Applied Mathematics and Computation 179 (2006) 506–522

www.elsevier.com/locate/amc

Fuzzy goal programming: Complementary slackness

conditions and computational schemes
S. Mehdi Hashemi, Mehdi Ghatee *, Behnam Hashemi
Faculty of Mathematics and Computer Sciences, Amirkabir University of Technology,
No. 424, Hafez Avenue, Tehran 158754413, Iran

Abstract

Goal programming (GP) is an important category in linear programming and multiobjective versions, which minimize
the deviation among value of each objective function and its goal with satisfying other constraints of problem. In this
paper, we deal with fuzzy goal programming (FGP), which is a generalized problem in vague nature, where parameters,
relations and goals are given as fuzzy quantities with respect to imprecise data. Recently, Inuiguchi et al. [M. Inuiguchi,
J. Ramik, T. Tanio, M. Vlach, Satisficing solutions and duality in interval and fuzzy linear programming, Fuzzy Sets and
Systems, 135 (2003) 151–177.] have proved some important dual theorems on FGP, which are very close to the same crisp
versions. In continuation to their works, based on fuzzy extensions of relations, we get complementary slackness condi-
tions for FGP, which have an essential role in many optimization techniques. Moreover, we obtain the most optimistic
and pessimistic satisficing solutions, employing these conditions and present a convex combination of them which covers
the satisficing solutions for a fixed level of certainty. Our practical schemes implement an efficient interior point algorithm
as sub-procedure, so they are polynomial-time algorithms.
 2005 Elsevier Inc. All rights reserved.

Keywords: Goal; Fuzzy goal programming (FGP); Fuzzy extensions of relations; Duality theorems; Complementary slackness conditions;
Optimistic and pessimistic solutions; Convex combination; Interior point algorithms

1. Introduction

Linear programming (LP), which has been widely used and got many achievements in both applications
and theories, require that the data must be well defined and precise. As it is impossible in obtaining these data
in many real decision making problems, Tanaka and Asai [31] initially proposed a possibilistic LP formula-
tion, where the coefficients of decision variables are crisp, while decision variables are obtained as fuzzy num-
bers. They extended this work [32], getting possibility distributions of fuzzy variables respect to their LP.
Afterward, Inuiguchi and Sakawa [17] implemented optimality tests in linear programming with possible
and necessary measures, which were the extensions of Buckley’s work [6]. Moreover, Sakawa et al. [30]

*
Corresponding author.
E-mail addresses: hashemi@aut.ac.ir (S.M. Hashemi), mahdighatee@yahoo.com (M. Ghatee), hashemi_am@aut.ac.ir (B. Hashemi).

0096-3003/$ - see front matter  2005 Elsevier Inc. All rights reserved.
doi:10.1016/j.amc.2005.11.121
 S.M. Hashemi et al. / Applied Mathematics and Computation 179 (2006) 506–522 507

extended a scheme conquering two-level linear fractional programming with fuzzy parameters, presenting
interactive fuzzy programming. On the other hand, in computational viewpoints, Buckley et al. [7,8] proposed
some heuristics based on neural networks and evolutionary algorithms, solving interval and fuzzy program-
ming with fuzzy parameters, which named fully fuzzified program. Fang et al. [12] and Janaka et al. [19] pre-
sented some practicable schemes on the same problem, too. Moreover, Pibouleau et al. [26] extended the fuzzy
terminology for integer programming and suggested a new version of branch and bound algorithm for this
object. Almost synchronously, Osman et al. [25] proposed the same integer variable algorithm for large-scale
multiobjective LP. Also Liu and Kao [21] proposed a practical method for a special problem of this class,
based on the extension principle and found the lower and upper bound for optimal transportation cost, when
the level of certainty was chosen fixed. Then, they fit the results in an L–R type fuzzy number format, which
approximates the membership degree of optimal values.
However, in contrast with this vast literature on modelling and solution procedures for FLP, the researches
in duality are rather scarce. Rodder and Zimmermann [28], Hamacher et al. [14] and Bector and Chandra [4,5]
reported the most basic results on duality in FLP. Due to [28], a max–min and min–max problem was general-
ized in a fuzzy environment to create a pair of fuzzy dual linear programming problems, while in [14] the
focusing was on sensitivity analysis in fuzzy linear programming. But Bector and Chandra [4] found some
inherent difficulties with the fuzzy dual formulations of [28], that was specialized to the crisp situation, Rod-
der’s approach does not lead to a standard primal–dual pair of linear programming. Thus, they constructed a
modified version of fuzzy primal–dual couple. Bector and Chandra [4] later introduced dual for linear pro-
gramming with fuzzy parameters and showed equivalency among two persons zero sum matrix game with
fuzzy pay-offs and primal–dual pair of such fuzzy linear programming problems. Their theorems on a defuzz-
ification function , which map fuzzy numbers to real numbers, are developed.
We limit our attention to goal programming (GP) in this paper, which is the most popular approach for
handling multiple objective problems in linear programming. In this idea, instead of trying to optimize each
objective function, the decision maker is asked to specify a goal or target value that realistically is the most
desirable value for that function. At any feasible solution, we express the deviation in the rth objective func-
tion from its goal, then GP model for the original multiobjective problem will be a single objective problem in
which we try to minimize a linear function of these deviation variables. Nishizaki and Sakawa [23,24] studied
on production model with respect to the viewpoint of experts’ imprecise and combined GP and game theory in
fuzzy nature to develop some practical methods for obtaining solutions which maximizes minimal fuzzy goal
and solutions maximizing the sum of fuzzy goals. They represented several interesting experiments to validate
their ideas in production models, too. More analytically, Inuiguchi et al. [18] have generalized some important
dual theorems on fuzzy goal programming (FGP) based on extensions of ranking relations. We continue their
works and get complementary slackness conditions for FGP. These conditions are the base in many optimi-
zation algorithms. Moreover, almost similar to the Liu’s approach [21], we find the most optimistic and pes-
simistic solutions of FGP, employing two different extensions of ordering relations based on fuzzy T-norms
and T-conorms, where the certainty level is given. Finally, we generalize a convex combination of these items
as satisficing solutions of a FGP, with respect to the convexity property of feasible solutions set. Moreover, for
obtaining a polynomial time algorithm, we use an efficient interior point algorithm [20,27] as a sub-procedure.
The rest of the paper is structured as follows.
Some basic definitions and results on fuzzy numbers and relations, especially ranking relations, are given in
the next section. In Section 3, fuzzy linear and goal programming and some relevant materials were intro-
duced. Complementary slackness conditions are presented in Section 4. Then in Section 5, we review on
the basics of interior point algorithms and its implementation on FGP. Moreover, the results of the proposed
scheme on a numerical example, which reveal its efficiency, are reported. The last Section ends this paper with
conclusion and future directions.

