Interactive Fuzzy Programming Based on Simple Recourse Model for Two-level Stochastic Linear Programming Problems

Abstract

In this paper, we consider the optimization of hierarchical systems where two decision makers with different priority exist in stochastic environments. To be more specific, formulating them as two-level linear programming problems where right-hand constants in constraints are random variables, we reformulate them as two-level simple recourse problems. For these reformulated problems, we attempt to apply interactive fuzzy programming in order to derive satisfactory solutions for the decision maker at the upper level in consideration of balance between the satisfactory level to the decision maker at the upper level and that to the decision maker at the lower level.