On Decision Support Under Risk by the WOWA Optimization

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On Decision Support Under Risk by the WOWA Optimization
Abstract. The problem of averaging outcomes under several scenarios to form overall objective functions is of considerable importance in decision support under uncertainty. The fuzzy operator defined as the so-called Weighted OWA (WOWA) aggregation offers a well-suited approach to this problem. The WOWA aggregation, similar to the classical ordered weighted averaging (OWA), uses the preferential weights assigned to the ordered values (i.e. to the worst value, the second worst and so on) rather than to the specific criteria. This allows one to model various preferences with respect to the risk. Simultaneously, importance weighting of scenarios can be introduced. In this paper we analyze solution procedures for optimization problems with the WOWA objective function. A linear programming formulation is introduced for optimization of the WOWA objective with monotonic preferential weights. Its computational efficiency is analyzed.
Wlodzimierz Ogryczak, Tomasz Sliwinski
Added 07 Jun 2010
Updated 07 Jun 2010
Type Conference
Year 2007
Authors Wlodzimierz Ogryczak, Tomasz Sliwinski
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