2. Fuzzy sets and relations

Fuzzy relation, which is one of the way to describe the vagueness and lack of precision of depending rela-
e of universal set X by its membership function
tion, is based on the fuzzy sets [36], that is defined as a subset A
lA~ ðÞ, which assigns to each element x 2 X a real number lA~ ðxÞ in the interval [0, 1]. Commonly, the class of
508 S.M. Hashemi et al. / Applied Mathematics and Computation 179 (2006) 506–522

fuzzy sets on X is denote with FðX Þ. Also, with respect to each fuzzy set A, e height and core, respectively, are
e be non-empty, A
given by supflA~ ðxÞjx 2 X g and fx 2 X jlA~ ðxÞ ¼ 1g. Moreover, if the core of A e is named nor-
e
mal. In this manner, the a-level or cut of a fuzzy set A, which has an essential role in fuzzy optimization [29], is
defined as an ordinary set ½ Ae for which the degree of its membership function exceeds the level a, i.e,
a

e ¼ fxjlA~ ðxÞ P a; a 2 ½0; 1g.

½ Aa

As a real analysis terminology, let X be a metric space. A fuzzy subset A e of X is closed, bounded, compact if
e e
for each a 2 [0, 1], ½ Aa has the same property. Clearly, A is convex (strictly convex) if and only if for each x1
and x2 in X and k 2 (0, 1), we have,
lA~ ðkx1 þ ð1  kÞx2 Þ P ð>ÞminimumflA~ ðx1 Þ; lA~ ðx2 Þg.
Also, a fuzzy number is a convex normalized fuzzy set of the real line R, whose membership function be piece-
e with closed interval [AL(a), A R(a)].
wise continuous. It is well-defined, denoting a-level set of a fuzzy number A
A fuzzy number M = (m, a, b)LR is said to be an L–R type fuzzy number [11], if
8  
< L mx ; x 6 m; a > 0;
lM ðxÞ ¼ a 
: R xmb
; x P m; b > 0;

where the symmetric non-increasing function L : [0, 1] # [0, 1] be the left shape function, that L(0) = 1. Nat-
urally, a right shape function R(Æ) is similarly defined as L(Æ).
Each relation on real numbers can be extended on fuzzy numbers directly, employing Zadeh’s extension
principle [36], which allows to define a fuzzy set Be with respect to each function f : X # Y, whose membership
function be defined as follows:
8
< sup lA~ ðxÞ; f 1 ðyÞ 6¼ /;
lB~ ðyÞ ¼ l e ðyÞ ¼ y¼f ðxÞ
f ðAÞ :
0; f 1 ðyÞ ¼ /.
According to the above axiom, the binary operation w 2 {+, , ·, } on Rn can be extended to the binary
~ on fuzzy numbers M
operation H e and Ne with the membership functions l ðxÞ and l ðxÞ, as follows:
e e M N
l e ~ e ðzÞ ¼ sup minðl e ðxÞ; le ðyÞÞ.
M HN z¼xHy M N

To define the inequality relation between two fuzzy numbers, a lot of methods were proposed (see Wang and
Kerre [33,34] for a review). In this article, a natural extension of inequality relation on real numbers into fuzzy
numbers, by employing T-norms and T-conorms, is used [16,18].
Definition 2.1. The class of functions T : [0, 1]2 ! [0, 1] and S : [0, 1]2 ! [0, 1] that are commutative,
associative, non-decreasing in every variable and satisfy the following boundary conditions:
T ða; 1Þ ¼ a for all a 2 ½0; 1
and
Sða; 0Þ ¼ a for all a 2 ½0; 1;
are called the triangular norms (T-norms) and triangular conorms (T-conorms), respectively.
The most frequent examples of T-norms are defined by TM(a, b) = min{a, b} and TP(a, b) = a · b.
Note that for each T-norm T, the function T* : [0, 1]2 ! [0, 1] defined for all a, b 2 [0, 1] by
T*(a, b) = 1  T(1  a, 1  b) is a T-conorm. Moreover, T-conorm T* is called dual of t-norm T. For example
T-conorm S(a, b) = max{a, b} is dual of T-norm T(a, b) = min{a, b}. Similarly, if S be a T-conorm, then
S* : [0, 1]2 ! [0, 1] defined for all a, b 2 [0, 1] by S*(a, b) = 1  S(1  a, 1  b) is a T-norm and it is dual of
T-conorm S.
Definition 2.2. Let X, Y be non-empty sets, T and S be a T-norm and T-conorm, respectively. Let P be a
binary relation on X · Y. Then two fuzzy extended relations PfT and PfS may be defined for all fuzzy sets A,
e Be
 S.M. Hashemi et al. / Applied Mathematics and Computation 179 (2006) 506–522 509

e 2 FðX Þ and B
that A e 2 FðY Þ with the membership functions l ðÞ, l ðÞ, respectively, with the following
PeT PeS
statements:
e BÞ
l eT ð A; e ¼ supfT ðlP ðx; yÞ; T ðlA~ ðxÞ; lB~ ðyÞÞÞjx 2 X ; y 2 Y g
P

and
e BÞ
l e ð A; e ¼ inffSðlP ðx; yÞ; Sð1  lA~ ðxÞ; 1  lB~ ðyÞÞÞjx 2 X ; y 2 Y g;
PS

where sup(/) = 0 and inf(/) = 1. Usually, PfT and PfS are called T-fuzzy extension and S-fuzzy extension of
relation P. Moreover, with respect to each of them, say Pe , a new relation Pfd may be defined as follows, which
is called dual fuzzy extension of P:
lP~ d ðA; BÞ ¼ 1  lP~ ðB; AÞ;
where A; B 2 FðX Þ.
e B
For example, by T-norm min, the T-fuzzy extension of 6 on real numbers for two fuzzy numbers A, e may
be obtained by
e BÞ
l6~ T ð A; e b 2 Bg.
e ¼ supfminðl6 ða; bÞ; minðlA~ ðaÞ; lB~ ðbÞÞÞja 2 A; e
e and b 2 B
If there exist some a 2 A e that a 6 b, the above expression simplifies as follows:
e BÞ
l6~ T ð A; e b2B
e ¼ supfminðlA~ ðaÞ; lB~ ðbÞÞja 2 A; e and a 6 bg.

