Decision

making with mul2ple

objec2ves
Carles Sitompul

 Mul2a;ribute decision making in the absence

of uncertainty: goal programming
Mul2a;ribute u2lity func2ons
Analy2cal Hierarchy Process

 A;ributes for choosing a car:

Size of car
Fuel economy
Style of car
Price

A;ributes for receiving job oer:

Star2ng salary
Loca2on
Degree of interest
Long term opportuni2es

A;ributes for loca2ng new jetport:

Accessibility
Degree of noise pollu2on
Size

A;ributes for introducing a new product:

Market share
Prot

Mul2a;ribute decision making in

the absence of uncertainty: goal
programming

xi (a) be the value of the i-th attribute associated with an alternative a

v(x1 , x2 ,..., xn ) be the decision maker's value function

max v ( x1 (a), x2 (a),..., xn (a)) = v x1* , x2* ,..., xn*

aA

c(x1 , x2 ,..., xn ) be the decision maker's cost function

min c ( x1 (a), x2 (a),..., xn (a)) = c x1* , x2* ,..., xn*

aA

alternative a. The function c(x1, x2, . . . , xn) is her cost function. If A represents the decision makers set of possible decisions, then she should choose the alternative a* (with
level x*
i of attribute i) satisfying

Deni2on

min c(x1(a), x2(a), . . . , xn(a)) ! c(x*

1 , x*
2 , . . . , x*
n)
a!A

A particular form of the value or cost function is of special interest.

TION

A value function v(x1, x2, . . . , xn) is an additive value function if there exist n
functions v1(x1), v2(x2), . . . , vn(xn) satisfying
i!n

v(x1, x2, . . . , xn) !

vi(xi)
!
i!1

(7)

A cost function c(x1, x2, . . . , xn) is an additive cost function if there exist n
functions c1(x1), c2(x2), . . . , cn(xn) satisfying
i!n

c(x1, x2, . . . , xn) !

ci(xi)
!
i!1

(8)

Under what conditions will a decision maker have an additive value (or cost) function?
Before answering this question, we need some more definitions.

TION

An attribute (call it attribute 1) is preferentially independent (pi) of another

attribute (attribute 2) if preferences for values of attribute 1 do not depend on the
value of attribute 2.

TION
TION

TION

TION

TION

TION
TION

Again
refer
to Joes tosearch
a job.
Joes
job offers
are independent
located
in Los
conditions
willpicnic.
afor
decision
maker
have
additive
value (or
cost)
function?
theUnder
moviewhat
is preferred
the
ThenSuppose
attribute
1 an
is five
not
preferentially
of
Angeles,
Chicago,this
Dallas,
New York,
andsome
Indianapolis.
If, for any given salary level, Joe
Before
question,
we need
more definitions.
attributeanswering
2.
prefers to work in Los Angeles, then attribute 2 is pi of attribute 1. If attribute 1 were also
Attribute 1 Choice of activity (either picnic or go to see movie Antarctic Vacation)
pi
of
attribute
2,(call
thenitattributes
1 and
2 would be mpi.
Attribute
An
attribute
attribute
1)
is
preferentially
independent
(pi)
of
another
2
Sunday
afternoons
weather
(either sunny
or of
rainy)

If
attribute
1
is
pi
of
attribute
2,
and
attribute
2
is
pi
attribute
1,
then
attribute
The
concept
of
mutual
preferential
independence
can
be
generalized
to
sets
ofon
attributes.
attribute
(attribute
2)
if
preferences
for
values
of
attribute
1
do
not
depend
the
1 is mutually
preferentially
(mpi) of attribute
2. but on a rainy
Suppose
that on
a sunny day, independent
the picnic is preferred
to the movie,
day,
value of attribute 2.
theAmovie
preferredStois the
picnic. preferentially
Then attribute independent
1 is not preferentially
of

