Fuzzy Optim Decis Making (2015) 14:4355

DOI 10.1007/s10700-014-9192-2

Pareto-optimal solution for multiple objective linear

programming problems with fuzzy goals
Yan-Kuen Wu Chia-Cheng Liu Yung-Yih Lur

Received: 16 April 2013 / Accepted: 23 July 2014 / Published online: 3 August 2014
Springer Science+Business Media New York 2014

Abstract Several methods have been addressed to attain fuzzy-efficient solution for
the multiple objective linear programming problems with fuzzy goals (FMOLP) in the
literature. Recently, Jimenez and Bilbao showed that a fuzzy-efficient solution may
not guarantee to be a Pareto-optimal solution in the case that one of fuzzy goals is fully
achieved. To show this point they employ Guu and Wus two-phase approach to obtain
a fuzzy-efficient solution first, then a model like a conventional goal programming
problem is proposed to find a Pareto-optimal solution. In this study, a new simplified
two-phase approach is proposed to find a Pareto-optimal solution for FMOLP without
relying on the results of Guu and Wus two-phase approach. This new simplified twophase approach not only obtains the Pareto-optimal solution but also provides more
potential information for decision makers. Precisely, decision makers can find out
whether the fuzzy goals of objective function are overestimated or not and the amount
of overestimation can easily be computed if it exists.
Keywords Two-phase approach Pareto-optimal solution Fuzzy-efficient solution
Multiple objective linear programming problems
1 Introduction
In the literature, the framework of multiple objective linear programming problems
(MOLP) usually considers as following model:

Y.-K. Wu (B)
Department of Business Administration, Vanung University, Taoyuan 320, Taiwan, ROC
e-mail: ykw@vnu.edu.tw
C.-C. Liu Y.-Y. Lur
Department of Industrial Management, Vanung University, Taoyuan 320, Taiwan, ROC

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Minimize z(x) = [z 1 (x), z 2 (x), . . . , z p (x)]T

(1)

subject to x X,

where z k (x) = nj=1 ck j x j is the kth crisp linear objective function with the coefficient ck j R, k K = {1, 2, . . . , p}, X = {x R n |Ax b, x 0} represents the feasible domain, A = (ai j )mn is an m n matrix with ai j R, and
b = (b1 , b2 , . . . , bm ) is an m-dimensional vector with bi R.
By assuming that the Decision maker (DM) has fuzzy goals or imprecise aspiration
levels for each of the objective functions z k (x) of model (1), several methods [see,
e.g. Ignizio (1983), Ignizio and Cavalier (1994)] have been proposed to obtain fuzzyefficient solution. The similar type of fuzzy MOLP formulated by fuzzy goals or
fuzzy constraints has been investigated by researchers [see, e.g. Tanaka et al. (1974),
Zimmermann (1985)]. It also has been applied to solve the real world problems such
as the market analysis, production planning, environment protection or other fields
[see, e.g. Lai and Hwang (1994), zgen et al. (2008), Tavakkoli-Moghaddam et al.
(2007), Wang and Liang (2004), Xu and Liu (2008)]. Moreover, many contributions
[see, e.g. Gupta et al. (2000), Sahoo et al. (2006), Zenga et al. (2010), Zhou et al.
(2007)] formulated the fuzzy MOLP model by defining membership functions of
objective functions, they dealt with the fuzziness of the DMs aspiration with respect
to the goals in crop area planning problem. Recently, the concepts of evolutionary
techniques (Qu and Suganthan 2010) such as particle swarm optimization (Wang and
Yang 2009) and genetic algorithm (Ripon et al. 2007) are proposed to solve multiobjective optimization problems. Study of the multi-objective programming problems
with fuzzy-valued objective functions also has been investigated based on the suitable
definition of continuity and differentiation of fuzzy-valued function (Wu 2003). More
solution concepts and interesting techniques such as the KKT optimality conditions,
the necessary and sufficient conditions for fuzzy Pareto-optimality regarding this type
of fuzzy multi-objective programming problems refer to Wu (2009) and Silva and
Yamakami (2011).
As the DM proposes fuzzy goals for the objective functions z k (x) in model (1) and
considers it should be essentially less than or equal to value g k , k K , the MOLP
can be restructured into the following model (Jimenez and Bilbao 2009):
Find
such that

x
z k (x) g k , k = 1, 2, . . . , p,
x X,

(2)

where notation g k represents a fuzzy set. It is in interval [gk , gk +tk ] with the tolerance
tk 0 that provided by DM to the kth objective function. In order to express the
satisfaction degree of DM to the kth objective function z k (x) in interval [gk , gk + tk ],
a decreasing linear membership function of z k (x) is usually formulated as follows:

1
k (z k (x)) = 1

123

z k (x)gk
tk

if z k (x) gk ,
if gk z k (x) gk + tk ,
if z k (x) gk + tk .

