-4): 225-243.
37. Stancu-Minasian, IM., 1984. Stochastic programming with multiple objective functions, D. Reidel Publishing Company: Dordrecht.
38. Stancu-Minasian, IM., Ţigan, Ş., 1988. A stochastic approach to some linear fractional goal programming problems. Kybernetika (Prague) 24(2): 139-149.
39. Van Hop, N., 2007. Fuzzy stochastic goal programming problems. European Journal of Operational Research 176(1): 77-86.
40. Yang, L., Y Feng., 2007. A bicriteria solid transportation problem with fixed charge under stochastic environment. Applied Mathematical Modelling 31: 2668-2683.