FUZ2Y

sets and systems

ELSEVIER Fuzzy Sets and Systems 89 (1997) 215 222

The relationship between goal programming

and fuzzy programming
Ramadan Hamed Mohamed*
Faculty of Economics & Political Sciences, Cairo University, Cairo, Egypt
Received November 1993; revised March 1996

Abstract

Goal programming (GP) and fuzzy programming (FP) are two approaches for solving the vector optimization
problem by reducing it to a single (or sequential) objective one. These two approaches have some similarities and both of
them have more than one form to handle the multiobjective problem. This paper highlights the similarities between GP
and FP and answers the question how each one can lead to the other. However, we will consider in this paper the
min-operator to transform the linear FP to a crisp program since this approach is more popular and applied than the
others. In addition, some new forms of fuzzy programs are presented in this paper. These new forms use the concept of
deviational variables of GP (and not the min-operator) to transform the FP to a crisp one. Finally, a numerical example
to illustrate the relationship between the two approaches is given. © 1997 Elsevier Science B.V.

Keywords." Goal programming; Fuzzy programming

1. Introduction

C o n s i d e r the linear multiobjective m o d e l

(M1) opt Z = CX

s.t. A X <~ b,

where Z = (zl z2 . . . Z k ) ' is the vector of objectives, C is a K x N matrix of constants, X is a n N x 1 vector of

decision variables, A is an M x N matrix of constants, a n d b is an M x 1 vector of constants.
T h e m o d e l M1 has been applied to solve m a n y real-world problems. T r a n s p o r t a t i o n p r o b l e m with
m u l t i p l e objective function, p r o d u c t i o n p l a n n i n g with multiple efficiency criteria [5], i n p u t - o u t p u t m o d e l for
resource allocation, a n d o p e r a t i o n scheduling [3, 5, 12] are only examples of these applications.

* Present address: Technical College in Ibra, Ibra 413, P.O. Box 427, Sultanate of Oman.

0165-0114/97/$17.00 @, 1997 Elsevier Science B.V. All rights reserved

PII S 0 1 6 5 - 0 1 1 4 ( 9 6 ) 0 0 1 0 0 - 5
216 H.M. Ramadan / Fuzz), Sets and Systems 89 (1997) 215 222

To solve M1 one can distinguish between 4 main approaches:

(i) Reducing the multiobjective problem to a single objective one by using some real-valued function
H ( z l , z2 . . . . . ZK) which may take one of the following (or other) forms:
(a) H ( z l , z 2 . . . . . zK) = m i n k z k .
E~:l
(b) H ( Z l , Z 2 , ... ,ZK) = ~k(Zk) ~ , C~k > O, flk > O.
(C) H ( Z l , Z 2 . . . . . ZK) = I ] K : I Z k .
(d) H (Zl, z2 . . . . . ZK) = maxk (Zk -- Z*) where z* is the optimal value of Zk subject to the constraints of M 1.
(ii) Reducing the multiobjective problem to a single objective one by means of utility functions. The
methods of this area are based on the decision maker's preference. This preference is translated to
mathematical expression by using either the value function or the utility function [12].
(iii), (iv) The G P and the F P approaches. These two approaches will be discussed in Sections 2 and 3,
respectively. A comparison between G P and F P to present the similarities and dissimilarities between them
will be stated in Section 4 while Section 5 gives an illustrative numerical example.

2. Goal programming

This approach was first introduced by Charnes and Cooper [1], then developed by Ijiri [7], Lee [8],
Ignizio [4, 5], and others [2]. The main idea behind G P is to minimize the distance between Z (as defined in
M 1) and an aspiration level vector Z. The aspiration level Z is either determined by the decision maker or
equals Z* where Z * = (z* z* ... z*) with z~ as defined in Section 1.
In G P the distance between Zk and Zk, d ( Z k , Z k ) , is expressed by the deviational variables nk and Pk
(k = 1,2, ... , K) where nk is the negative deviational variable,
nk = max(0, ik -- Zk) = ½[zk -- Zk + IZk -- Zkl], (1)
and Pk is the positive deviational variable,
Pk = max(0, zk -- ik) = ½ [Zk -- Zk + IZk -- Zkl]- (2)