(3)

Pareto-optimal solution for multiple objective linear programming problems

45

Using the linear membership function as (3), a max-min operator proposed by

Zimmermann (1976) can be applied to solve model (2) and find the largest membership
degree that each membership function can simultaneously attain. Precisely, the model
(2) can be converted into the following crisp linear programming model by using
max-min operator.
Maximize
subject to 1 k (z k (x)) , k = 1, 2, . . . , p,
x X.

(4)

Although the max-min operator is usually applied due to its easy computation, it
does not guarantee to yield a fuzzy-efficient solution for model (2) if more than one
unique optimal solution exists. In order to produce a fuzzy-efficient solution Lee and
Li (1993) first proposed a two-phase method to solve model (2). Guu and Wu (1999)
also proved that two-phase approach can guarantee to yield a fuzzy-efficient solution when multiple optimal solutions exist in the transformed model. The conception
of two-phase procedure also employed to solve multi-objective linear programming
problems with all fuzzy coefficients (Arikan and Gngr 2007). Sakawa (1993) contained a rather comprehensive survey regarding to the interactive methods for MOLP
and FMOLP. Dubois and Fortemps (1999) considered these kinds of approaches are
partially inconsistent because they change from a non-compensatory solution (min
operator) to a compensatory solution (sum) during different stages. Hence, they proposed a multi-step procedure for solving model (2).
Recently, Jimenez and Bilbao (2009) showed that a fuzzy-efficient solution may
not be a Pareto-optimal solution in the case that one of fuzzy goals is fully achieved.
Therefore, a modified procedure which extended the two-phase approach of Guu and
Wu (1999) and Dubois and Fortemps (1999) approaches was proposed to attain a
Pareto-optimal solution for model (2). Although the modified procedure was used to
obtain a Pareto-optimal solution from model (2), it must rely on the fuzzy-efficient
solution which derived from the Guu and Wus two-phase approach. Furthermore,
the proposed approach by Jimenez and Bilbao cannot guarantee to be a general
procedure to attain a Pareto-optimal solution for model (2). In this study, a simplified two-phase approach shall be proposed to directly obtain a Pareto-optimal solution for model (2) without relying on the results of two-phase approach. Namely,
the computation work of this new two-phase approach is more simplified than the
Jimenez and Bilbaos modified procedure. Moreover, it also provides more potential information for DM about whether the fuzzy goals of objective function are
overestimated or not and the amount of overestimation can easily be computed if
it exists.
This paper is organized as follows. Some preliminary definitions and the Jimenez
and Bilbaos modified procedure for model (2) will be explained in Sect. 2. A new
simplified two-phase approach is proposed and proved to attain the Pareto-optimal
solution in Sect. 3. To illustrate the Pareto-optimal solution can be offered by the new
simplified two-phase approach, Sect. 4 solves two examples. Brief conclusions are
given in Sect. 5.