Also by letting S = max, we have,

e BÞ
l6~ S ð A; e b 2 Bg.
e ¼ inffmaxðl6 ða; bÞ; maxð1  lA~ ðaÞ; 1  lB~ ðbÞÞÞja 2 A; e

e and b 2 B
Let there exist some a 2 A e that a P b, so we can get

e BÞ
l6~ S ð A; e b2B
e ¼ inffmaxð1  lA~ ðaÞ; 1  lB~ ðbÞÞja 2 A; e and a P bg.

It is easy to show that

e BÞ
l6~ T ð A; e ¼ 1  l6~ ð B; e
e AÞ.
S

~ T and P
This means 6 ~ S are mutually dual of another. A general form of this result may be presented as
follows:
Proposition 2.3 (see e.g. Inuiguchi et al. [16,18]). Let X be a set, T be a t-norm and S be a t-conorm dual of T.
Moreover, let P be a valued relation on X. Then for the dual fuzzy extensions of P it holds

(i) lðP~ T Þd ðA; BÞ ¼ lP~ S ðA; BÞ,

(ii) l e d ðA; BÞ ¼ lP~ T ðA; BÞ,
ðP S Þ

where ð Pe Þ be dual of fuzzy relation Pe :

d

Proposition 2.4 [18]. Let A; B 2 FðX Þ be normal and compact fuzzy sets, with T = min, S = max and a 2 (0, 1),
we have,

(i) l6~ T ðA; BÞ P a iff inf[A]a 6 sup[B]a,

(ii) l6~ S ðA; BÞ P a iff sup[A]1a 6 inf[B]1a.
(see Fig. 1).
Similarly we can get
(iii) lP~ T ðA; BÞ P a iff sup[A]a P inf[B]a,
(iv) lP~ S ðA; BÞ P a iff inf[A]1a P sup[B]1a.
510 S.M. Hashemi et al. / Applied Mathematics and Computation 179 (2006) 506–522

e BÞ
Fig. 1. In this case l6S~ ð A; e P 1  a, whenever l S~ ð B; e 6 1  a.
e AÞ
6

3. Fuzzy linear and goal programming

In this section, we review on some useful subject about fuzzy goal programming and prove some important
results on it. First consider the following definitions:
Definition 3.1. Let af ~
ij , cej and bi be fuzzy numbers with l aeij ðÞ, l e ðÞ and l e ðÞ as their membership functions.
cj bi
Then the fuzzy linear programming may be outlined as follows:
g
Maximize g ¼ ce1 x1 þ~    þ~cen xn ;
fðxÞ
s.t. gig
ðxÞ ¼ af i1 x1 þ ~ain xn Pei b~i ;
~    þf i ¼ 1; . . . ; m; ð1Þ
xj P 0; j ¼ 1; . . . .,n;
~
where, Pei 2 f6 ; 6S~g, for i = 1, . . .. , m.
T

g and gg
Note that fðxÞ i ðxÞ are parametric fuzzy sets with respect to crisp vector x, which their membership
functions may be defined based on the extension principle for some fixed x, as follows:
n
l fðzÞ ¼ sup minfl e
cj
ðcj Þjc1 x1 þ    þ cn xn ¼ zg;
fðxÞ ðc1 ;...;cn Þ2Rn j¼1
n
l f ðtÞ ¼ sup minfl aeij ðaij Þjai1 x1 þ    þ ain xn ¼ tg;
gi ðxÞ ða ;...;a Þ2Rn j¼1
i1 in

where sup(;) = 0.
So we can define the fuzzy set of feasible solutions as follows.
Definition 3.2. Let T be a t-norm. A fuzzy set X~ , whose membership function l e ðÞ is defined for all x 2 Rn by
X
(
T fl e ðg~i ðxÞ; b~i Þji ¼ 1; . . . ; mg if xj P 0
le ðxÞ ¼ Pi
X
0 o.w.
e  is
is called a feasible solution set of the fuzzy linear programming problem. For a 2 (0, 1], a vector x 2 ½ X a
called the a-feasible solution.

Property 3.3. Let faij and b~i be fuzzy numbers and denote ½f
aij a ¼ ½aLij ðaÞ; aRij ðaÞ, and ½b~i a ¼ ½bLi ðaÞ; bRi ðaÞ, more-
over let xj P 0 and T = min and S = max, then we have for each a 2 (0, 1),
Pn
(i) l6~T ð gig
ðxÞ; b~i Þ P a, iff j¼1 aLij ðaÞxj 6 bRi ðaÞ; i ¼ 1; . . . ; m,
Pn
(ii) l6~S ð gig
ðxÞ; b~i Þ P a, iff j¼1 aRij ð1  aÞxj 6 bLi ð1  aÞ; i ¼ 1; . . . ; m,
Pn
(iii) lP~T ð gig
ðxÞ; b~i Þ P a, iff j¼1 aRij ðaÞxj P bLi ðaÞ; i ¼ 1; . . . ; m,
and Pn
(iv) lP~S ð gig
ðxÞ; b~i Þ P a, iff j¼1 aLij ð1  aÞxj P bRi ð1  aÞ; i ¼ 1; . . . ; m.
 S.M. Hashemi et al. / Applied Mathematics and Computation 179 (2006) 506–522 511

Proof. Based on Proposition 2.4, the proof is straightforward. h

Definition 3.4 (Fuzzy goal). Let f

P 0 be a fuzzy relation. d~ 2 FðRÞ is called a fuzzy goal for fuzzy linear pro-
gramming if
ce1 x1 þ~    þ~cen xn f ~
P 0 d.
Note that, for a maximization problem, P f0 should be selected from fP~T ; P
~ S g, while for minimization prob-
P 0 must be chosen in f6~T ; 6~S g. Moreover, ~
lem f h 2 FðRÞ is called dual fuzzy goal of this problem, if

b~1 y 1 þ~    þ~b~m y m Pfd0 ~

h;
where, Pfd be dual of
0
f
P0.

f with the membership function l ðÞ

Definition 3.5 (Satisficing solution1). Let T be a T-norm. A fuzzy set X
n Xe
defined for all x 2 R with
~ l ðxÞÞ
lX~ ðxÞ ¼ T ðl e ð ce1 x1 þ~    þ~cen xn ; dÞ;
P0 e X

is called a satisficing solution set of FLP, where le ðxÞ be the membership function of the feasible solution set.
f  is Xcalled the a-satisficing solution of FLP problem. A vector
Moreover, for a 2 (0, 1] a vector x 2 ½ X a
f Þ is called the max-satisficing solution. Usually, we want to find
x 2 Rn with the property l e ðx Þ ¼ Hgtð X
X
the max-satisficing solutions.

