A fuzzy multiobjective approach to fuzzy stochastic programs

Abstract: In this paper, we are interested in stochastic programming problems where the probability distribution is defined by fuzzy inequalities (SPFI). In the SPFI problem, the parameters are random and the distribution of the parameters is fuzzy. In <cite>EJOR</cite>, Ben Abdelaziz and Masri presented a solution strategy to SPFI problems that defuzzify, first, the inequalities on probability distribution and then solve the obtained program. In this paper, we propose to deal, first, with the stochastic aspect in order to obtain a fuzzy optimization problem. Then, we transform the obtained fuzzy problem into an equivalent multiobjective program.
 

Key words: stochastic programming, fuzzy optimization, chance constrained approach, recourse approach, Multiobjective optimization.