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2 Preliminary definitions
In the model (1), it is usually impossible that all objective functions will simultaneously
achieve their optimal value by an optimal solution, due to the conflicting nature of the
objective in MOLP. Optimality is thus replaced by the concept of efficient solution or
Pareto-optimal solution.
Definition 1 A decision plan x 0 X is said to be a Pareto-optimal solution to the
MOLP (1) if there does not exist another y X such that z k (y) z k (x 0 ) for all k and
z s (y) < z s (x 0 ) for at least one s.
Definition 2 A decision plan x 0 X is said to be a fuzzy-efficient solution to the
model (2) if there does not exist another y X such that k (z k (y)) k (z k (x 0 )) for
all k and s (z s (y)) > s (z s (x 0 )) for at least one s.
Jimenez and Bilbao (2009) discovered that a fuzzy-efficient solution to the model
(2) does not guarantee to be a Pareto-optimal solution to MOLP (1). They based on the
fact that x 0 and y are two fuzzy-efficient solutions of the model (2) with membership
functions k (z k (x 0 )) = k (z k (y)), k and l (zl (x 0 )) = l (zl (y)) = 1 but it may
exist zl (y) < zl (x 0 ) to MOLP (1). To show this point, they employed Guu and Wus
(1999) two-phase approach to obtain a fuzzy-efficient solution first, then relying on
these obtained results, a model like the conventional goal programming problem was
proposed for finding a Pareto-optimal solution.
Essentially, Guu and Wus two-phase approach employs the max-min operator to
solve model (4) as phase I. Let x be the optimal solution yielded from phase I, the
phase II model of two-phase approach is provided as follows:

Maximize

p


k=1

subject to 1 k (z k (x)) k k (z k (x )), k = 1, 2, . . . , p,

x X.

(5)

Guu and Wu (1999) showed that any optimal solution x obtained from model (5)
is a fuzzy-efficient solution to model (2). However, the fuzzy-efficient solution may
be not a Pareto-optimal solution. To find out a Pareto-optimal solution of model (2),
Jimenez and Bilbao (2009) extended the two-phase approach to solve the following
model:

Maximize

l


ns

s=1

subject to z s (x) + n s = z s (x ), s = 1, 2, . . . , l,
r (zr (x)) = r (zr (x )), r = l + 1, . . . , p,
x X, n s 0,

123

(6)

Pareto-optimal solution for multiple objective linear programming problems

47

where subscripts s refer to objective functions with s (z s (x )) = 1 and subscripts

r refer to objective functions such that r (zr (x )) < 1. They also showed that the
optimal solutions yielded by model (6) are Pareto-optimal.
3 A new simplified two-phase approach and solution procedure
Let us deeply analyze the cause that a fuzzy-efficient solution obtained from the phase
II model (5) of two-phase approach cannot guarantee to be a Pareto-optimal solution.
The key point is due to the fact that membership functions cannot exceed the constraint
k (z k (x)) 1, for all k even though their values can be larger than 1 to model
(2). These constraints lead some objective functions cannot attain the lowest value.
Precisely, the value of fuzzy goal g k is subjectively given by decision maker which is
not relied on the feasible domain of objective function z k (x). This subjectively given
implies that the value of objective function z k (x) in model (2) may be less than gk , so
that the value of function k (z k (x)) may be larger than 1. To release these constraints
to k (z k (x)) 1, for all k in model (2), the functions k (z k (x)), for all k as (3) are
redefined as follows:

(gk +tk )z k (x)
if z k (x) gk + tk ,
tk
k (z k (x)) =
(7)
0
if z k (x) gk + tk .
Note that functions k (z k (x)), for all k in (7) are strictly monotone decreasing
under the objective function z k (x) equal to or less than gk + tk . Based on (7) and the
max-min operator, this study proposes a revised two-phase approach and employs the
following crisp linear programming problem as phase I:
Maximize
subject to k (z k (x)) , k = 1, 2, . . . , p,
x X.

(8)

Applying the result of model (8), this revised two-phase approach employs the
following model as phase II to improve the shortcoming of Guu and Wus two-phase
approach:
Maximize

p


k=1

subject to k (z k (x)) k , k = 1, 2, . . . , p,
x X, k 0.

(9)

where is the optimal value yielded from model (8).

Lemma 1 Let k (z k (x)), for all k define as (7). If x is an optimal solution of problem
(9), then x is a Pareto-optimal solution to the model (2).

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Proof Suppose, on the contrary, that x is not a Pareto-optimal solution to the model
(2). Then there exists a feasible solution y such that z k (y) z k (x ), for all k, and
z s (y) < z s (x ) for some s. Since all coefficients of the variables k , k = 1, 2, , p,
in the objective function of problem (9) are positive, they are equal to 1, and x is an
optimal solution, then k associated with x satisfies the following equality:
k (z k (x )) k = , k = 1, 2, . . . , p, and

p

k=1

k =

p


k (z k (x )) p .

k=1

However, functions k (z k (x)), for all k are strictly monotone decreasing and there
exists z k (y) z k (x ), for all k and z s (y) < z s (x ) for some s. This leads the
following inequality hold:
p


k =

k=1

=
<

p


k (z k (x )) p

k=1
p

k=1,k=s
p


k (z k (x )) + s (z s (x )) p
k (z k (y)) + s (z s (y)) p

k=1,k=s

This result implies that x is not an optimal solution of problem (9), a contradiction.


