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**FUZZY PROGRAMMING AND LINEAR PROGRAMMING WITH SEVERAL OBJECTIVE FUNCTIONS*
**

H.-J. Z I M M E R M A N N

Lehrstuhlfiir Unternehmensforschung (Operations Research), R WTH Aachen, 51 Aachen, Federal Republic of Germany

Received February 1977 Revised June 1977

In the recent past numerous models and methods have been suggested to solve the vectormaximum problem. Most of these approaches center their attention on linear programming problems with several objective functions. Apart from these approaches the theory of fuzzy sets has been employed to formulate and solve fuzzy linear programming problems. This paper presents the application of fuzzy linear programming approaches to the linear vectormaximum problem. It shows that solutions obtained by fuzzy linear programming are always efficient solutions. It also shows the consequences of using different ways of combining individual objective functions in order to determine an "optimal" compromise solution.

1. Introduction

In the recent past it has become more and more obvious that comparing different ways of action as to their desirability, judging the suitability of products, determining "optimal" solutions in decision problems can in many cases not be done by using a single criterion or a single objective function. This leads to numerous evaluation schemes (for instance in the areas of cost benefit analysis and marketing) and to the formulation of the vectormaximum problem in mathematical programming. Another way of describing decision problems, particularly in case of ill-defined problems, is the use of fuzzy sets. Decision problems can be formulated as fuzzy decision models. Crisp models can then be designed which are equivalent to the fuzzy models and which can be solved by using existing standard algorithms. This approach can, of course, be used in particular for decision problems which have the structure of linear programming. In the following, the assumptions and results of some approaches of multicriteria programming will be critically compared with those of fuzzy linear programming.

**2. The vectormaximum problem
**

The vectormaximum problem was first mentioned by K uhn and Tucker in their

*Paper presented at the Joint ORSA/TIMS Meeting, Miami, November 3-5, 1976. 45

i.. yielding a revenue of 2 $ per piece in foreign countries.3. maximum difference of exports minus imports.. z2 (x 5)= 7 that is . While product 2 can be exported. K}. best improvement of balance of trade)..1. (2) z~(~)> z~(~) for at least one i~{1. In the following we shall restrict ourselves to linear programming problems with vectorvalued objective functions. This set is defined as the set of all solutions 2 ~X which.4.. It is generally accepted that any ("optimal")compromise solution. Generally it is defined as "Max" {Z(x) l x e X }..ucts 1 and 2 on given capacities.0) T total profit is z2(x ~)= 7 and x4= (9. a net import of 3.. 0. x I is optimal with respect to objective function zl ( x ) = ... K. i. The "optimal" values are zl (x 1)= 14 (maximum net export) and z2 (x 4)= 21 (maximum profit). satisfy the following conditions: is an efficient solution if there is no ~ ~X such that zi(:~)> zi(~). Z immermanr' publication "Nonlinear Programming" [8]. Solution x s = (3. ZK(X ) ) is a vectorvalued function of x e R" into R x. (profit).e.x2 >0 capacity constraints. product 1 needs imported raw materials of 1 $ per piece.x ~ + 2x2 (i.e. For instance we shall use the following example: Example 2. This problem can be modelled as follows: "max" Z ( x ) = (' 2 xl) x2 (effect on balance of trade). Two goals are established: (a) Profit maximization and (b) Maximum improvement of the balance of trade. such that . x 4 is optimal with respect to objective function z2(x)=2xl + x2 (profit). (1) where Z (x) = (z~ (x). The set of all "efficient solutions" (complete solution) plays a central role in the theory of this area.-J. Fig. and i= I. The "complete solution" is the edge x I -x2-x3-x4. A company manufactures two prc~'. For x l = (7. Product 1 yields of profit of 2 $ per piece and product 2 of 1 $ per piece. whichever way it has been determined.3.e. with respect to the objective functions zi(x). has to be a member of the "complete solution". 3)x yields zl (x 4)= .2) T is the solution which yields z~ (x 5)= . 1 shows the solution space of this problem.x ~ + 3x2__<21 xl +3x2 <27 4xt + 3x2 <45 3x~ + X2~30 xl.46 H... respectively.