set ofisattributes
mutually
(mpi) of independent
a set of
attribute
2.refer
Again
Joesthesearch
job.attributes
SupposeinJoes
five
offers
are located
attributes
S" to
if (1)
valuesforofathe
S" do
notjob
affect
preferences
forin Los
To illustrate
the Dallas,
conceptNew
of preferential
independence,
Joes
search
Angeles,
Chicago,
and
If, we
for consider
any
salary
level,for
Joea
the values
of attributes
in S, York,
and (2)
theIndianapolis.
values of attributes
in Sgiven
do not
affect
job following
In thisthen
situation,
attribute
1 would be preferentially
independent
to workgraduation.
inis Los
attribute
2 is 2pi
1. If 1,
attribute
1 were also
prefers
If
attribute
1for
pi ofAngeles,
attribute
2, and
attribute
of attribute
then attribute
preferences
the
values
of attributes
in S".
isofpiattribute
of
attribute
2
if,
for
any
possible
job
location,
a
higher
starting
salary
is
preferred
to a
pi of
2, then
attributes 1independent
and 2 would(mpi)
be mpi.
1 isattribute
mutually
preferentially
of attribute 2.
lower
Thesalary.
concept of mutual preferential independence can be generalized to sets of attributes.
In
the
example
of Joesof
purchase
of a new
car, let S !
attributes
andGriswold
2, and S"family
! atAs another
illustration
preferential
independence,
suppose
that1the
Again3torefer
Joeshow
search
for
a job.
Joes
fivecase
job two
offers
located
in Los
tributes
and
4.toThen
for
Stotospend
be mpi
of Suppose
S", it
must
be the
that
(1)are
Joes
preferences
is trying
determine
Sunday
afternoon.
Let
the
relevant
attributes
be
for
A
set
of
attributes
S
is
mutually
preferentially
independent
(mpi)
of
a
set
of
Angeles,
Chicago,
Dallas, New
York, and by
Indianapolis.
If,and
for price,
any given
level,
Joe
size and
fuel economy
are unaffected
a cars style
and salary
(2) Joes
preferattributes
S"
if (1)
values
of
the
attributes
S"
notand
affect
for also
prefers
to car
work
in
Los
Angeles,
attribute
isinpicars
of do
attribute
1.fuel
Ifpreferences
attribute
were
ences
for
style
andthe
price
arethen
unaffected
by2the
size
economy.1 Thus,
if S
the
of
in
S,
and
(2)
values
of attributes
S dolevel,
not affect
pi
2, attributes
then
attributes
1 and
2 the
would
mpi.
and
were
weMaking
could
conclude
that
if for
abegiven
style andinprice
Joe preferred
C H Aof
P S"
T Eattribute
Rvalues
1 3 mpi,
Decision
under
Uncertainty
preferences
for
the values
of to
attributes
in S".
can be25
concept
of mutual
generalized
to for
setsany
of attributes.
A1 The
(a large
car getting
15 preferential
mpg)
A2 independence
(a small
car getting
mpg), then
style and
price level, Joe would prefer A1 to A2.
In set
the of
example
of Joes
purchase of
a new car, letindependent
S ! attributes
1 and
andofS" ! at
A
attributes
S is mutually
preferentially
(mpi)
of 2,
a set
S. .to. ,be
of
S", it preferentially
must
bedo
thenot
case
that preferences
(1) Joes
preferences
attributes
S"4.ifThen
(1) the
attributes
in S"
affect
for
tributes
A set3ofand
attributes
1,for2,values
nofmpi
isthe
mutually
independent
(mpi)
if
for the
sizeall
and
fuel
economy
are
byvalues
a of
cars
style
andmembers
price,
and
(2)
Joes
for
subsets
S of {1, 2,
.S,. unaffected
.and
, n},(2)
S is
S!.of(S
is all
ofnot
{1,affect
2, . . .prefer,
values
of attributes
in
thempi
in S do
!attributes
ences
for car
andvalues
priceinare
unaffected
n} that
arestyle
not
S.)attributes

preferences
for included
the
of
inbyS".the cars size and fuel economy. Thus, if S
and S" were mpi, we could conclude that if for a given style and price level, Joe preferred
A1 (a large car getting 15 mpg) to A2 (a small car getting 25 mpg), then for any style and
It istheeasy
to seeof
that
if there
are only
2), the1 attributes
if
In
example
Joes
purchase
of a two
new attributes
car, let S (1
! and
attributes
and 2, andare
S" mpi
! atprice level, Joe would prefer A1 to A2.
and
only3 ifand
attribute
is mpi
2. it must be the case that (1) Joes preferences
tributes
4. Then1 for
S toofbeattribute
mpi of S",

It is easy to see that if there are only two attributes (1 and 2), the attributes are mpi if
and only if attribute 1 is mpi of attribute 2.
The following result gives a condition ensuring that the decision maker will have an
additive value (or cost) function.