~ and l ðxÞ ¼ l ðf
Proposition 3.6. [18, p. 170] Let l e ðxÞ ¼ l e ð ce1 x1 þ~    þ~cen xn ; dÞ ~ þf
ai1 x1 þ ~ain xn ; b~i Þ for
X0 P0 ei
X Pei
i = 1, ... , m. A vector ðk ;x Þ 2 Rnþ1 is an optimal solution of the optimization problem
max k;
s.t. l e ðxÞ P k for i ¼ 0; 1; . . . ; m;
Xi
xj P 0 for j ¼ 1; . . . ; n.
if and only if x 2 Rn be a max-satisficing solution of FLP problem (1).

Remark 3.7. The above proposition shows a direct method finding max-satisfying solutions. Suppose all of
the parameters be L–R type fuzzy numbers. Firstly, if decision maker has optimistical personality, he(she) uses
T-fuzzy extension (T = min) for interpreting ordering relation. i.e. Pei ¼ 6~T . In this case we can write,
! !
X
n Xn
l e ðxÞ ¼ lP~T cej xj ; d~ P k and l e ðxÞ ¼ l6~T aij xj ; b~i P k;
f
X0 Xi
j¼1 j¼1

if and only if,

Xn X
n
cRj ðkÞxj P d L ðkÞ and aLij ðkÞxj 6 bRi ðkÞ;
j¼1 j¼1

so we should solve the following problem:

max k;
Pn
s.t. cRj ðkÞxj P d L ðkÞ;
j¼1
P
n
aLij ðkÞxj 6 bRi ðkÞ for i ¼ 1; . . . ; m;
j¼1

xj P 0 for j ¼ 1; . . . ; n.

1
Satisfying solution, this slang has imitated from Inuiguchi et al. [18].
512 S.M. Hashemi et al. / Applied Mathematics and Computation 179 (2006) 506–522

Let (aij, mij, nij), (cj, aj, bj) and (bi, ci, di) be denoted (i, j)th, jth and ith element of coefficient matrix, cost and right
hand side vector of the original problem, respectively, thus we can rewrite the above problem as follows:

max k;
Pn
s.t. ðcj þ R1 ðkÞbj Þxj P d L ðkÞ;
j¼1

P
n
ðaij  L1 ðkÞmij Þxj 6 ðbi þ R1 ðkÞdi Þ for i ¼ 1; . . . ; m;
j¼1

xj P 0 for j ¼ 1; . . . ; n.

Unfortunately, this model has nonlinear constraints. The following simple heuristic based on bisection ap-
proach, may be used, finding max-satisficing solutions:

Step 1. Let kup = 1 and klow = 0, and select  > 0 as stopping criteria.
Step 2. If (kup  klow) > e go to step 3, else go to step 4.
k þk
Step 3. If the above problem respect to the k ¼ up 2 low has the feasible solution x, set klow = k. Otherwise set
kup = k. In both case return to step 2.
Step 4. Set x* = x and k* = klow as max-satisficing solutions and stop.

Similarly, we can find max-satisficing solutions for pessimistic viewpoint, employing S-fuzzy extension for
ordering relation, from the following problem which use Pei ¼ 6~S by S = max:
max k;
Pn
s.t. ðcj  L1 ðkÞaj Þxj P d R ðkÞ;
j¼1

P
n
ðaij þ R1 ðkÞnij Þxj 6 ðbi  L1 ðkÞci Þ; for i ¼ 1; . . . ; m;
j¼1

xj P 0; for j ¼ 1; . . . ; n.

Example 3.8. Consider the following optimization problem:

max ð2; 1; 1Þx1 þ ð3; 1; 2Þx2 þ ð5; 1; 4Þx3 þ ð7; 2; 2Þx4 þ ð2; 1; 2Þx5 þ ð3; 2; 2Þx6 þ ð6; 5; 1Þx7 þ ð6; 5; 5Þx8 ;
s.t. ~
ð12; 2; 2Þx1 þ ð15; 5; 12Þx2 þ ð16; 6; 2Þx5 þ ð14; 1; 8Þx7 þ ð12; 6; 11Þx8 6ð135; 5; 32Þ;
~
ð12; 0; 0Þx2 þ ð14; 2; 1Þx3 þ ð15; 3; 2Þx4 þ ð14; 3; 2Þx5 þ ð17; 2; 1Þx7 6ð125; 2; 2Þ;
~
ð43; 2; 2Þx2 þ ð7; 2; 2Þx4 þ ð7; 2; 1Þx6 þ ð10; 0; 0Þx7 þ ð13; 1; 1Þx8 6ð232; 50; 5Þ;
x1 ; x2 ; . . . ; x8 P 0;

where each of the parameters are L–R fuzzy numbers by L(x) = R(x) = 1  x. Let us want to get N units ben-
~
efit. It may be interpreted as the following fuzzy goal d:
1000
ld~ ðtÞ ¼  .
1000 þ exp  12 ðh  N Þ

In Tables 1 and 2, the results by several N for optimistic and pessimistic personalities, are represented, respec-
tively. In these tests we use e = 0.0001. This is interesting to note that, with increasing in benefit, the optimal
level of certainty for optimistic sense be increased, while for pessimistic sense be decreased.
To define dual problems associated with each FLP, we may use a fix T-norm or S-conorm, for simplicity.
Thus we can define
 S.M. Hashemi et al. / Applied Mathematics and Computation 179 (2006) 506–522 513

