Bicriterion Decision Making Under Uncertainty: An Interactive Approach

Uncertainty presents unique difficulties in optimization problems. Decision Makers (DMs) are faced with risky situations requiring analysis of multiple outcomes in each solution. Very few direct choice (interactive) methods are capable of addressing problems with probabilistic outcomes. We present a general algorithm which will allow for uncertainty. The method is appropriate for use in a multiple criteria framework with a discrete number of possible outcomes, but is explored and developed in the context of a bicriterion problem using a two stage mathematical programming model.