Theorem

THEOREM

If the set of attributes 1, 2, . . . , n is mpi, the decision makers preferences can be

represented by an additive value (or cost) function.

v(x , x ) = x + x x + x

This is not an obvious result. (For a proof, see Keeney and Raiffa (1976, Chapter 3).)
To illustrate the result, suppose
makers
1 that
2 the decision
1
1 2 value2 function for two attributes
is given by

( v ( 6, 6 ) =v(x48, x))>!(xv (#4,x 8x )#=x 44 )

1

1 2

(9)

A decision maker with value function (2) would, for example, prefer (6, 6) to (4, 8) (because v(6, 6) ! 48 and v(4, 8) ! 44). The reader should verify that for (2), attribute 1 is
pi of attribute 2, and attribute 2 is pi of attribute 1 (see Problem 3 at the end of this

Veried that a;ributes 1 and 2 are mpi, Theorem 1 implies decision

makers preferences can
be
y an Objectives
addi2ve func2on. 775
13
. 6represented
Decision Making with bMultiple

Value of attribute 1'=x '1 = x1 + x2

Value of attribute 2'=x '2 = x1 x2
v'(x '1 , x '2

x '1 )
(
) = x' +
1

x '2 )
(

v' ( x '1 + x '2 ) = v ( x1 , x2 )

Alternative 1: x1 = 6, x2 = 6
Alternative 2: x1 = 4, x2 = 8
Alternative 1: x '1 = 12, x '2 = 0
Alternative 2: x '1 = 12, x '2 = 4
12 2
Value alternative 1= 12 +
0 = 48
4
12 2 4 2
Value alternative 2= 12 +

= 44
4
4

 The Leon Burnit Adver2sing Agency is trying to

determine a TV adver2sing schedule for
Priceler Auto Company
Goal 1: Its ads should be seen by at least 40
million high-income men (HIM).
Goal 2: Its ads should be seen by at least 60
million low-income people (LIP)
Goal 3: Its ads should be seen by a least 35 million
high-income women (HIW).

Solution

Goal 1

Its
T Aads
B Lshould
E 52be seen by at least 40 million high-income men (HIM).

Goal 2

Costads
and should
Number ofbeViewers
Priceler
Its
seen ofbyAdsatfor
least
60 million low-income people (LIP).

Goal 3

Millions35ofmillion
Viewers high-income women (HIW).
Its ads should be seen by at least

Ad can purchase two

HIM types LIP
HIW shownCost
($) football games and those
Leon Burnit
of ads: those
during
shown during
soap operas. At
$600,000 5can be spent
on ads. The advertising costs
Football
7 most, 10
100,000
and potential
of a3one-minute
are shown in Table 52. Leon BurSoapaudiences
opera
5 ad of each
4 type160,000
nit must determine how many football ads and soap opera ads to purchase for Priceler.

Let

x1 = xnumber
of minutes
of ads
shown
during
football
games
!
number
of
minutes
of
ads
shown
during
football
games
1
Each
million
exposures
by
which
Priceler
falls
short
of the HIM goal costs Pri
x2 = xnumber
of
minutes
of
ads
shown
during
soap
operas
2 ! number of minutes of ads shown during soap operas
$200,000 penalty because of lost sales.

Then any feasible

solution to
the following
LP would
meet Pricelers
goals:
Each million
exposures
by which
Priceler
falls short
of the LIP goal costs Pric
of lost
sales.objective function)
min $100,000
(or max) z penalty
! 0x1 "because
0x2
(or
any other
s.t.
7x1 "exposures
3x2 # 40 by which
(HIMPriceler
constraint)
Each million
falls short of the HIW goal costs Pri
s.t. a $50,000
10x1 "penalty
5x2 # because
60
(LIP
constraint)
of lost
sales.
(21)
s.t.
5x1 " 4x2 # 35
constraint)
Burnit can
now formulate an(HIW
LP that
minimizes the cost incurred in deviatin
s.t.
100x
60x2 The
$ 600
constraint)
Pricelers
three1 "
goals.
trick is(Budget
to transform
each inequality constraint in (21) th
x1, x2 #goals
0
resents one of Pricelers
into an equality constraint. Because we dont know w