Table 1
The results of Example 3.8, for optimistic personality
N x1 x2 x3 x4 x5 x6 x7 x8 k*
60 2.7769 5.6367 0.0000 0.0000 4.8512 0.0000 0.0000 0.0000 0.6378
70 4.7206 5.7352 0.0000 0.0000 5.1109 0.0000 0.0007 0.0000 0.8876
80 5.8639 4.2737 0.0000 0.0000 0.0000 2.2600 5.0476 0.0000 0.9999
200 5.7207 0.6893 0.0000 0.0000 0.0000 25.9164 7.9151 0.0000 0.9999
250 8.8220 0.0000 0.0000 2.5788 0.0000 32.7009 6.0597 0.0000 0.9999
270 11.1465 0.0000 0.0000 4.4946 0.0000 34.3611 4.2716 0.0000 0.9999
275 – – – – – – – – –

Table 2
The results of Example 3.8, for pessimistic personality
N x1 x2 x3 x4 x5 x6 x7 x8 k*
60 9.1343 0.0000 8.0843 0.0000 0.0000 22.6305 0.0965 0.00002 0.9999
80 9.4207 0.0000 8.2539 0.0000 0.0000 23.4820 0.0006 0.0000 0.9202
100 9.7768 0.0000 8.3942 0.0000 0.0000 25.3907 0.0000 0.0003 0.7197
150 10.6641 0.0000 8.7253 0.0000 0.0000 30.1005 0.0000 0.0029 0.2654
190 11.2321 0.0000 8.9242 0.0000 0.0000 33.0668 0.0000 0.0051 0.0056
200 – – – – – – – – –

Definition 3.9. The dual fuzzy linear programming of model (1), is outlined as follows:
g
Minimize w~ ¼ b~1 y 1 þ~    þ~b~m y m ;
s.t. af y þ~    þ~af y Pfd ce ;
1j 1 mj m j j ¼ 1; . . . ; n;
y i P 0;
f
where P is the dual of Pe ¼ Pei , for i = 1, . . . , m.
d

For example, the dual problem of

g
Maximize g ¼ ce1 x1 þ~    þ~cen xn ;
fðxÞ
s.t. af x þ~    þf
~a x 6 fT b~ ; i ¼ 1; . . . ; m; ð2Þ
i1 1 in n i

xj P 0;
is
g
Minimize w~ ¼ b~1 y 1 þ~    þ~b~m y m ;
s.t. af1j y 1 þ mj y m g
~    þ~af PS cej ; j ¼ 1; . . . ; n; ð3Þ
y i P 0.
Another similar example with implementing S-fuzzy extension for primal is outlined as follows:
g
Maximize g ¼ ce1 x1 þ~    þ~cen xn ;
fðxÞ
s.t. af ~    þf
i1 x1 þ
fS b~i ;
~ain xn 6 i ¼ 1; . . . ; m; ð4Þ
xj P 0;
which its dual may be write as follows:
g
Minimize w~ ¼ b~1 y 1 þ~    þ~b~m y m ;
af ~    þ~af gT e ; ð5Þ
s.t. 1j y 1 þ mj y m P c j j ¼ 1; . . . ; n;
y i P 0:
514 S.M. Hashemi et al. / Applied Mathematics and Computation 179 (2006) 506–522

Note that in the first example, primal (model (2)) be as lenient as dual problem of second example (model (5)),
conversely models (3) and (4) are more severe than others.
Definition 3.10. We say a model is lenient or with optimistic viewpoint, if and only if it is implemented with
T-fuzzy extension. Conversely, a model is severe or based on pessimistic viewpoint, if it is implemented with
S-fuzzy extension (see Fig. 1).

Definition 3.11. Fuzzy goals d~ and ~h with the membership function ld~ ðÞ and l~h ðÞ are called proper goals for
couple problems (2) and (3), if the following constraints are satisfied:

• ce1 x1 þ~    þ~cen xn Pe d,
~ where Pe 2 fPT ; PS g,
• ~ ~ f
b1 y 1 þ~    þ~bm y m P ~d
h, where, Pfd 2 f6T ; 6S g,
• ld~ ðÞ and l~h ðÞ be upper semi-continuous,
• ld~ ðÞ be strictly increasing and l~h ðÞ be strictly decreasing,
• limt!1 ld~ ðtÞ ¼ limt!þ1 l~h ðtÞ ¼ 0.

aij and b~i be crisp real number, 6~T and P

When cej , f ~ S coincide with 6 and P, respectively, then FLP (2) and
Dual FLP (3), transform to classic primal–dual couple of LP problems. In a crisp manner, some interesting
relations among the optimal solutions of P and D are revealed, which are known as dual properties (see
e.g. Bazaraa et al. [2]). Albeit, in fuzzy case, the results are not desirable. That is, the obtained results are
not equivalent to the same versions in crisp sense, however, Inuiguchi et al. [18, p. 172] proved this alternative
property for fuzzy goal programming.
Proposition 3.12 (A simplified version). Let cej , af ~
ij and bi be fuzzy numbers for each i = 1, . . . , m, j = 1, . . . , n.
~ ~
Moreover, suppose d; h 2 F ðRÞ be proper goals for model (2) and (3), respectively. Moreover suppose for each
a 2 (0, 1) both of the set M ¼ fx 2 ½ X f  jx P 0g and N ¼ fy 2 ½ Yf  jy P 0g be non-empty, where X f and Yf
a 1a
* *
are the satisficing solution sets for model (2) and (3). Then there exist x 2 M and y 2 N such that,
X n X m
cRj ðaÞxj ¼ bRi ðaÞy i .
j¼1 i¼1

The similar and important result may be presented as follows:

Proposition 3.13. With the same assumptions of the above proposition and for the proper goals d; ~ ~h 2 FðRÞ for
f 
models (4) and (5), respectively, and for each a 2 (0, 1) if both of the set M ¼ fx 2 ½ X 1a jx P 0g and
N ¼ fy 2 ½ Yf a jy P 0g be nonempty, where X
f and Yf are the satisficing solution sets for model (4) and (5), then
* *
there exist x 2 M and y 2 N such that,
Xn X
m
cLj ðaÞxj ¼ bLi ðaÞy i .
j¼1 i¼1