1 Three major approaches are known.: [7.g. adding the weighted individual objective functions).: 1-2. (2) Goal Programming e. 3. Generally they assume that the combination of the individual objective functions which arrives at the compromise solution with the highest overall utility. the lowest "justifiable" value of the objective functions in the sense that a further decrease of the value of one objective function can not be "balanced" or even counteracted by an increase of the value of the other objective function. 17].e. 1.: [3]. 5.g. The first two of these approaches assume that the decision maker can specify his "preference-function" with respect to the combination of the individual objective functions in advance. either as "weights" (utilities) or as "distance-functions" (concerning the distance f. The third approach uses only local information in order to arrive at an acceptable compromise solution. 4. to single out one specific solution from the set of efficient solutions which qualifies as an "optimal" compromise solution: (1) The utility approach e. 52. Vectormaximum problem. 12]" 1For more than 2 objective functions see p.8].g. Fuzzyapproaches 3ol.i. is achieved by linear combinations (i.Fuzzy programming and linear programming with several objectivefunctions 47 4 x2 x 1 z1 C 2 ~z2 Xv v ~ • ! i • i w I • • 0 2 3 4 5 6 7 8 9 10 x1 Fig. 6b]. . Fuzzy linear programming using the mimoperator In a fuzzy environment a decision can be defined as follows [l. (3) Interactive Approaches e. 2Se¢ [5. from the "ideal solution"2).

. 212. The "'decision" in a fuzzy environment can therefore be viewed as the intersection of fuzzy constraints and fuzzy objective function{s).: (Bx )i > b~+ d~. The relationship between constraints and objective functions in a fuzzy environment is therefore fully symmetric. cx < Zo is strongly violated. a decision in a fuzzy environment is defined in analogy to nonfuzzy environments as the selection of activities which simultaneously satisfy Objective function(s) and constraints. Applied to linear programming the fuzzy "decision" can therefore be defined as the intersection of the fuzzy sets describing the constraints and the objective functions. the adopted "'fuzzy" version is 3 CX ~ Z O. then the following approach can be used [14.48 H. i.~ maximizing decision 3See [14] p. there is no longer a difference between the former and latter. Z immermann The fuzzy objective function is characterized by its membership function. .cx)= l J where i indicates the ith r o w of B or b'. 212. if (Bx)i>b~ +di. x~O. b' the "right-hand side". If one defines the solution with the highest degree of membership to the fuzzy "decisionset" as the maximizing decision. Ax~b.e. 15]: Starting from the problem Min such that Ax<I' z = cx. In fuzzy set theory the intersection of sets normally corresponds to the logical "and". We now define membership functions p4 such that /ii((A x ). (4) (5) O<pi((Ax). i. and so are the constraints.e.cx)<l la~((Ax). cx )= ~i(Bx) = 0 if the ith constraint of " Ax < b. Here Zo means an aspiration level of the decision maker. augmented by the upper bounds for the values of the objective functions and di are the subjectively chosen constants of admissible violations. B is the matrix A augmented by the rows of the objective fhnctions. The membership function of the "solution-set" is then g. 4See 1"14] p. if b~< (Bx).-J. Since we want to satisfy (optimize) the objective function as well as the constraints.(BX~J= Min/ti i (Bx)>0 (6) and th. (3) x~O.. < b~+ d.

and dropping the "1" (which does not change the problem) we arrive at the following problem: Max Min (b"-(B'x)i)i x_>__O or i (9) Max lao(x ) where #D(X). i=0(1)m. We shall now apply this approach to the vectormaximum problem of Example 2.Fuzzy programming and linear programming with several objectivefunctions 49 Max Min tti (Bx ). i. (8) b'. .e. x>O i (7) Using the simplest kind of membership functions. 6See [14] p. respectively.b~ for bi < (Bx )i < b. That means that we assume that the level of satisfaction with respect to the improvement of the balance of trade rises from 0 for imports of 3 units or more to 1 for exports of 14 and more and the satisfaction level with respect to profit from 0 if the profit is 7 or less to 1 if total profit is 21 or more. problem (9) is equivalent 5 to solving the following LP: 6 Max 2.1 and make the following assumptions: The membership functions/~l(x) and /~z(x) of the fuzzy sets characterizing the objective functions rise linearly from 0 to 1 at the highest achievable values of zt Ix) = 14 and Zz(x)= 21. such that (10) 2<b~'-(B'x)i. As is well-known. b~ di and B~ Bi di componentwise. di for (Bx )i > b~ + di. 5In the sensethat the optimal solution to (10)is also optimalto (9). linear functions of the type 1 /~(Bx)= f 1 0 substituting for (Bx)i<-b~ (Bx )i . x>0. 213. is the membership function x _> o of the decision (solution) set. + d i.

