Interactive Approach Application to Stochastic Multiobjective Allocation Problem - A Two-Phase Approach

In this paper a stochastic multiobjective allocation problem is considered. We assume that a particular resource should be allocated to T projects. Depending on the amount of allocated resource it is possible (with known probabilities) to obtain a specified level of each goal. The considered criteria are divided into two groups. The first group consists of financial criteria, the second one, of qualitative criteria, representing the degree to which the projects contribute to reaching strategic goals. We propose a two-phase procedure for identifying the strategy that should be implemented by a decision maker. Our technique combines multiobjective dynamic programming and interactive approach. First, efficient strategies are identified using Bellman's principle of optimality adapted to the multiobjective problem. Next, a dialog procedure is applied to identify the solution that satisfies the decision maker. A numerical example is presented to show the applicability of the procedure.