Multiple criteria optimization and decisions under risk

: The mathematical background of multiple criteria optimization (MCO) is closely related to the theory of decisions un der uncertainty. Most of the classical solution concepts commonly used in the MCO methodology have their origins in some approaches to handling uncertainty in decision analysis. Nevertheless, the MCO as a separate discipline has developed several advanced tools of in teractive analysis leading to effective decision support techniques with successful applications. Progress made in the MCO tools raises a question of possible feedback to the decision making under risk. The paper shows how decisions under risk, and specifically the risk aversion preferences, can be modeled within the MCO methodology. This provides a methodological basis allowing for taking advantage of the interactive multiple criteria techniques for decision support under risk.

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