Note that the model (6) proposed by Jimenez and Bilbao (2009) must base on the
result of model (5) to produce a Pareto-optimal solution for model (2). However, the
model (9) can directly yield a Pareto-optimal solution without relying on the result
of model (5). Namely, the model (9) is more simplified than the model (6) to attain a
Pareto-optimal solution for model (2).
Furthermore, the value of k provides the potential information for z k (x) about the
model (2). It can be summarized as follows:
(1) If k = 0, k K then it indicates that no more efficient solutions exist in phase
I model.
(2) If there exists k > 0 for some k K then it shows that the solution yielded by
phase II is more efficient than that of phase I.
(3) There is a underlying assumption in model (2) that the aspiration level of the
objective function z k (x) is between [gk , gk + tk ]. Solving the model (9), if there
exists k + > 1, then it indicates that the tolerance tk for the kth objective
function provided by DM is unnecessary. In this situation, the objective value of
z k (x ) associated with the optimal solution x will be less than the value gk .
Precisely, the value of objective function z k (x) is overestimated by DM and the
amount of overestimation achieves to (k + 1) tk . That is to say, the value
of z k (x) equal to gk (k + 1) tk is enough.

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49

Depending on Lemma 1, the procedure of revised two-phase approach to find a

Pareto-optimal solution for the multiple objective linear programming problems with
fuzzy goals as model (2) can be summarized as follows:
Step 1. Employ (7) to construct functions k (z k (x)), for all k and solve the max-min
operator in model (8) as phase I.
Step 2. The optimal value yielded by phase I is added to the constraint and the model
(9) is employed as phase II to yield a Pareto-optimal solution.

4 Numerical examples
To illustrate the proposed method, the revised two-phase approach, in this study can
attain the Pareto-optimal solution and show the more potential information about the
fuzzy goals for DM, we consider two numerical examples. The first one suggested by
Jimenez and Bilbao (2009) provides as follows:
Example 1 Let us employ the revised two-phase approach to solve the following
MOLP with fuzzy goals g1 = 21, g2 = 8, g3 = 13 and tolerances t1 = 3, t2 =
2, t3 = 2:
Minimize z 1 (x) = 3x1 + 3x2 + 3x3
Minimize z 2 (x) = 2x1 + x2 + 2x3
Minimize z 3 (x) = 4x1 + 4x2 + 2x3
subject to 4x1 + 2x2 + 4x3 18
x1 1,
x2 0,
0 x3 3.
Step 1. Based on (7), functions k (z k (x)), k = 1, 2, 3 are formulated as follows:

1 (z 1 (x)) =

 24z
0

1 (x)

if z 1 (x) 24,
if z 1 (x) 24,

2 (z 2 (x)) =

 10z
0

2 (x)

if z 2 (x) 10,
if z 2 (x) 10,

and

3 (z 3 (x)) =

 15z
0

3 (x)

if z 3 (x) 15,
if z 3 (x) 15.

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The phase I as model (8) can be formulated as follows:

Maximize
1
subject to (24 (3x1 + 3x2 + 3x3 ))
3
1
(10 (2x1 + x2 + 2x3 ))
2
1
(15 (4x1 + 4x2 + 2x3 ))
2
4x1 + 2x2 + 4x3 18
x1 1, x2 0, 0 x3 3.
Using the Simplex method to solve this problem, we obtain the optimal solution
x = (x1 , x2 , x3 ) = (1, 1, 3), the optimal value = 0.5, and the value of objective
functions z 1 (x ) = 15, z 2 (x ) = 9, z 3 (x ) = 14.
Depending on the algorithm provided by Jimenez and Bilbao (2009) to Example 1,
they solved the max-min model (4) as Step 1. However, the membership functions
1 k (z k (x)), k = 1, 2, 3 are not included in the constraints of this example so that
their proposed algorithm was not followed. Following the Step 1 of their proposed
algorithm to solve Example 1, it should be formulated as follows:
Maximize
1
(24 (3x1 + 3x2 + 3x3 ))
3
1
1 (10 (2x1 + x2 + 2x3 ))
2
1
1 (15 (4x1 + 4x2 + 2x3 ))
2
4x1 + 2x2 + 4x3 18

