Multiobjective Random Fuzzy Linear Programming Problems

Paper:

Multiobjective Random Fuzzy Linear Programming Problems

Based on the Possibility Maximization Model
Takashi Hasuike∗ , Hideki Katagiri∗∗ , and Hiroaki Ishii∗
∗ GraduateSchool of Information Science and Technology, Osaka University
2-1 Yamadaoka, Suita, Osaka 565-0871, Japan
E-mail: {thasuike, ishii}@ist.osaka-u.ac.jp
∗∗ Graduate School of Engineering, Hiroshima University

1-4-1, Kagamiyama Higashi Hiroshima 739-8527, Japan

E-mail: katagiri-h@hiroshima-u.ac.jp
[Received November 25, 2008; accepted March 2, 2009]

Two multiobjective random fuzzy programming prob-
lems considered based on the possibility maximization
model using possibilistic and stochastic programming
are not initially well defined due to the random vari-
ables and fuzzy numbers included. To solve them ana-
lytically, probability criteria are set for objective func-
tions and chance constraints are introduced. Taking
into account the decision maker’s subjectivity and the
original plan’s flexibility, a fuzzy goal is introduced
for each objective function. The original problems are
then changed into deterministic equivalent problems
to make the possibility fractile optimization problem
equivalent to a linear programming problem. The
possibility maximization problem for probability is
changed into a nonlinear programming problem, and
an analytical solution is constructed extending previ-
ous solution approaches.
Keywords: random fuzzy programming, multiobjective
model, stochastic and fuzzy programming
1. Introduction
In real-world decision making, an optimal decision
often must be made despite uncertainty. Stochas-
tic programming (e.g., Beale [1], Charnes [2], and
Dantzig [3]) and fuzzy programming (e.g., Dubois [4]
and Inuiguchi [5]) are useful for decision makers deter-
mining an optimal solution, but decision makers also face
environments containing both randomness derived from
statistical analysis based on practical data and fuzziness
such as the ambiguity of received information and the
decision maker’s subjectivity. To construct a decision-
making model framework in stochastic and fuzzy envi-
ronments, some researchers have used fuzzy random vari-
ables (Kruse [6], Kwakernaak [7], and Puri [8]) and ran-
dom fuzzy variable [9, 10].
Consider a situation in which the profit per production
unit depends on customer demand, individual resource
cost, etc., that in turn are considered projected as scenar-
ios including random and ambiguous conditions. If the
profit realized in each scenario is calculated as a random
variable, a fuzzy set, or a fuzzy number, profit is expressed
using a fuzzy random variable or a random fuzzy variable.
In such a case, the linear programming problem is formu-
lated to maximize total profit, in which the coefficients of
objective functions are fuzzy random variables or random
fuzzy variables.
Fuzzy random variables were first defined by Kwaker-
naak [7] and their mathematical basis established by Puri
and Ralescu [8]. Fuzzy random linear programming prob-
lems were investigated to provide decision-making mod-
els and methodologies in fuzzy stochastic environments
(e.g., Katagiri [11, 12]).
Fuzzy random variables were related to the ambiguity
of realizing a random variable and dealt with a fuzzy num-
ber whose center value occurs based on a random vari-
able. In previous social problem modeling, coefficients
such as return, demand, and cost were basically assumed
to be random variables derived from statistical analysis
based on historical data. Decision makers considering a
case under randomness and fuzziness often assume that
parameters have ambiguous factors due to the amount of
received information and due to the subjectivity they have
developed based on long experience with practical situa-
tions. Coefficients may thus deal with random variables
whose parameters are assumed due to ambiguity and sub-
jectivity to be fuzzy numbers. As variables including
randomness and fuzziness similar to fuzzy random vari-
ables, random fuzzy variables were defined by Liu [9, 10].
The fuzzy random variable is a function from probability
space to the set of fuzzy numbers, i.e., a random vari-
able taking fuzzy values, so the random fuzzy variable is
a function from a collection of random variables to [0,1],
i.e., a fuzzy set defined on a universal set of random vari-
ables.
Random fuzzy variables are potentially applied to
decision-making problems, as discussed for portfolio se-
lection problems by Hasuike [13] and Huang [14], for
project selection problems by Huang [15], and for 0-1
programming by Hasuike [16].
In considering real-world decision-making problems, it
is natural to deal with multiobjective cases. In production

