Multi-Criteria Decision Making and Optimization

Ankur Sinha
Ankur.Sinha@aalto.fi
Department of Information and Service Economy

Aalto University School of Economics

 - Constraint Method

If followin m objective optimization problem is to be solved

Minimize

f(x) = (f1(x),f2(x), .. ,fm(x) )

Subject to x S

Constrain all the objectives except one, say

Choose a relevant vector

Solve the following single objective optimization problem

Minimize f (x)

Subject to fi(x) i, i {1,..m}, i

xS

Each vector leads to a solution on the Pareto-optimal frontier

Ankur Sinha

 - Constraint Method
For a two objective minimization problem
Min f(x) = (f1(x),f2(x) )
Subject to

xS

We solve the following single

objective mathematical program for
different values of 1
Min f2(x)
Subject to f1(x) 1
xS

Ankur Sinha

 - Constraint Method

Disadvantage: Requires relevant vectors

Disadvantage: Leads to non-uniform Pareto-optimal
solutions
Advantage: Guarantees Pareto-optimal solution on the
frontier
Advantage: Does not suffer even if the Pareto-frontier is
non-convex (minimization problems)

Ankur Sinha

Example
Consider the following multi-objective problem
Min f1(x,y) = x2 + y2
Min f2(x,y) = (x-2)2 + (y-2)2
x,y [0,2]

x2

f2

(1.5,1.5)

S
0

x1

(4.5,0.5)

Ankur Sinha

f1

Example
f2
8

x2
2

S
0

x1

f(S)

Ankur Sinha

f1

Example
f2
8
Feasible Region for
Epsilon Constraint Problem

Min f2(x,y) = (x-2)2 + (y-2)2

Subject to
f1(x,y) 6

Solution
Optimal (x,y) : (1.73,1.73)
Optimal (f1,f2): (6,0.14)
2

Ankur Sinha

f1

Example
f2
8

Subject to
f1(x,y) 4
4

Solution

Feasible Region for

Epsilon Constraint Problem

Min f2(x,y) = (x-2)2 + (y-2)2

Optimal (x,y) : (1.41,1.41)

Optimal (f1,f2): (4,0.69)
2

Ankur Sinha

f1

Example
Min f2(x,y) = (x-2)2 + (y-2)2

Subject to
f1(x,y) 2
4

Solution

Feasible Region for

Epsilon Constraint Problem

f2

Optimal (x,y) : (1,1)

Optimal (f1,f2): (2,2)
2

Ankur Sinha

f1

Example
Feasible Region for
Epsilon Constraint Problem

f2
Min f2(x,y) = (x-2)2 + (y-2)2

Subject to
f1(x,y) 1
4

Solution
Optimal (x,y) : (0.71,0.71)
Optimal (f1,f2): (1,3.32)
1

Ankur Sinha

f1

Example
f2
8

Choose other values for to get

more points on the frontier

f(S)

=1
=2
=4
1

=6
Ankur Sinha

f1

Goal Programming

It is a linear programming problem which satisfies

multiple goals at the same time
Multiple goals are prioritized and weighted to account
for the decision maker's requirements
Minimizes sum of weighted deviations from the target
values It is ALWAYS the objective for Goal
Programming

Ankur Sinha

Goal Programming
n

cij x j
i=1,,p
Assume zi ( x ) =
j= 1
Let
gi: goal to be achieved in criteria i
I:

{index set of objectives for which underachievement is undesirable}

M:

{index set of objectives for which over-achievement

is undesirable}

K:

{index set of objectives for which both underachievement and over-achievement are undesirable}

Ankur Sinha

Goal Programming
n

j= 1

Underachievement Variable

cij x j = g i + d i+ d i
Overachievement Variable

wi is a constant weight for the deviation which is

provided by the decision maker

z
=
w
d
Min i i +
i I

j= 1

m M

wm d m+ +

k K

( wk d k + wk' d k+ )

cij x j = gi + di+ di

Goal Objective

Goal Constraints

x X
Ankur Sinha

Goal Programming Steps

Define decision variables
Define deviation variables for each goal
Formulate constraint equations
Economic constraints
Goal constraints
Formulate objective function

Ankur Sinha

Goal Programming Variables

Decision variables are the unknown
variables in the optimization problem
Deviation variables represent
overachieving or underachieving each goal
d+ Represents overachieving level of the goal
d- Represents underachieving level of the goal

Ankur Sinha

Goal Programming Constraints

Economic Constraints
Stated as , , or =
Linear (stated in terms of decision variables)
Example: 3x + 2y 50 hours