subject to 1

x1 1, x2 0, 0 x3 3.
However, solving this model by the Simplex method, no feasible solution is found.
Namely, the proposed algorithm by Jimenez and Bilbao (2009) is not a general procedure to obtain a Pareto-optimal solution for model (2).
Step 2. The phase II as model (9) with added constraint = 0.5 can be formulated
as follows:
Maximize 1 + 2 + 3
1
subject to (24 (3x1 + 3x2 + 3x3 )) 1 0.5
3
1
(10 (2x1 + x2 + 2x3 )) 2 0.5
2
1
(15 (4x1 + 4x2 + 2x3 )) 3 0.5
2
4x1 + 2x2 + 4x3 18

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Pareto-optimal solution for multiple objective linear programming problems

51

x1 1, x2 0, 0 x3 3,
1 , 2 , 3 0.
Solving this problem, we obtain the optimal solution x = (x1 , x2 , x3 ) =
(1.5, 0, 3), the optimal value 1 = 3, 2 = 0, 3 = 1, and the value of objective functions z 1 (x ) = 13.5, z 2 (x ) = 9, z 3 (x ) = 12. The decision plan x is more efficient than x because of z 1 (x ) < z 1 (x ), z 2 (x ) = z 2 (x ), and z 3 (x ) < z 3 (x ).
In addition, according to Lemma 1, x = (1.5, 0, 3) is a Pareto-optimal solution to
this example.


Furthermore, more potential information come to light in this example because of
1 > 0 and 3 > 0. The value 1 = 3 represents that the original goal g1 = 21 of
objective function z 1 (x) with tolerance t1 = 3 is over estimated by DM. The amount
of overestimation achieves to
(1 + 1) t1 = (3 + 0.5 1) 3 = 7.5.
This value can also be computed by g1 z 1 (x ) = 21 13.5 = 7.5.
The similar situation for 3 = 1 indicates that the amount of overestimation to the
original goal g3 = 13 of objective function z 3 (x) with tolerance t3 = 2 is
(3 + 1) t3 = (1 + 0.5 1) 2 = 1.
It can also be computed by g3 z 3 (x ) = 13 12 = 1.
The above results of Example 1 show that the revised two-phase approach can actually provide more information for DM about whether the goals of objective function
are over estimated or not and the amount of overestimation can easily be computed if
it exists.
The value of fuzzy goals g k is subjectively given by decision maker in model
(2). The revised two-phase approach can be used to find out whether the fuzzy goal
of objective functions is overestimated by DM or not. Exploring the fuzzy linear
programming problem, fuzzy resources are also given by decision maker to denote
the value of fuzzy right hand sides in the constraints. Essentially, both of problems exist
some of the same characteristics. Hence, the solution procedure of revised two-phase
approach is also appropriate for solving the linear programming problem with fuzzy
resources in the constraints. The following Example 2 is employed to illustrate this
result and verify whether the utilization of each constraint resource is over estimated
by DM or not.
Example 2 Let us use the procedure of revised two-phase approach to solve the following linear programming problem with fuzzy resources:
Maximize z(x) = 4x1 + 5x2 + 9x3 + 11x4

subject to g1 (x) = x1 + x2 + x3 + x4 15,

g2 (x) = 7x1 + 5x2 + 3x3 + 2x4 80,
g3 (x) = 3x1 + 4.4x2 + 10x3 + 15x4 1

00,

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Y.-K. Wu et al.

x1 , x2 , x3 , x4 0,
where the three fuzzy resources have g1 = 15 with tolerance t1 = 5 for the first
constraint g1 (x), g2 = 80 with tolerance t2 = 40 for g2 (x), and g3 = 100 with
tolerance t3 = 30 for g3 (x).
Step 1. Based on (7), linear functions k (gk (x)), k = 1, 2, 3 are formulated as
follows:
1 (g1 (x)) =

 20g

1 (x)

if g1 (x) 20,
if g1 (x) 20,

2 (g2 (x)) =

 120g

2 (x)

40

if g2 (x) 120,
if g2 (x) 120,

and
3 (g3 (x)) =

 130g

3 (x)

30

if g3 (x) 130,
if g3 (x) 130.