Proof. As M, N 5 /, there exist some x P 0, such that,

~ P 1  a;
lP~S ð ce1 x1 þ~    þ~cen xn ; dÞ l6~S ð af ~    þ~af
i;1 x1 þ
~
i;n xn ; bi Þ P 1  a

and
l6~T ðb~1 y 1 þ~    þ~b~m y m ; ~
hÞ P a; lP~T ð af ~    þg
1;j y 1 þ ~am;j y m ; cej Þ P a;

so with Proposition 2.4 we get

X
n X
n
cLj ðaÞxj P d R ðaÞ; aRi;j ðaÞxj 6 bLi ðaÞ
j¼1 j¼1
 S.M. Hashemi et al. / Applied Mathematics and Computation 179 (2006) 506–522 515

and
X
m X
m
bLi ðaÞy i 6 hR ðaÞ; aRi;j ðaÞy i P cLj ðaÞ.
i¼1 i¼1

Let x*P 0 and y* P 0 be the optimal solutions of the following couple finite linear programming,
respectively:
Maximize ðcL ðaÞÞt x;
s.t. AR ðaÞx 6 bL ðaÞ; ð6Þ
xj P 0; j ¼ 1; . . . ; n;
t
Minimize ðbL ðaÞÞ y;
t
s.t. ðAR ðaÞÞ y P cL ðaÞ; ð7Þ
y i P 0; i ¼ 1; . . . ; m;
where AR ðaÞ ¼ ðaRij ðaÞÞi¼1;...;m;j¼1;...;n , bL ðaÞ ¼ ðbLi ðaÞÞi¼1;...;m and cL ðaÞ ¼ ðcLj ðaÞÞj¼1;...;n . Since M and N be closed
sets, x* 2 M and y* 2 N. But model (7) is dual of model (6), with the strong duality theorem [2] the result
is obtained. h

4. Complementary slackness conditions

aij , cej and b~i be fuzzy numbers and d~ and ~

Let f h be proper goal for model (2) and (3), respectively, which are
satisfied in the above proposition. If x 2 ½ X e   and y 2 ½Y~  
a 1a for fixed a 2 (0, 1], then we have

~ ~ ~ ~ain xn ; b~i Þ P a;
ai1 x1 þ~    þf
e T ð ce1 x1 þ    þ cen xn ; dÞ P a;
lP l eT ðf
6

l e ðb~1 y 1 þ~    þ~b~m y m ; ~
hÞ P 1  a; e ð af
lP ~    þ~af
1j y 1 þ ej Þ P 1  a.
mj y m ; c
6S S

So by Proposition 2.4 we get,

Xn X
n
cRj ðaÞxj P d L ðaÞ; aLij ðaÞxj 6 bRi ðaÞ;
j¼1 j¼1
X
m X
m
bRi ðaÞy i 6 hL ðaÞ; aLij ðaÞy i P cRj ðaÞ.
i¼1 i¼1

From Proposition 3.12, there exist some x*,R and y*,R close to x and y, i.e. x, x*,R 2 [X*]a, and y, y*,R 2 [Y*]1a,
such that,
X n X
m
cRj ðaÞx;R
j ¼ bRi ðaÞy ;R
i .
j¼1 i¼1

Let (i, j)th element of matrix AL(a) be aLij ðaÞ. Moreover, let bR(a) be a m vector that its ith row be bRi ðaÞ and
cR(a) be a n vector that its jth column be cRj ðaÞ. Thus we have,
AL ðaÞx 6 bR ðaÞ and ðAL ðaÞÞt y P cR ðaÞ
or for some vector SP P 0 and SD P 0, we have,
t
AL ðaÞx þ S P ¼ bR ðaÞ and ðAL ðaÞÞ y  S D ¼ cR ðaÞ;
since, x P 0 and y P 0 we can get,
t
y t AL ðaÞx þ y t S P ¼ y t bR ðaÞ and y t AL ðaÞx  S tD x ¼ ðcR ðaÞÞ x.
So
t
y t S P þ S tD x ¼ y t bR  ðcR Þ x.
516 S.M. Hashemi et al. / Applied Mathematics and Computation 179 (2006) 506–522

On the other hand, from the proof of Proposition 3.12 (see Inuiguchi et al. [18, p. 173]), x*,R and y*,R are the
optimal solutions of the following problems:
t
max ðcR ðaÞÞ x;
ð8Þ
s.t. AL ðaÞx 6 bR ðaÞ; x P 0;

and
t
min ðbR Þ y;
t ð9Þ
s.t. ðAL ðaÞÞ y P cR ðaÞ; y P 0.
From strong duality theorem in classic linear programming [2] or with Proposition 3.12, we have,
ðy ;R Þt bR ðaÞ  ðcR ðaÞÞt x;R ¼ 0;
so,
t
ðy ;R Þ S P þ S tD x;R ¼ 0.
Note that y*,R, SP, SD and x*,R are positive vectors, thus we must have,
ðy ;R Þt ðAL ðaÞx;R  bR ðaÞÞ ¼ 0 and ððAL ðaÞÞt  cR ðaÞÞt x;R ¼ 0. ð10Þ
So we could obtain complementary slackness conditions for fuzzy goal programming. Similarly based on the
proof of Proposition 3.13, we can easily get
t t t
ðy ;L Þ ðAR ðaÞx;L  bL ðaÞÞ ¼ 0 and ððAR ðaÞÞ  cL ðaÞÞ x;L ¼ 0. ð11Þ
where x*,Land y*,L
be the optimal solutions of models (6) and (7), and other notations are same to the nota-
tion of Proposition 3.13.
Totalization of these results can be summarized as follows:
Proposition 4.1. Let cej , af ~ ~ ~
ij and bi be fuzzy numbers for each i = 1, . . . , m, j = 1, . . . , n and d; h 2 F ðRÞ be proper
goals for model (2) and (3), respectively. Suppose all of the set M 1 ¼ fx 2 ½ X f  jx P 0g, M 2 ¼
a
fx 2 ½ ðXgÞ  jx P 0g, N ¼ fy 2 ½ Yf  jy P 0g and N ¼ fy 2 ½ ðYg
 0
1a 1 1a
 0
2Þ  jy P 0g be non-empty, where X
a
f ,
Yf , ðXgÞ and ðYg
 0  0
Þ be the satisficing solution sets for model (8), (9), (6) and (7). Then there exist x*,R 2 M1,
y*,R 2 N1, x*,L 2 M2 and y*,L 2 N2, subject to,
ðy ;R Þt ðAL ðaÞx;R  bR ðaÞÞ ¼ 0 and ððAL ðaÞÞt  cR ðaÞÞt x;R ¼ 0
and also
t t t
ðy ;L Þ ðAR ðaÞx;L  bL ðaÞÞ ¼ 0 and ððAR ðaÞÞ  cL ðaÞÞ x;L ¼ 0;
where all of the notations are explained in the above discussion.
This important result, permit us to use interior point algorithms for FGP, which are the best polynomial-
time schemes for large scale linear programming.