Goal Constraints
General form of goal constraint:
Goal

+ d+ - d-

Criteria

Ankur Sinha

Goal Programming Example

Fincom is a growth oriented firm which establishes
monthly performance goals for its sales force
Fincom determines that the sales force has a
maximum available hours per month for visits of 640
hours
Further, it is estimated that each visit to a potential
new client requires 3 hours and each visit to a
current client requires 2 hours

Ankur Sinha

Goal Programming Example

Fincom establishes two goals for the coming
month:
Contact at least 200 current clients
Contact at least 120 new clients
Overachieving either goal will not be
penalized

Ankur Sinha

Goal Programming Example

Steps Required:
Define the decision variables
Define the goals and deviation variables
Formulate the goal programming model
parameters:

Economic Constraints
Goal Constraints
Objective Function

Ankur Sinha

Goal Programming Example

Step 1: Define the decision variables:
X1 = the number of current clients visited
X2 = the number of new clients visited

Step 2: Define the goals:

Goal 1 Contact 200 current clients
Goal 2 Contact 120 new clients
Ankur Sinha

Goal Programming Example

Step 3: Define the deviation variables
d1+ = the number of current clients visited in excess of
the goal of 200
d1- = the number of current clients visited less than the
goal of 200
d2+ = the number of new clients visited in excess of the
goal of 120
d2- = the number of new clients visited less than the
goal of 120

Ankur Sinha

Goal Programming Example

Formulate the GP Model:
Economic Constraints:
2X1 + 3X2 640
X1, X2 0
d1+, d1-, d2+, d2- 0
Goal Constraints:
Current Clients: X1 + d1- - d1+ = 200
New Clients: X2 + d2- - d2+ = 120

Ankur Sinha

Must be =

Goal Programming Example

Objective Function:
Minimize Weighted Deviations
Minimize Z = d1- + d2-

Ankur Sinha

Goal Programming Example

Complete formulation:
Minimize Z = d1- + d2Subject to:

2X1 + 3X2 640

X1 + d1- - d1+ = 200
X2 + d2- - d2+ = 120
X1, X2 0
d1+, d1-, d2+, d2- 0

Ankur Sinha

Goal Programming Example

Economic constraint:
2X1 + 3X2 = 640
If X1 = 0, X2 = 213
If X2 = 0, X1 = 320

Plot points (0, 213) and (320, 0)

Ankur Sinha

Goal Programming Example

X2
200

(0,213)

150
100
50
(320,0)

50

100

150

200 250 300 350

Ankur Sinha

X1

Goal Programming Example

Graph deviation lines
X1 + d1- - d1+ = 200 (Goal 1)
X2 + d2- - d2+ = 120 (Goal 2)
Plot lines for X1 = 200, X2 = 120

Ankur Sinha

Goal Programming Example

X2
(0,213)

200

2X

Goal 1
+3
X

150

<=

d164
0

d2+

(140,120)

100

d1+
Goal 2

d2-

(200,80)

50
(320,0)

50

100

150

X1
200 250 300 350
Ankur Sinha

Graphical Solution
Want to Minimize d1- + d2So we evaluate each of the candidate
solution points:
For point (140, 120)
d1- = 60 and d2- = 0
Z = 60 + 0 = 60

Optimal Point

For point (200, 80)

d1- = 0 and d2- = 40
Z = 0 + 40 = 40

Contact at least 200 current

clients
Contact at least 120 new

Ankur Sinha

Goal Programming Solution

X1 = 200 Goal 1 achieved
X2 = 80
Goal 2 not achieved
d1+ = 0
d2+ = 0
d1- = 0
d2- = 40
Z = 40

Ankur Sinha

Weighted Distance Minimization

The weighted L distance between two vectors

x and y is defined as:

p

L = ( w j x j y j
j= 1

1/

= 1 rectilinear
= 2 Euclidean

= Tchebycheff

Ankur Sinha

Weighted Distance Minimization

Tchebycheff
Rectilinear

Euclidean

Ankur Sinha

Weighted Distance Minimization

Consider a set of alternatives in the objective space
8
6
4

Ideal Point
(8,8)

A
B
C

Let weights be 1
D

E
2

8
Ankur Sinha

Weighted Distance Minimization

Point closest to the ideal point is chosen based on L for unit weights

Alt

Xi1

Xi2

L1

L2

6.32

6.40

5*

6.40

5*

6*

6*

Find the closest solutions based on L1,L2 and L3 if weights are (1,2)
Ankur Sinha

Thank You!

Ankur Sinha