been shown 1-11.0714x2 -0. Recently it has.3 < z l ( x ) < 14. 2.1764. the (efficient) solutions x 1 and x 4 yield .-J. (ll) for z2(x)<7.74) is achieved for the solution Xo=(5. was assumed to correspond to the (logical) "'and". 27> 45> 30> x> 0. (12) depicted in Fig.5. 4Xt + 3Xl + 3X2.32)T. . such that 2__< -0.t = 0.1 we arrive at the following problem-formulation Max 2.4 1 In analogy to formulation (4) and including the unfuzzy constraints of Example 2. 2<_ +0. however. The maximum degree of "overall satisfaction" (2max=0. 8)T reaches a level of 2 = 0. competed by applying the minimum operator to the membership functions of the fuzzy sets. for 21 < Ze(X). In contrast to the usual vectormaximum models in the fuzzy approach the efficient solutions contained in the "complete solution" are distinguishable by their different degrees of satisfaction. m(x)=~ zl(x)+3 17 1 0 z2(x)-7 ~2(X)-. This is the "maximizing solution" which yields in our example a profit of $17. 14 for 7 < zz(x) <__ 21.. Xl + 3X2. Fuzzy linear programming using the product operator So far the intersection of fuzzy sets.117 x2 +0. Z immermann Thus 0 for z l ( x ) .2.38 and an export contribution of $4.16j experimentally.03. The basic solution x 2 = (3.1429 xl +0.05882xl +0. for 14<zx(x)." 7.5 and. ~hat human decision makers do not use the minimum operator when they combine fuzzy statements by "and". 3.3 .50 H. 21> --X 1 + 3X 2. by assumption. f o r .58. x2.

If we choose the specific value ? = 1 for the arbitrary parameter 7 then (13) simplifies tO" D(pAPB)-" ftA "PB" (14) . 1} and D is a rational function.Y) (#A + IIB--['IA['IB) [IAI~B 0<y (13) where ~ is an arbitrary parameter. A2: D is continuous. A 3: D is injective in each argument. x e ( O .Fuzzy programming and linear programming with several objective functions 51 X2 Fig. Only then the following "rationality axioms" are satisfied: A 1" D is associative. A 4" A D(x. + (1 . 2. Fuzzy LP with min-operator. In addition Hamacher [6] has shown that the conr~ective D corresponding to the logical "and" has to be Dy(IlA.c~x = I. x )= x.PB)= ).

(16) . 3 depicts this problem. Again the"maximum satisfaction" is achieved at an efficient solution x=(5. 4Xl + 3x2 _--< 45. Fuzzy LP with product operator.-J.x l + 3x2 <21. 3.3 < z l ( x ) < 1 4 and 7<z2(x)<21 the objective function (--xt+2x2+3) 17 and the problem becomes" Max 2-~ ( . xl + 3x2 =<27.1)"r Fig. 3 shows a problem of the following structure: (ci) r x .7 ) 14 (15) X2 10 X1 Fig.l l x 2 + 2 x 2 . x~ >0. Zimmermann If we apply 114) in Example 2.7.2 x 2 + 3 x l x 2 + 1 3 x l .2 1 ) ' such that .1 we get f o r .52 H. 49 and 53. 1 (2x2+x2 .p i 7 Max i--lI-I d. see pp. 7. 3xl + X2-----30. ' 7For definitions of di and p. Fig.

. zh.e. d*. programming and linear programming with several object ire functions 53 such that Ax<b. ... elsewhere.~ ~ E there exists d~{. ( 17 ) aSee [ I0].Xop t.0 .. We also assume d~ >0. Variations ofdffor di > (c i)T X oip t . Then it follows that K (ci)T ~ . Thus r' (Ci)T "~--Pi ?~ = 1. Xoptj. redundant objective lunctions being omitted) with the individual optima Xopt.~ z~(x~. Let E be the set of all efficient solutions in (1).. Let F~ be equal to E . The question arises whether the optimal solutions of problems of this type are always efficient solutions of the corresponding vectormaximum problem: In the following we a~sume p~ to be equal to Min. It can be shown that under some weak assumptions there exists a set of parameters d*. . Proof. and KN (ci) I x .. such that ~ solves (16). x>_O...2. Proof.. Max x~X i= d* Corollary 3.i.. K ) 1 h o Then f o r each ..t).Pi > 0 do not influence the "max imi =in g solution" of problem (16) but only the resulting values of the objective.Fuzz). . (x)..1.t XIo.P i < i=lll d? -- 1 for all x ~ X. K' < K be a minimal generating system s of set E (i. . Let zl (x). . for (el) ~ x > p i + d i . This statement can be formulated as the following theorem: Theorem 3.Pi di for (ci) T x < p i . (This corresponds to the "lowest justifiable solution" defined on page 45).function. The proof is almost trivial: The general formulation of the membership functions ( 11 } is" 0 #i(x) = c~ x . Let d* = zi(:~) . i = 1 (1)K for almost each efficient solution x~ such that x~ is the optimal solution of problem (16).. il-Ii d* = 1.p...1 t.