Minimizing the distance between z k and Zk means minimizing either r/k or Pk or rtk d- Pk. We minimize
r/k when we need 2k ) Zk (maximization problem), minimize Pk when we need Zk <~ Zk (minimization problem)
and minimize I~k -[- Pk when we need Zk = Zk.
Accordingly, the model M 1 is converted by G P to a minimization problem of the deviational variables and
it may take any of the following forms:
(i) T h e M i n - M a x form:
(M2) rain max gk ((nk, Pk)
s.t. A X <~ b, (3)
CkX q- rtk -- Pk = ik, k = 1, 2, ... , K , (4)
nk >~O, Pk >~O, n k ' P k = O , k= 1,2, . . . , K , (5)
where @ k ( n k , P k ) : - n k in the case of maximizing zk, 9k(nk,Pk)--= Pk in the case of minimizing Zk, and
9k(nk,Pk) = nk + Pk when we need Zk = ik, Ck is the kth row of the matrix C.
The model M2 is converted to a linear program as following:
(M3) min r
s.t. constraints (3)-(5),
T ~ gk(Hk,Pk), k = 1,2 . . . . . K.
 H.M. Ramadan / Fuzzy Sets and Systems 89 (1997) 215-222 217

M3 can be solved by the simplex method.

(ii) The minimization of the sum of deviations form:
K
(M4) min ~ Ok(nk,Pk)
k=l

s.t. constraints (3)-(5),

where all the parameters and variables are as defined in M1 and M2. M4 is a linear program which can be
solved using the simplex method.
(iii) The minimization of the weighted sum of deviations form:
K
(M5) min ~ Wkgk(nk,Pk)
k=l

s.t. constraints (3)-(5),

where Wk (k = 1, 2, . . . , K) are determined by the decision maker. M5 is a linear program like M3 and M4
and can be solved using the simplex method.
(iv) The preemptive priority form: If the decision maker can rank the K objectives according to their
priority, then the lexicographical form of goal programming can be used. In this form the K objectives are
rearranged according to their priority levels, the highest priority goal is considered first, then the second and
so on. The general lexicographical goal program is:

(M6) min ..... I}

s.t. constraints (3)45),

where I is the number of priority levels and k e Pi means that the kth goal is in the ith priority level.
M6 is a linear goal program which can be solved using the multiphase simplex method [8] or the
sequential simplex method [5].

3. Fuzzy programming

The F P approach for handling the multiobjective problems was firstly introduced by Zimmermann [13].
Narasimhan [10, 11], and Ignizio [6] had investigated and developed the use of fuzzy set theory in solving
problems with multiple goals. The approach of Zimmermann is the basis and the best [6] of all these and
other works and we will concentrate on presenting this approach. The author developed another approach in
this area which will be presented later.

3.1. Fuzzy linear programming using the min-operator

Starting from the model M1 the adopted fuzzy version due to Zimmermann [13] is

(M7) CX>~Z
s.t. A X < b,
where > and < are the fuzzification of 7> and ~<, respectively. > ( < ) means 'essentially greater (less) than'.
218 H.M. Ramadan / Fuzzy Sets and Systems 89 (1997) 215 222

To solve M7 Zimmermann suggested using a linear membership function for each goal p l k ( C k X ) , where

i if C k X ~ 5k,
I~lk(CkX) = ': -- (Zg -- C k X ) / d l k if Zk -- dlk <~ C k X <~ Zk, (6)
if C k X <~ Zk -- d i g , k = 1,2 . . . . . K,

and another linear membership function #2i(aiX) for the ith constraint in the system constraints A X < b,
where

(1 if a i X <~ bi,
I
l ~ 2 i ( a i X ) = i 1 - - ( a i X - - bi)/d2i if bi <~ a i X <<.bi + d2i, (7)
,0 if ai X ~ b i + d2i , i = 1,2 . . . . ,M,

where dig (k = 1, 2 . . . . . K ) and dzi (i = 1, 2 . . . . , M ) are the subjectively chosen constants of admissible
violations, and a~ is the ith row of the matrix A.
Since # I k ( C k X ) and # 2 i ( a i X ) express the satisfaction of the decision maker with the solution, they must be
maximized, i.e. the problem is:

maxx(/~l i (C1 X ) . . . . . # l k ( Ck X ) , ~21 (al X ) , ... , ,I~2M(aM X ) ). (8)

In one of the fuzzy set theorems, the membership function of the intersection of any two (or more) sets is
the minimum membership function of these sets. By applying this theorem the problem is converted to:

maxx min (#11 (C1 X ) . . . . . [AIk(Ck X ) , #21 ( a l X ) , ... , IAZM(aM X ) ). (9)

From (6), (7), and (9) the fuzzy program can be rewritten as the following program:

(M8) max y

s.t. y ~ 1 -- (Zk -- C k X ) / d l k , k ~ 1,2 . . . . . K,

y <~ 1 - ( a i X - b i ) / d 2 i , i = 1,2, ... ,M,

y~>0, X~>0.

The program M8 is a linear program that can be solved using the simplex method.

