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A Fuzzy Multicriteria Approach for the Trading Systems on the Forex Market

100%
Juszczuk P., Kruś L.
Multiple Criteria Decision Making
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2019
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vol. 14
29-43
EN
The paper relates to the trading systems supporting traders ma- king decision on the forex market. Typical trading systems using tech- nical analysis generate a buy or sell signal when the technical indicator crosses a given oversell or overbought levels. The paper extends the approach in which the above strict crisp conditions are replaced by fuzzy relations. The indicators are treated not independently as it is in the typical systems but jointly. Currency pairs are compared in the muliticriteria space in which each criterion is dened by a membership function referring to a given indicator. New formulations of the mem- bership functions for dierent indicators are proposed. General ideas of the algorithm generating non-dominated alternatives in the multi- criteria space are presented. The algorithm has been implemented in an experimental system. Computational results for dierent time win- dows using real-world data from the forex market are presented and discussed.
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On a Sequential Decision Process Where Offers Are Described by Two Traits

100%
Ramsey D. M.
Multiple Criteria Decision Making
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2015
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vol. 10
141-154
EN
This article presents a model of searching for some resource, e.g. a job, whose value depends on two quantitative traits. The decision maker observes offers in a random order and must accept precisely one offer. Recall of previously observed offers is not possible. It is assumed that the value of an offer is a linear function of these two traits, which come from a bivariate normal distribution. We consider the following four strategy sets: i) the decision on whether to accept an offer is based purely on the first trait, ii) any decision is only made after observing both traits, iii) after observing the first trait, the decision maker can either immediately accept, immediately reject or observe the second trait and then decide, iv) after observing the first trait, the decision maker can either immediately reject or observe the second trait and then decide. The goal of the decision maker is to maximize his expected reward, where the reward is equal to the value of the offer selected minus the search costs. The optimal strategy from each of these four sets is derived. An example is given.
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Ocena wyrobisk wybierkowych kopalni węgla kamiennego z uwzględnieniem nieporównywalność kryteriów

100%
Wolny M.
Studia Ekonomiczne
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2014
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vol. 206
111-121
PL
Głównym celem pracy jest przedstawienie możliwości uwzględniania nieporównywalności kryteriów w procedurze wielokryterialnego wspomagania decyzji z wykorzystaniem metody AHP. Praca dotyczy zastosowania metod wielokryterialnych do oceny projektów inwestycyjnych dotyczących wyrobiska wybierkowego w kopalni węgla kamiennego. Uwzględnienie nieporównywalności kryteriów związane jest z aspektami bezpieczeństwa pracy (występujących zagrożeń). Zagadnienia poruszone w pracy są konsekwencją analiz związanych z oceną w cyklu istnienia (życia) inwestycji oraz wykorzystania koncepcji dominacji ze względu na ryzyko do wspomagania decyzji przy nieporównywalności kryteriów.
EN
The main aim of this paper is to present the possibilities to take into consideration non-comparability criteria in the procedure of multi-criteria decision support using AHP method. The work concerns the application of multi-criteria methods for the evaluation of investment projects associated with excavation in hard coal mine. The inclusion of non-comparability criteria is associated with the safety aspects of work (existing threats). The issues dealt with in the work are a consequence of the investment life cycle analysis evaluation and the use of the concept of risk dominance for the decision support.
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Wybór portfela papierów wartościowych za pomocą metody AHP

100%
Pośpiech E.
Studia Ekonomiczne
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2014
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vol. 207
187-197
PL
W artykule rozważano zagadnienie budowy portfela papierów wartościowych na podstawie rankingów uzyskanych za pomocą wielokryterialnej metody AHP, która umożliwia ocenę wariantów decyzyjnych (spółek) przez pryzmat wielu kryteriów. Jako kryteria oceny spółek wykorzystano charakterystyki, takie jak stopa zwrotu, odchylenie standardowe stopy zwrotu, współczynnik β oraz współczynnik asymetrii stopy zwrotu. W rozważaniach wyznaczono rankingi dla różnych zestawów wag odzwierciedlających ważność kryteriów. Ponadto, wyznaczone portfele, do konstrukcji których zastosowano metodę wielokryterialną, porównano z klasycznym portfelem Markowitza.
EN
The article presents a practical application of the AHP method to select portfolios. The method is one of the multiple criteria decision making methods and it enables to compare considered objects for each criterion and creates a ranking of all the objects. Building a portfolio is a problem of selecting these objects - quoted companies, that have, for example, high return rate and low return rate standard deviation, but also other features like low β coefficient or high skewness coefficient - that is why all mentioned characteristics were considered as criteria. The multiple criteria rankings, built on the basis of the AHP method, can help to choose the best listed companies to the portfolio. To compare the profit rate of created this way portfolios, a classical portfolio based on Markowitz approach was also appointed.
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Evaluating the negotiation template with sipres – a fusion of the revised Simos’ procedure and the ZAPROS method