the cost-minimizing
undersatisfy
orconstraint
oversatisfy
a given
goal, we need
From Figure
14, we find that nosolution
point thatwill
satisfies
the budget
meets
all three
fine goals.
the following
of Pricelers
Thus, (21)variables:
has no feasible solution. It is impossible to meet all of
Pricelers goals, so Burnit
! might ask Priceler to identify, for each goal, a cost (per-unit
si "
by which
we to
numerically
exceed
thePriceler
ith goal
short of meeting each goal)
thatamount
is incurred
for failing
meet the goal.
Suppose

The si and si are referred to as deviational variables. For the Priceler problem, we as
#
sume that each s!
i and si is measured in millions of exposures. Using the deviational vari
ables, we can rewrite the first three constraints in (21) as
!
7x1 ! 3x2 ! s#
1 # s1 " 40

(HIM constraint)

!
10x1 ! 5x2 ! s#
2 # s2 " 60
!
5x1 ! 4x2 ! s#
3 # s3 " 35

(LIP constraint)
(HIW constraint)

x2
14

No feasible point (area)

(LIP)

12

10

(HIM)
(Budget)

C is point (3, 5)

(HIW)
C

2
FIGURE

14

Constraints for Priceler

192

CHAPTER

x1

4 The Simplex Algorithm and Goal Programming

Costs of failing to meet goals

Each million exposures by which Priceler falls
short of the HIM goal costs Priceler a
$200,000 penalty because of lost sales.
Each million exposures by which Priceler falls
short of the LIP goal costs Priceler a $100,000
penalty because of lost sales.
Each million exposures by which Priceler falls
short of the HIW goal costs Priceler a $50,000
penalty because of lost sales.

schedule yields 5(5) " 4(2) ! 33 million HIW exposures. We are numerically under the
"
HIW goal by 35 # 33 ! 2 million exposures, so s#
3 ! 2 and s3 ! 0.
Suppose Priceler wants to minimize the total penalty from the lost sales. In terms of
the deviational variables, the total penalty from lost sales (in thousands of dollars) caused
#
#
by deviation from the three goals is 200s#
1 " 100s2 " 50s3 . The objective function coefficient for the variable associated with goal i is called the weight for goal i. The most
important goal has the largest weight, and so on. Thus, in the Priceler example, goal 1
(HIM) is +most important, goal 2 (LIP) is second most important, and goal 3 (HIW) is
s1 = amount by which we numerically exceed the i-th goal
least important.

= minimize
amount by
arePricelers
numerically
under
the i-ththe
goal
Burnits1can
the which
penalty we
from
lost sales
by solving
following LP:

Re-formula2on

#
#
min z ! 200s#
1 " 100s2 " 50s3

s.t.
s.t.
s.t.
s.t.

7x1 "
10x1 "
5x1 "
100x1 "

"
3x2 " s#
1 # s1 ! 40
"
5x2 " s#
2 # s2 ! 60
"
4x2 " s#
3 # s3 ! 35
60x2
$ 600
All variables nonnegative

(HIM constraint)
(LIP constraint)
(HIW constraint)
(Budget constraint)

(22)

"
"
Optimal
solution:
z = is250,
= 6,x1x2!=6,0,x2 ! 0, s"
The optimal
solution
to this LP
z !x1250,
1 ! 2, s2 ! 0, s3 ! 0,
#
#
s#
and+goal 2 (the
highest costs,
1 ! 0, s2 ! 0, s3 ! 5. This meets
s1+ = 2,goal
s2+ =1 0,
s3 = 0, s1 = goals
0, s2 with
= 0, sthe
= 5.
or weights, for each unit of deviation from the goal) but fails to meet the3 least important
goal (goal 3).

