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A stochastic method for robustness analysis in sorting problems

Tommi Tervonen, Jose Figueira, Risto Lahdelma, Juscelino Almeida Dias, Pekka Salminen, A stochastic method for robustness analysis in sorting problems. European Journal of Operational Research 192(1), 236–242, 2009.

Abstract:

ELECTRE TRI is a multiple criteria decision aiding sorting method with a history of successful real-life applications. In ELECTRE
TRI, values for certain parameters have to be provided. We propose a new method, SMAA-TRI, that is based on stochastic multicriteria
acceptability analysis (SMAA), for analyzing the stability of such parameters. The stability analysis can be used for deriving robust con-
clusions. SMAA-TRI allows ELECTRE TRI to be used with uncertain, arbitrarily distributed values for weights, the lambda cutting
level, and profiles. The method consists of analyzing finite spaces of arbitrarily distributed parameter values. Monte Carlo simulation
is applied in this in order to describe for each alternative the share of parameter values that have it assigned to different categories.
We show the real-life applicability by re-analyzing a case study in the field of risk assessment.

BibTeX entry:

@ARTICLE{jTeFiLaAlSa09a,
  title = {A stochastic method for robustness analysis in sorting problems},
  author = {Tervonen, Tommi and Figueira, Jose and Lahdelma, Risto and Almeida Dias, Juscelino and Salminen, Pekka},
  journal = {European Journal of Operational Research},
  volume = {192(1)},
  pages = {236–242},
  year = {2009},
  keywords = {MCDA; ELECTRE TRI; Robustness analysis; Monte Carlo simulation; Risk assessment},
}

Belongs to TUCS Research Unit(s): Algorithmics and Computational Intelligence Group (ACI)

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