3.2. F u z z y goal p r o g r a m m i n g

The author developed a new approach for transforming M7 to a linear goal program. This approach
depends on the fact that the maximum value of any membership function is 1, hence maximizing any of them
is equivalent to making them as close as possible to 1 by minimizing its negative deviational variable from 1.
In this sense the problem is converted to a G P that can take any of the forms M3, M4, M5, or M6.
 H.M. Ramadan / Fuzzy Sets and Systems 89 (1997) 215 222 219

By applying the form M3 to the fuzzy program M7 using the definitions of #lk(CkX) and Pzi(ai X ) in (6)
and (7), the following program can be obtained:
(M9) rain ~b

s.t. 1 -- (Zk - - C k X ) / d l k ~- n l k -- P l k = 1, (10)

1 -- ( a i X -- b i ) / d 2 i + n2i - P2i = 1, (11)

>~ nlk, (12)

>~ n2i, (13)

X ~ O, Fllk >/ O, P l k ~ O, i~2i ~ O, P2i ~ O,

nlk" Plk = O, nzi" P2i = O,

k = 1,2 . . . . . K, i = 1,2 . . . . . m. (14)

M9 is a linear program that can be solved using the simplex method.

Also, by applying M4 to M7 we can get the following linear program:
K M
(M10) min ~ nlk + ~ nzi
k=l i=1

s.t. constraints (10), (11), (14).

To transform M7 to a G P by using M5 one can get the following program:

K M
(Mll) min Z W l k n l k -[- Z W z i n 2 i
k=l i=1

s.t. constraints (10), (11), (14).

Finally, if the decision maker can assign priority ranking for each goal then M7 can be rewritten as a G P
by using the formula M6 as follows:

s.t. constraints (10), (11), (14).

M8, M9, M10, M11, and M12 represent the different types of fuzzy programs in the case of having linear
membership function and the fuzziness is in the right-hand side of both the goals and constraints. The other
cases of nonlinear membership functions or models with fuzzy numbers are out of the scope of this paper.

4. The relationship between GP and FP

G P and F P are two approaches for solving the multiobjective problem M1. Both of them need an
aspiration level for each objective. These aspiration levels are determined either by the decision maker or the
decision analyst. In addition to the aspiration levels of the goals, F P needs admissible violation constants
dlk for each goal. The larger d~k indicates less important kth goal. Accordingly, the following theorem can be
stated about the relationship between G P and FP.
220 H.M. Ramadan / Fuzzy Sets and Systems 89 (7997) 215 222

Theorem. E v e r y f u z z y linear p r o g r a m has an equivalent weighted linear goal program where the weiqhts are the
reciprocals o f the admissible violation constants (i.e. Wk = l/dik).

Proof. W i t h o u t loss of generality we will assume that the fuzziness is in the aspiration levels of the goals and
not in the system constraints (the goals and the constraints are treated in the same way in FP). We will prove
that M8 is equivalent to M3 with weighted deviational variables where the weights are 1/dlk
(k = 1,2 . . . . . K).
Starting from M8, it can be rewritten as

rain 1--y

s.t. 1 -- y > (ig -- C g X ) / d l g ,

A X <~ b,

X >~O,

since y is a membership function, y ~< 1 which means that 1 - y >~ 0. Let 1 - y = u, and the problem can be
transformed to

(M13) min U

s.t. u >1 (Z.k -- C k X ) / d i k ,

A X <.Gb,

X>~0,

u~>0.
F r o m M13 u >~ max(0, (ig -- C g X ) / d l g ) ) and by using the definition of the negative deviational variables in
(1) it can be obtained that u >~ nlg, where

C g X / d l g + nlg - P i t = ~g/dlg,

i.e.

C k X + dxgnlg -- dlgPlk = ig.

The full p r o g r a m M13 can be rewritten as

(M14) min u

s.t. A X <~ b,

C k X -~ d l k n l k -- d l k P l k = Zk,

bl ~ nlk ,

X ~ O, n l k ~ O, PlR ~ O, n l k P l k --~ O,

k = 1,2 . . . . . K.
M14 is equivalent to M3 with ng dlknlg (i.e. nlg = ng/dlg). Then M8 is equivalent to M3 with weighted
=

deviational variables where the weights equal l/dig.

The p r o o f is completed by considering the relationship between G P in its m i n - m a x form and the fuzzy
linear p r o g r a m using the rain-operator.
 H.M. Ramadan / Fuzzy Sets and Systems 89 (1997) 215-222 221

The relationship between the other G P forms and the suggested fuzzy goal programs M9, M10, M11, M12
can lead to the same result as follows:
It can be proved that M9 - with crisp system of constraints is equivalent to M3 with weighted deviational
variables. M9 in this case can be reformulated as M14. Similarly, it can be proved that M 10, M11, and M 12
are special cases of M4, M5, and M6, respectively.