P1 ### P2 ### P3 ### $$$ ### Pn

Thus, the weight for goal 1 is much larger than the weight for goal 2, the weight for goal
2 is much larger than the weight for goal 3, and so on. This definition of the P1, P2, . . . ,
Pn ensures that the decision maker first tries to satisfy the most important (goal 1) goal. Then,
among all points that satisfy goal 1, the decision maker tries to come as close as possible to
satisfying goal 2, and so forth. We continue in this fashion until the only way we can come
closer to satisfying a goal is to increase the deviation from a higher-priority goal.
For the P
Priceler
problem,
preemptive
goal programming formulation is obtained
>>>
Pn
1 >>> P
2 >>> ...the
%
%
from (22) by replacing (22)s objective function by P1s%
1 & P2s2 & P3s3 . Thus, the preemptive goal programming formulation of the Priceler problem is

Preemp2ve goal programming

%
%
min z " P1s%
1 & P2s2 & P3s3

s.t.
s.t.

&
7x1 & 3x2 & s%
1 % s1 " 40
&
10x1 & 5x2 & s%
2 % s2 " 60

s.t.
s.t.

&
5x1 & 4x2 & s%
3 % s3 " 35
&
100x1 & 60x2 & s%
3 % s3 ' 600

(HIM constraint)
(LIP constraint)
(HIW constraint)
(Budget constraint)

(23)

All variables nonnegative

Assume the decision maker has n goals. To apply preemptive goal programming, we must
separate the objective function into n components, where component i consists of the objective function term involving goal i. We define
zi " objective function term involving goal i
%
%
For the Priceler example, z1 " P1s%
1 , z2 " P2s2 , and z3 " P3s3 . Preemptive goal pro-

erm involving goal i. We define

zi " objective function term involving goal i

%
%
example, z1 " P1s%
,
z
"
P
s
,
and
z
"
P
s
1
2
2 2
3
3 3 . Preemptive goal proms can be solved by an extension of the simplex known as the goal prolex. To prepare a problem for solution by the goal programming simplex,
= objective
function
term involving
goali. iThus, for the
e n row 0s,zi with
the ith row
0 corresponding
to goal
, we have

Row 0 (goal 1): z1 % P1s%

1 " 0
Row 0 (goal 2): z2 % P2s%
2 " 0
Row 0 (goal 3): z3 % P3s%
3 " 0

% %
nd that BV " {s%
1 , s2 , s3 , s4} (s4 " slack variable for fourth constraint)

c feasible solution
BV = that
s1 , s2could
, s3 , s4be used to solve (23) via the simplex algorogramming simplex algorithm). As with the regular simplex, we must
l variables in the starting basis from each row 0. Adding P1 (HIM con(goal 1) yields

0 (goal 1): z1 & 7P1x1 & 3P1x2 % P1s&

1 " 40P1

(HIM)

Simplex
Adding P1 (HIM constraint) to row 0 (goal 1)
yields: Row 0 (goal 1): z1 + 7P1 x1 + 3P1 x2 P1s1+ = 40P1 (HIM )
Adding P2 (LIP constraint) to row 0 (goal 2)
yields: Row 0 (goal 2): z + 10P x + 5P x P s + = 60P (LIP)
2

2 1

2 2

2 2

Adding P3 (HIW constraint) to row 0 (goal 3)

yields:
Row 0 (goal 3): z3 + 5P3 x1 + 4P3 x2 P3 s3+ = 35P3 (HIW )

Dierences between the goal

programming and ordinary simplex
1. The ordinary simplex has a single row 0, goal programming
simplex has n row 0s
2. In goal programming simplex. Find the variable with the
most posi2ve coeecent in row 0 (goal i), subject to:

if a variable has a nega2ve coecient in row 0 associated with a goal

having a higher priority than i, then the variable cannot enter the
basis.

3. When a pivot is performed, row 0 for each goal must be

updated.
4. Op2mal solu2on is yielded if all goals are sa2sed, or if each
variable that can enter the basis and reduce the value of zi
will increase the devia2on from some goal i having a higher
priority than i.

TA B L E

53

Initial Tableau for Preemptive Goal Programming for Priceler

Row 0 (HIM)
Row 0 (LIP)
Row 0 (HIW)
HIM
LIP
HIW
Budget

TA B L E

x1

x2

s1!

s2!

s3!

s1"

s2"

s3"

s4

rhs

7P1
10P2
5P3
7
10
5
100

3P1
5P2
4P3
3
5
4
60

"P1
0
0
"1
0
0
0

0
"P2
0
0
"1
0
0

0
0
"P3
0
0
"1
0

0
0
0
1
0
0
0

0
0
0
0
1
0
0

0
0
0
0
0
1
0

0
0
0
0
0
0
1

z1 # 40P1
z2 # 60P2
z3 # 35P3
40
60
35
600

54

First Tableau for Preemptive Goal Programming for Priceler

x1

x2

s1!