De Montgolfier.. for the min. Using the prod. Linear programming with multiple objective functions: STEP method (STEM). are set at the individual optima or at any higher level.A.e. x>O.-operation the maximizing solutions depends only on the p[s as long as di> (d) r Xopt . New York. Dyer. Management Sci. This means that for the optimal solution of (16) it is irrelevant whether the "anchor points". It therefore seems worthwhile or even necessary to reconsider most of the approaches which have been suggested to solve linear vectormaximum problems. i. Bellman and L. Charnes and W. (d) The results of empirical work [11] and mathematical arguments [16] seem to indicate that human decision makers do generally neither combine their individual objective functions linearly to find an "optimal compromise solution" nor apply the minimum operator to combine (fuzzy) objective functions and/or constraints. Cooper. 19 (1972/73) 62-70. of the 1 objective function. i. Programming 1 (1971) 366-375. [2] R. 1961). This is not true when using the minimum operator instead of the product operator! 4. the aspiration levels for the individual objective functions at which #.-operator as well as for the prod. Benayoun.-(x) = 1. . Tergny and O. 17B (4) (1970) 141-164. find the "optimal" compromise solution. [4] J. Management Models and Industrial Applications of Linear Programming (Wiley.S. Conclusions The following conclusions can be drawn: Ca) Fuzzy linear programming can solve quite easily problems of jthe (linear) vectormaximum problem.W. Management Sci. J.-operator.54 H. The same is also true for nonlinear problems of this type. References [1] R.-operator the "maximizing solution" depends on the choice of the di's as well as of the pi's. Zadeh. (b) The "maximizing solution" always turns out to be an efficient solation.. 1-I~'_-' 1/di. J. Laritchev. Math. i=1 (18) Ax<b. In (18) the optimal solution is ~bviously independent of the first term. Z immermann Problem (16)can now be written as K' i= l K' ~ such that Max I-I (c')T xi-p.Pi > 0 . Interactive goal programming.-J. [3] A. (c) Using the min.e. Decision making in a fuzzy environment.

Geoffrion. Geoffrion. et al. Tucker. . 19 (1972/73) 357368. Dyer and A. [16] H. 7-. J. Berlin. Geoffrion. R6dder a. Beschreibung und Optimierung yon unscharf formulierten Problemen. Feinberg.~. Optimale Entscheidung bei mehrfacher Zielsetzung. [i 5] H. Neyman ed. DFG-Forschungsbericht 1975/76" Unscharfe Entscheidungsprob|eme.. Zi. on Mathematical Statistics and Probabilities (1951). [9] H. 75/07.M. Operations Res.J. Leber|. Int. ~ m e r m a n n ..-J. A parametric programming solution to the vector maximum problem with applications to decisions under uncertainty. Opiitn~. Institut f~il Wirtschafts~ issenschaften. [6a] A.:. [7] H.ng.W.~. Kuhn and A. Brussels (i975).M.-J. Z. Stanford University. working paper 74-i0. [8] H.Fuzzy programming and linear programming witk several objectivefunctions 55 [5] I. 271. Zfir Theorie der Linearen Vektormaximumprobleme. Information and Control 8 (1965) 338--353. Zionts and J~ Wallenius: An interactive linear programming method for solving the multiple criteria problem. Techmca! Repui t No. ~tanibrd Universay. Description and optimization of fuzzy systems. working paper No. Lehrstuhl fi. [6b] A. [1 I1 W. 75/14. Proc. CA (1965) 2. . 2 (4) 1975. J.ir Untemehmem.M. Nonlinear programming. of 2nd Berkeley Syrup. LA (1965). Zadeh. On 'and' and 'or' connectives in fuzzy set theory.!e Entscheidungen bei unscharfen Problembeschreibungen. [10] H. Aachen (1976).:: [t3] L. General Syst. [17] S.t. Lecture Notes in Economics and Mathematical Systems 76 (Springer.¢.mmermann.-J. RWTH Aachen (1977). A parametric programming solution to the vector maximum problem. Dissertation. Fuzzy sets. working paper No. Lehrstuhl fiir Unternehmensforschung. Tucker and A. [12] W. lbF 27 (1075j 785. R~dder. I1. Zimmermann.A. [14] H.d H. Kuhn. Ober logische Verkniipfungen unscharfer Aussagen und deren zugeh6rigcn Bewertungsfunktionen. 1971). An interactive approach for multi-criterion optimization with an application to the operation of an academic department. Zimmermann. Hamacher. Fandel. RWTH Aachen (1975). in" J..W.~a.S. A.795.. Analyse.W.W. Management Sci.7-7 1-18.forschung R WTH Aachen ! !975 ~. European Institute for Advanced Studies in Management.

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