5. Interior point algorithm

Interior point methods were first described by Dikin [10] in the mid 1960s and current interest in them
started with Karmarkar’s algorithm in the mid 1980s [20]. As the name suggests, these algorithms generate
a sequence of iterates which moves through the relative interior of the feasible region, in contrast to the Sim-
plex method, where each iterate is an extreme point. Many interior point methods have polynomial complex-
ity, whereas every known variant of the Simplex methods can take an exponential number of iterations in the
worst case. Computationally, interior point methods usually require far less time than their worst-case
bounds, and they appear to be superior to the Simplex method, at least for problems with a large number
of constraints and variables [15,22,27,35]. The Dual Affine Scaling (DAS) algorithm was one of the first
 S.M. Hashemi et al. / Applied Mathematics and Computation 179 (2006) 506–522 517

interior point methods to be shown to be competitive computationally with the Simplex method [1,27]. The
DAS algorithm solves,
max ct x;
s.t. Ax ¼ b; xP0

indirectly, by solving its dual,

min bt y;
s.t. At y  s ¼ c; s P 0.
The logarithmic barrier function for this problem is,
bt y X m
/ðy; lÞ ¼ þ Lnðati y  ci Þ;
l i¼1

where ai is the ith row of At and l be a parameter which converge to zero, associate with increasing iterations.
Note that minimizing / is equivalent with minimizing original dual problem (see e.g. [15] for details). It can
easily be verified based on the necessary and sufficient Karush–Kuhn–Tucher conditions [3], this problem re-
duces to
8
< Ax ¼ b;
>
At y  s ¼ c;
>
: t
s x ¼ l.
So we can solve this new system, employing any technique of numerical linear algebra [9,13], such as conjugate
gradient method [27], instead of optimizing on original problem, subject to l converges to zero. An algorith-
mic version of DAS may be summarized as follows.
The algorithm starts with an initial interior solution,
y 0 2 fyjs ¼ At y  c > 0g
and obtains iterate yk+1 from yk according to
1
y kþ1 ¼ y k  aðAD2k At Þ b;
where
Dk ¼ diagð1=sk1 ; . . . ; 1=skn Þ
and a is such that
skþ1 ¼ At y kþ1  c > 0;
i.e.
  
ski 
a ¼ c min  ðDsÞ < 0; i ¼ 1; . . . ; n ; 0 < c < 1.
ðDsÞi  i

It is proposed setting c = 0.95 (see Mitchell et al. [22]). In continuity, we solve FGP employing this approach.
Consider the following fuzzy linear programming:
max e
c x;
s.t. e 6
Ax e ~
b; ð12Þ
x P 0;
where proper goals d~ and ~h for primal and dual are given.
For interpreting of 6e we may use each of the extensions that are mentioned in Definition 2.2. In these
extensions, it is common and useful letting T = min and S = max for establishing optimization problems.
Note that, in these cases, with 6fT , we can obtain the wider feasible space in compare with the same space
518 S.M. Hashemi et al. / Applied Mathematics and Computation 179 (2006) 506–522

which create based on 6 fS ordering, because 6 fT (see Bazaraa et al. [2], for details about
fS is more severe than 6
feasible space and the role of inserting and deleting constraints in feasible set). Thus, if we use 6fT ordering we
f
can find a better solution, in compare with using 6S . So, we can find two solutions for model (12), which are
the ‘‘best solution’’ in smaller space, and ‘‘the developed-best solution’’ in wider space, with respect to employ-
ing 6~S and 6~T , respectively. Moreover, we may assert that the connective line between x*,L (be found with 6~S )
and x*,R (be found with 6~T ), include optimal solutions which may be derived with other extensions of ranking
relations. That is, if x*,L and x*,R be optimal solutions of model (12) associated with the optimal values v*,L
and v*,R, we can present kx*,L + (1  k)x*,R as optimal solutions of model (12), where k 2 [0, 1] (Liu and Kao
[21] implemented a similar idea for solving fuzzy transportation problems based on cuts of fuzzy parameters,
but they created an interval from optimal values of the objective function, in each iteration).
Thus the following scheme may be implement, finding satisficing solutions for FGP.
For the given fuzzy proper goals d~ and ~ h:

Step 1. Find ðxL ; S LP Þ and ðy L ; S LD Þ which satisfy in

8 R
> A ðaÞxL þ S LP ¼ bL ðaÞ;
<
t
ðAR ðaÞÞ y L  S LD ¼ cL ðaÞ; ð13Þ
>
: L t L
ðS D Þ x ¼ l;
where l ! 0, or equivalently, solve optimization models (6) and (7).
Step 2. Find ðxR ; S RP Þ and ðy R ; S RD Þ which satisfy in
8 L
>
> A ðaÞxR þ S RP ¼ bR ðaÞ;
<
t
ðAL ðaÞÞ y R  S RD ¼ cR ðaÞ; ð14Þ
>
>
: R t R
ðS D Þ x ¼ l;
where l ! 0, or equivalently, solve optimization models (8) and (9).
Step 3. If xL 2 M1 and yL 2 N1 and xR 2 M2 and yR 2 N2, then the found solutions are valid, and create con-
vex combination (x, y) = k(xL, y L) + (1  k)(xR, yR) as satisficing solution of FGP. Otherwise the
solutions are not satisficing solutions, which satisfy complementary slackness conditions, change a
and repeat algorithm.

Note that to check the conditions of step 3, we need to test the following constraints, because the other
conditions are satisfied automatically:
!
X
l T~
P cej xj ; d~ P a;
j¼1;...;n
!
X
lPS~ cej xj ; d~ P 1  a;
j¼1;...;n
!
X
lPT~ cej xj ; ~
h P 1  a;
j¼1;...;n
!
X
lPS~ cej xj ; d~ P a.
j¼1;...;n

This scheme can obtain the most optimistic solution x*,R and the most pessimistic solution x*,L and generalize
each convex combination of x*,L and x*,R as a satisficing solution. The validation of this algorithm may be
obtained, if we review the following properties:
Property 5.1. Let x1 and x2 be two feasible solutions of linear programming, then for each k 2 [0, 1], the vector
xk = kx1 + (1  k)x2 is a feasible solution of linear programming, too. Moreover, if v1 and v2 be the optimal values
 S.M. Hashemi et al. / Applied Mathematics and Computation 179 (2006) 506–522 519

of the objective function respect to x1 and x2, respectively, then vk = kv1 + (1  k)v2 is the optimal value of the
objective function respect to xk.