Row 0 (HIM)

Row 0 (LIP)

Row 0 (HIW)

5P
$$2
7
13P3
$$
7
3
$$

10P
$$2
7
5P3
$$
7
"$1$

HIM

s2!

s1"

s2"

s3"

s4

"P1

z1 # 0

"P2

10P2
$
"$
7

z2 #

"P3

z3 #

40
$$

s3!

5P3
$
"$
7
1
$$

rhs
20P
$$2
7
45P3
$$
7

Row 0 (HIM)
Row 0 (LIP)
Row 0 (HIW)
HIM
LIP
HIW
Budget

TA B L E

x1

x2

s1!

s2!

s3!

s1"

s2"

s3"

s4

rhs

7P1
10P2
5P3
7
10
5
100

3P1
5P2
4P3
3
5
4
60

"P1
0
0
"1
0
0
0

0
"P2
0
0
"1
0
0

0
0
"P3
0
0
"1
0

0
0
0
1
0
0
0

0
0
0
0
1
0
0

0
0
0
0
0
1
0

0
0
0
0
0
0
1

z1 # 40P1
z2 # 60P2
z3 # 35P3
40
60
35
600

54

First Tableau for Preemptive Goal Programming for Priceler

x1

Row 0 (HIM)

s1!

x2

Row 0 (LIP)

Row 0 (HIW)

HIM

LIP

HIW

Budget

5P
$$2
7
13P3
$$
7
3
$$
7
5
$$
7
13
$$
7
120
$$
7

TA B L E

s1"

s2"

s3"

s4

"P1

z1 # 0

"P2

z2 #

"P3

z3 #

"1

"1

10P2
$
"$
7
5P3
$
"$
7
1
$$
7
10
"$7$
"$57$
100
$
"$
7

s1!

s2!

s3!

0
10P
$$2
7
5P3
$$
7
"$17$
10
$$
7
5
$$
7
100
$$
7

s2!

s3!

rhs
20P
$$2
7
45P3
$$
7

40
$$
7
20
$$
7
45
$$
7
200
$$
7

55

Optimal Tableau for Preemptive Goal Programming for Priceler

x1

x2

s1"

s2"

s3"

s4

rhs

Row 0 (HIM)

"P1

z1 # 0

Row 0 (LIP)

"P2

"P2

"$1P$02

z2 # 0

x1

x2

s1!

Row 0 (HIM)

Row 0 (LIP)

Row 0 (HIW)

HIM

LIP

HIW

Budget

5P
$$2
7
13P3
$$
7
3
$$
7
5
$$
7
13
$$
7
120
$$
7

10P
$$2
7
5P3
$$
7
"$17$
10
$$
7
5
$$
7
100
$$
7

TA B L E

s2!

s3!

s1"

s2"

s3"

s4

"P1

z1 # 0

"P2

10P2
$
"$
7

z2 #

"P3

z3 #

"1

"1

s1!

s2!

s3!

5P3
$
"$
7

1
$$
7
10
"$7$
"$57$
100
$
"$
7

rhs
20P
$$2
7
45P3
$$
7

40
$$
7
20
$$
7
45
$$
7
200
$$
7

55

Optimal Tableau for Preemptive Goal Programming for Priceler

x1

x2

s1"

s2"

s3"

s4

rhs

Row 0 (HIM)

"P1

z1 # 0

Row 0 (LIP)

"P2

"P2

"$1P$02

z2 # 0

Row 0 (HIW)

P3

"P3

HIM

3
$$
5

LIP

"1

"1

HIW

"1

Budget

6
$$
5

"1

"$2P$03
1
$$
100
"$11$0
"$21$0
7
$$
100

z3 # 5P3
6
0
5
2

the only way we can come closer to meeting goal 3 (HIW) is to violate a higher-priority
goal, goal 2 (LIP). This is therefore an optimal tableau. The preemptive goal programming solution is to purchase 6 minutes of football ads and no soap opera ads. Goals 1 and
2 (HIM and LIP) are met, and Priceler falls 5 million exposures short of meeting goal 3
(HIW).