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MCDM Applications of Near Optimal Solutions in Dynamic Programming

100%
Trzaskalik T.
Multiple Criteria Decision Making
|
2015
|
vol. 10
166-184
EN
One of the methods of scalarization of a multi-criteria problem is the application of a quasi-hierarchy, determined by the decision maker. In discrete problems, to apply this method it is necessary to have an algorithm which generates the optimal solution and the consecutive solutions, contained within the tolerance interval determined by the decision maker. This paper presents algorithms generating the consecutive realizations for a multi-stage deterministic decision-making process as well as an algorithm generating the consecutive strategies for a multi-stage stochastic decision- making process. Algorithms using these solutions in a multi-criteria quasi-hierarchical process are also proposed.
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Solving Procedure for Multiobjective Dynamic Problem with Changeable Group Hierarchy of Stage Criteria Dependent on the Stage of the Process

100%
Trzaskalik T.
Multiple Criteria Decision Making
|
2016
|
vol. 11
168-186
EN
We consider multiobjective, multistage discrete dynamic decision processes. In this paper we propose an interactive procedure which allows to solve the problem of optimal control of such a process in the case when the decision maker has determined a group hierarchy of stage criteria. This hierarchy is changeable and depends on the stage of the process. The proposed algorithm is illustrated by a numerical example.
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Multiple Criteria Decision Making in the Valuation of Real Options

67%
Targiel K.
Multiple Criteria Decision Making
|
2013
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vol. 8
129-142
EN
Traditional project evaluation is based on discounted cash flow method (DCF) with Net Present Value (NPV) as the main measure. This approach sometimes leads to the abandonment of profitable projects, because the DCF method does not take into account the role of managerial flexibility. The Real Options Valuation (ROV) method takes into account future situations in the valuation, assuming that the project is properly managed. The Project Manager shall have the right to take action as appropriate. A widely used method for the valuation of real options is the binomial tree method (CRR), proposed by Cox, Ross and Rubinstein. It takes into account one state variable. In many real problems, however, many factors should be considered. This leads to a multi-criteria decision-making problem. This paper presents an extension of the CRR method for several state variables.
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