Vol.13 No.4, 2009 Journal of Advanced Computational Intelligence 373

and Intelligent Informatics
Hasuike, T., Katagiri, H., and Ishii, H.
planning problems, for example, work time often depends
on machine performance and operator skill, and total cost
generated in production processes depends on resource
purchase price and transportation cost. Decision makers
thus prefer both to maximize total profit and to minimize
total work time and cost. Realized work time is often cal-
culated as both a random variable based on the statistical
analysis of accumulated data and the intuition of veteran
workers, so work time is also represented by a random
fuzzy variable. A multiobjective random fuzzy program-
ming problem is formulated in this way to optimize all
objectives.
Katagiri [17] considered a maximization model of
possibility and probability for multiobjective fuzzy ran-
dom linear programming problems. Here, to extend this
model, we consider a multiobjective random fuzzy pro-
gramming (RFP) problem and propose a model based on
both Stochastic Programming (SP) model and Possibilis-
tic Programming (PP) model.
This paper is organized as follows. Section 2 defines
random fuzzy variables and provides a background on
previous studies on SP, PP, and RFP studies. Section 3
formulates two multiobjective RFP problems and shows
how the proposed models reduce the original problems
to deterministic multiobjective problems. An analytical
solution is constructed by taking a goal programming to
solve the reduced multiobjective problems analytically.
Section 4, we illustrates a situation to which this can be
applied using a numerical example. Section 5 presents
conclusions.
2. Random Fuzzy Programming
2.1. Random Fuzzy Variable
A random fuzzy variable was defined by Liu [9, 10],
who established the mathematical basis. We define ran-
dom fuzzy variables based on the study of Liu [9, 10] as
follows:
Definition 1
A random fuzzy variable is function ξ from a pos-
sibility space (Θ, P (Θ) , Pos) to collection of random
variables R. n-dimensional random fuzzy vector ξ =
(ξ1 , ξ2 , . . . , ξn ) is an n-tuple of random fuzzy variables
ξ1 , ξ2 , . . . , ξn .
In other words, a random fuzzy variable is a fuzzy set
defined on a universal set of random variables.
2.2. Random Fuzzy Programming Problem
Liu [9, 10] first considered a random fuzzy program-
ming problem. Generally speaking, RFP problems are not
well defined, so decision-making models are considered
to satisfy a variety of decision makers’ preferences.
To construct a decision-making model taking into ac-
count random and fuzzy conditions, we incorporate a pos-
sibilistic programming (PP) approach with a stochastic
programming (SP) approach.
In SP, Beale [1] and Dantzig [3] considered two-stage
problems. Charnes and Cooper [2] proposed the chance
374 Journal of Advanced Computational Intelligence
and Intelligent Informatics
constrained programming models such as the expectation
optimization model (E-model), the variance minimization
model (V-model) and probability maximization model (P-
model). Kataoka [18] and Geoffrion [19] saparately pro-
posed the fractile criterion model (F-model).
In possibilistic programming, possibility and neces-
sity measure concepts (Zadeh [20]) were introduced to
deal with the ambiguity included in the objective func-
tion and/or constraints. Dubois and Prade [4], proposing
possibilistic programming, considered a degree of possi-
bility or necessity at which fuzzy goals for the objective
function and/or constraints are satisfied. Inuiguchi and
Ramik [5], reviewing different types of PP models, devel-
oped modality-constrained programming models.
Random fuzzy variables, for their part, are considered
level 2 fuzzy set concepts. A level 2 fuzzy set is an ex-
tended version of a fuzzy set in that elements in the do-
main become fuzzy sets. In the random fuzzy variable,
elements in the domain are random variables.
In recent research introducing RFP models incorporat-
ing PP and SP models, we focus here on a multiobjec-
tive programming problem incorporating model PP mod-
els and probability maximization models, which are SP
models.
3. Multiobjective Random Fuzzy Program-
ming Problem
3.1. Problem Formulation
We start by focusing on the following multiobjective
linear programming problem:
n
Minimize ∑ c̃¯i j x j , i = 1, 2, . . . , k
j=1    (1)
 Axx ≤ b, x j ≥ 0,
subject to x ∈ X = x ∈ R  n 
j = 1, 2, . . . , n
where x is an n-dimensional decision variable column
vector, A is an m × n coefficient matrix, and b is an m-
dimensional column vector. We denote coefficients ran-
domness and fuzziness using the “dash above ( ¯ )” and
“wave above (∼)”.
In much previous researches, random variable mean
and variance were assumed to be constant, but for the lack
of efficient information from the real world, we assume
that the expected return includes an ambiguity. Subse-
quently, let us assume that coefficients of objective func-
tions c̃¯i j = di1j + t¯˜i di2j where di1j and di2j are constant, t¯˜i is
a random variable with variance σi2 , and mean m̃i is char-
acterized by the following membership functions:
⎧ 
⎨ L mi −ξ (m ≥ ξ )
μm̃i (ξ ) =  αi , i = 1, 2, . . . , k (2)
⎩ R ξ −mi (m ≤ ξ )
βi
where L (x) and R (x) are nonincreasing reference func-
tions satisfying L (0) = R (0) = 1, L (1) = R (1) = 0, pa-
rameters αi represents a spread corresponding to the left
side, βi represents a spread corresponding to the right
side, and both parameters are positive. Return coefficient
Vol.13 No.4, 2009