The function 0 (z(x)) is also linear and defines by means of the possible range [z 0 , z 1 ]
for the objective function z(x) as follows:

0 (z(x)) =

z(x)z 0
z 1 z 0

if z(x) z 0 ,
if z(x) z 0 .

where z 0 = 99.28571 and z 1 = 130 are yielded from

z 0 = Maximize z(x) = 4x1 + 5x2 + 9x3 + 11x4
subject to g1 (x) = x1 + x2 + x3 + x4 15,
g2 (x) = 7x1 + 5x2 + 3x3 + 2x4 80,
g3 (x) = 3x1 + 4.4x2 + 10x3 + 15x4 100,
x1 , x2 , x3 , x4 0,
and
z 1 = Maximize z(x) = 4x1 + 5x2 + 9x3 + 11x4
subject to g1 (x) = x1 + x2 + x3 + x4 20,
g2 (x) = 7x1 + 5x2 + 3x3 + 2x4 120,
g3 (x) = 3x1 + 4.4x2 + 10x3 + 15x4 130,
x1 , x2 , x3 , x4 0.

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Pareto-optimal solution for multiple objective linear programming problems

53

The phase I as the max-min operator in model (8) is ready to solve

Maximize
subject to 0 (z(x)) ,
k (gk (x)) , k = 1, 2, 3,
x1 , x2 , x3 , x4 0.
The following solutions are yielded
x = (8.57143, 0, 8.92857, 0);

z(x ) = 114.64285, g1 (x ) = 17.5, g2 (x ) = 86.78572, g3 (x ) = 115;

0 (z(x )) = 1 (g1 (x )) = 3 (g3 (x )) = = 0.5, 2 (g2 (x )) = 0.83036.
Step 2. The phase II as model (9) with added constraint = 0.5 can be formulated
as follows:
Maximize 0 + 1 + 2 + 3
subject to 0 (z(x)) 0 0.5,
k (gk (x)) k 0.5, k = 1, 2, 3,
x1 , x2 , x3 , x4 , 0 , 1 , 2 , 3 0.
Solving this problem, we obtain the optimal solution x = (0, 10.714281, 6.785716,
0), the optimal value 0 = 1 = 3 = 0, 2 = 0.651786, the corresponding value
of objective function z(x ) = 114.64285, and resource in the constraints g1 (x ) =
17.5, g2 (x ) = 73.928553, g3 (x ) = 115. Comparing these values with the results
of phase I, the decision plan x is more efficient than x because it requires less units
of the second resource with the same objective value. Moreover, 2 = 0.651786 > 0
also indicates that the second fuzzy resource is over estimated by DM. The amount of
overestimation achieves to
(2 + 1) t2 = (0.651786 + 0.5 1) 40 = 6.071440.
It can also be computed approximately by g2 g2 (x ) = 180 73.928553 =
6.071447.
5 Conclusions
The modified procedure proposed by Jimenez and Bilbao desires to obtain a Paretooptimal solution from the multiple objective linear programming problems with fuzzy
goals. However, they have to base on the fuzzy-efficient solution which derived from
the Guu and Wus two-phase approach and it cannot guarantee to be a general procedure to obtain a Pareto-optimal solution. In this study, a new simplified two-phase

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approach is proposed to directly obtain a Pareto-optimal solution from the multiple objective linear programming problems with fuzzy goals without relying on the
results of two-phase approach. That is to say, the computation work of this revised
two-phase approach can be more simplified than the Jimenez and Bilbaos modified
procedure on finding a Pareto-optimal solution. In addition, this approach can also
provide more potential information for DM such as whether the goal of objective
functions is over estimated or not and the amount of overestimation can easily be
computed if it exists. We also prove that this new simplified two-phase approach can
actually obtain a Pareto-optimal solution for multiple objective linear programming
problems with fuzzy goals.
Acknowledgments This work was supported in part by the National Science Council under Grants no.
NSC 100-2410-H-238-008 and NSC 100-2115-M-238-001.

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