5. A numerical example

This example is taken from [133.

(M15) max Z= [121171 2 x2

s.t. -xl + 3 x 2 ~<21,

x~ + 3 x 2 ~ < 2 7 ,

4x~ + 3x2 ~< 45,

3xl + x 2 ~< 30,

x l >>-O, x2 >~ O.

This example will be solved using fuzzy programming like that in M8 and then it will be shown that the
same solution can be obtained by using GP.
T h e solution. By solving the problem with respect to Zx the optimal solution is (7 0)' where z* = 14, and
by solving the problem with respect to z2 the optimal solution is (9 3)' and z~' = 21.
Using 14 and 21 as aspiration levels for z~ and z2, let d ~ = 17 and dr2 = 14. The fuzzy program using the
min-operator is as follows:
(M16) max Y
s.t. y ~< -- 0.05882Xl + 0.117X2 + 0.1764,

y ~< 0.1429Xa + 0.0714X2 -- 0.05,

--xl +3x2~21,

X~ +3Xz~<27,

4Xl + 3x2 ~< 45,

3x1 + x 2 ~< 30,

y, x l , x 2 >10.

The optimal solution is x* = (5.03 7.23)' and y* = 0.74, the equivalent G P of M16 is as follows:

(M17) rain u
s.t. -- x l + 3x2 <~ 21,

xl + 3 x 2 ~ < 2 7 ,
4xl + 3X2 ~< 45,
222 H.M. Ramadan / Fuzzy Sets and Systems 89 (1997) 215-222

3xl + X2 ~ 30,
--Xl+2XZ+nl--p~ = 14,

2xl + x 2 --{- n 2 - P2 = 21,

u >1 n l / 1 7 ,

u ~> n 2 / 1 4 ,

x l , x 2 , n l , n z , p x ,P2 ~ O,

n i p 1 = O, n z p 2 = O.

The optimal solution of M17 is also x* = (5.03, 7.32)' and u* = 0.26.

6. Conclusion

The linear multiobjective program can be solved using m a n y approaches. In this paper G P and F P are
considered as two important approaches for transforming the multiple objective problem to a single
objective program or to an ordered sequential multiobjective one. This paper made a survey for the
formulation of G P and F P and developed some new F P forms by using the sense of GP.
The relationship between all forms of F P and G P is investigated within the paper. It is proved that every
F P is a G P with some weights assigned to the deviational variables in the objective (achievement) function.
These weights are the reciprocals of the admissible violation constants. The F P considered in this paper has
fuzziness in the aspiration levels, i.e. to get a solution that makes the objective as close as possible to a specific
goal within a certain limit. The case of having fuzziness in the parameters of the model (FP with fuzzy
numbers) has some relationship to stochastic goal programming, and the author intends to investigate this
relationship in another work.

References

[1] A. Charnes and W.W. Cooper, Management Models and The Industrial Applications of Linear Programming (Wiley, New York,
1968).
[2] J.P. Dauer and R.J. Kruger, An iterative approach to goal programming, Oper. Res. Quart. 28 (1977) 671-681.
[3] A. Goicoechea, D.R. Hansen and L. Duckstein, Multiobjective Decision Analysis with Engineering and Business Applications (Wiley,
New York, 1982).
[4] J.P. Ignizio, Goal Programming and Extensions (Lexington Books, London, 1976).
[5] J.P. Ignizio, Linear Programming in Single and Multiple Objective Systems (Prentice-Hall, Englewood Cliffs, N J, 1982).
[6] J.P. Ignizio, On the rediscovery of fuzzy goal programming, Decision Sci. 13 (1982) 331 336.
[7] Y. Ijiri, Management Goals Accounting for Control (North-Holland, Amsterdam, 1965).
[8] S.M. Lee, Goal Programming for Decision Analysis (Auerbach Publishers, Philadelphia, PA, 1972).
[9] R.H. Mohamed, A chance constrained fuzzy goal program, Fuzzy Sets and Systems 47 (1992) 183 186.
[10] R. Narasimhan, Goal programming in a fuzzy environment, Decision Sci. 11 (1980) 325 336.
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[12] W. Stadler, A survey of multiobjective optimization of the vector maximum problem, J. Optim. Theory Appl. 29 (1979) 1-5.
[13] H.-J.Zimmermann•Fuzzypr•grammingand•inearpr•grammingwithsevera••bjectivefuncti•ns•FuzzySetsandSystems• (1978)
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