Multiobjective optimization under uncertainty: A multiobjective robust (relative) regret approach

Consider a multiobjective decision problem with uncertainty in the objective functions, given as a set of scenarios. In the single-criterion case, robust optimization methodology helps to identify solutions which remain feasible and of good quality for all possible scenarios. A well-known alternative method in the single-objective case is to compare possible decisions under uncertainty with the optimal decision with the benefit of hindsight, i.e. to minimize the (possibly scaled) regret of not having chosen the optimal decision. In this contribution, we extend the concept of regret from the single-objective case to the multiobjective setting and introduce a proper definition of multivariate (robust) (relative) regret. In contrast to the few existing ideas that mix scalarization and optimization, we clearly separate the modelling of multiobjective (robust) regret from its numerical solution. Moreover, our approach is not limited to a finite uncertainty set or interval uncertainty and furthermore, computations or at least approximations remain tractable in several important special cases. We illustrate all approaches based on a biobjective shortest path problem under uncertainty. (c) 2021 The Authors. Published by Elsevier B.V. This is an open access article under the CC BY-NC-ND license ( http://creativecommons.org/licenses/by-nc-nd/4.0/ )

Automated summary

The article explores robust optimization methods and extends the concept of regret from single-objective to multiobjective decision problems, providing a proper definition of multivariate regret. The approach separates the modeling of multiobjective regret from its numerical solution, allowing for tractable computations in various scenarios.