Proposition 5.2. Let all of the fuzzy quantities in model (2) and (4) be fuzzy numbers. For T-norm T = min and
T-conorm S = max, we have,
f ðx;L Þ 6 f ðx;R Þ;
where x*,L and x*,R, be the optimal solution of model (4) and (2), respectively.

Proof. Note that the feasible solution set of models (2) and (4),
(  )
 X
 fT ~
X 1 ¼ x P 0 f
a x 6 bi ; i ¼ 1; . . . ; m
j¼1;...;n ij j

and
(  )
 X
 f b~ ; i ¼ 1; . . . ; m
X2 ¼ x P 0 f
a x6
j¼1;...;n ij j S i

are satisfied,
X 2  X 1;
because for each a 2 [0, 1], if
!
X
l6~ S
aij xj ; b~i P a;
f
j¼1;...;n

then with Proposition 2.4, we get,

" #
X
sup f
aij xj 6 inf½b~i 1a ;
j¼1;...;n 1a

but as fuzzy number properties,

" # " #
X X
inf f
aij xj 6 sup f
aij xj
j¼1;...;n a j¼1;...;n 1a

and
inf½b~i 1a 6 sup½b~i a ;

thus,
" #
X
inf f
aij xj 6 sup½b~i a ;
j¼1;...;n a
P ~ P a. Also cL(a) 6 cR(a). Thus we have
or equivalently, l6~T ð j¼1;...;n f
aij xj ; bi Þ
f ðx;L Þ 6 f ðx;R Þ. 

e B
~ such that for each A,
Corollary 5.3. Fix k 2 (0, 1). Let one extend 6, e 2 FðRÞ,

e BÞ
l6~S ð A; e BÞ
e 6 l6~ ð A; e BÞ.
e 6 l ~T ð A; e
6

Moreover suppose the feasible solution xk = kx*,L + (1  k)x*,R be optimal solution with respect to 6.
~ The follow-
ing statement is true:
f ðx;L Þ 6 f ðkx;L þ ð1  kÞx;R Þ 6 f ðx;R Þ.
520 S.M. Hashemi et al. / Applied Mathematics and Computation 179 (2006) 506–522

See e.g. [16,18] for several approaches on fuzzy extensions of relations. Finally, note that the parameter a be
chosen such that M1, M2, N1 and N2 in Proposition 4.1 be non-empty.

Example 5.4. Consider the model of Example 3.8. Moreover, suppose each of the parameters be L–R type
fuzzy numbers by L(x) = R(x) = 1  x. In the first test, we are going to get 100 units profit. We may present
this object by two primal and dual fuzzy objects d~ and ~h, as follows:
1000
ld~ ðtÞ ¼  ;
1000 þ exp  12 ðt  100Þ
2000
l~h ðtÞ ¼  .
2100 þ exp 12 ðt  100Þ
These functions are important and useful functions in many applications, which are known as sigmoid func-
tions (see Fig. 2). Easily, we can see d~ and ~
h as proper goals. Let a = 0.6. In this case the optimal solution
which is obtained from proposed algorithm, results as
" #
X
inf cLj xLj ¼ 113:4792
j¼1;...;n 1a

but,
sup½h1a ¼ 115:9449;
so,
" #
X
inf cLj xLj j sup½h1a ;
j¼1;...;n 1a

or equivalently,
!
X
lP~S cej xj ; ~
h ja;
j¼1;...;n

thus the found optimal solutions are not valid and there exist no satisficing solution for problem with this level
of certainty, which satisfy complementary slackness conditions. Now let a = 0.7. In this case the optimal solu-
tions are satisfying the constraints,

Fig. 2. The membership functions of primal and dual goals which are sigmoid.
 S.M. Hashemi et al. / Applied Mathematics and Computation 179 (2006) 506–522 521
!
X
lP~T cej xj ; d~ P a;
j¼1;...;n
!
X
lP~S cej xj ; d~ P 1  a;
j¼1;...;n
!
X
lP~T cej xj ; ~
h P 1  a;
j¼1;...;n
!
X
lP~S cej xj ; d~ Pa
j¼1;...;n

or equivalently, M1, M2, N1 and N2 are non-empty, thus the found optimal solutions
xL ¼ ð9:8134; 0:0000; 8:4082; 0:0000; 0:0000; 25:5844; 0:0000; 0:0000Þ
and
xR ¼ ð14:8491; 0:0000; 10:0317; 0:0000; 0:0000; 42:0536; 0:0000; 0:0000Þ;
associate with the optimal values vL = 89.8476 and vR = 303.3758 are valid and they are satisficing solutions
for the original problem. Note that the goals are satisfied in fuzzy sense. Now we can define the set of convex
combination of xL and xR as the satisficing solution of problem.
In another test, let a = 0.9, almost similarly, vL = 72.7079 and vR = 354.2619 as valid optimal values are
obtained which are worse than the pessimistic state and better than the optimistic state of first test. This means
that, for fixed proper fuzzy goals d~ and ~h when the feasible solutions satisfy constraints, with increasing level
of a, we can obtain the better solutions, if we are optimistic.

6. Conclusion and future directions

Goal programming (GP) is a useful technique in operational research and decision theory, which permit us
to find solutions which fulfill some goals. In this article, a fuzzy version of GP, (FGP) was quantified and some
results from classic linear programming is generalized on it. Especially, complementary slackness conditions,
which are the base for almost every optimization technique, were derived. Also, based on two lenient and
~ two optimistic and pessimistic solutions for FGP, are obtained, employing complemen-
severe extensions of 6,
tary slackness conditions. Finally, a convex combination of these solutions is presented as satisficing solutions
of FGP. It may be useful in practical decision making problems and other scope of optimization. Also, interior
point algorithms as a sub-procedure is implemented in our proposed schemes. Extending this approach for
other ranking extensions and finding the membership function of presented satisficing solution, left to next
works.

Acknowledgement

We would like to acknowledge the helpful discussions with Dr. Ebrahim Nasrabadi (Faculty of Mathemat-
ics and Computer Sciences, Amirkabir University of Technology, Tehran, Iran).

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