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Górecka D.
Multiple Criteria Decision Making
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2015
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vol. 10
48-64
EN
In a negotiation process, building a negotiation offer scoring system consistent with the preferences of the decision-maker is a very intricate task. A variety of methods can be used to develop such a negotiation support tool, e.g. SAW and TOPSIS, but they have several disadvantages. In this paper the issue of evaluating the negotiation template using a novel tool called SIPRES is discussed. The algorithm proposed employs the key notions of the revised Simos' procedure and ZAPROS method to elicit the negotiator's preferences over some reference solutions. On the one hand, it allows decision-makers to define their preferences in a simple and effortless way and provides a straightforward yet effective method for analyzing the trade-offs between the alternatives using selected reference alternatives only (the ZAPROS-like approach). On the other hand, the revised Simos' procedure applied in the method allows determining the cardinal scores for the alternatives. The scoring system obtained this way makes it possible to conduct a sophisticated symmetric and asymmetric negotiation analysis. An illustrative example presented in the paper concerns the European Union's multiannual financial framework negotiations.
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Structural Analysis of Problems in Public Relations

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Michnik J., Adamus-Matuszyńska A.
Multiple Criteria Decision Making
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2015
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vol. 10
105-123
EN
The literature on the activities of public relations (PR) is getting richer. Also, numerous empirical studies on the PR process, methods and techniques are conducted, as well as analyses on the effectiveness of PR and ethics in this field. There is a relatively small number of studies that examine decision-making processes by PR practitioners. Despite numerous discussions on the issue of decision-making, methods of decision making in public relations are not a subject of research and debate. Most decisions in this area are probably made unsystematically and in a very individual way. However, the introduction of effective methods, proven in other areas, which support decision making practice related to communication processes, can help to improve efficiency and effectiveness of the organization in the field of building relationships with the stakeholders. The authors show how the use of cognitive maps and the WINGS method can help PR consultants to choose a PR strategy in situations which can seriously jeopardize the organization's reputation.
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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
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2016
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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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Wielokryterialne harmonogramowanie projektu w przypadku rozmytych czasów trwania czynności

84%
Krzeszowska-Zakrzewska B.
Studia Ekonomiczne
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2015
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vol. 237
50-69
PL
W praktyce zarządzania projektami mamy do czynienia z niezwykłą dynamiką działań i warunków, które prowadzą do niepewności informacji i danych. Dlatego też stosowanie podejścia opartego na liczbach rozmytych do harmonogramowania projektu zdaje się być zasadne. W artykule tym podejście oparte na liczbach rozmytych zostanie zastosowane do problemu wielokryterialnego harmonogramowania projektu. Celem opracowania jest budowa wielokryterialnego modelu harmonogramowania projektu uwzględniającego dwa kryteria: minimalizacji czasu trwania projektu oraz maksymalizacji zdyskontowanych przepływów pieniężnych. Stosowanym parametrem rozmytym zadania będzie czas trwania czynności, który zostanie przedstawiony jako trapezowa liczba rozmyta. Zaproponowana zostanie adaptacja metody przeszukiwania z tabu celem rozwiązania tak postawionego problemu.
EN
Planning is one of the most important aspect in project management. Plan defines goals, activities and timeframe for project realization. To define project timeframe, project schedule needs to be prepared. In real life applications project managers have to deal with dynamic environment and uncertainty. In this situation deterministic approach for project planning brings a risk for project timely completion. This is the reason for using fuzzy numbers in project scheduling problem. In this paper fuzzy based approach was used for multiple criteria project scheduling problem. The purpose of this paper is to build fuzzy multiple criteria mathematical model with two objectives: project time minimization and NPV maximization. Activities duration will be presented as fuzzy numbers
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Evolutionary Multiobjective Optimization for Intensity Modulated Radiation Therapy

84%
Kaliszewski I., Miroforidis J.
Multiple Criteria Decision Making
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2015
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vol. 10
82-92
EN
As cancer diseases take nowadays a heavy toll on societies worldwide, extensive research is being conducted to provide more accurate diagnoses and more effective treatments. In particular, Multiobjective Optimization has turned out to be an appropriate and efficient framework for timely and accurate radiotherapy planning. In the paper, we sketch briefly the background of Multiobjective Optimization research to Intensity Modulated Radiation Therapy, and next we present a rudimentary formulation of the problem. We also present a generic methodology we developed for Multiple Criteria Decision Making, and we present preliminary results with it when applied to radiation treatment planning.
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O regule decyzyjnej wspierającej wielokryterialne poszukiwanie optymalnej strategii czystej w warunkach niepewności

84%
Gaspars-Wieloch H.
Studia Ekonomiczne
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2015
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vol. 248
42-61
PL
W pracy opisano propozycję nowego podejścia, które można wykorzystać w wielokryterialnym podejmowaniu decyzji w przypadku poszukiwania optymalnej strategii czystej w warunkach niepewności (decydent nie zna bądź nie zamierza skorzystać z informacji o prawdopodobieństwie wystąpienia poszczególnych stanów natury). Prezentowana reguła decyzyjna poprzedzona jest etapem prognostycznym, w ramach którego brane jest pod uwagę nastawienie decydenta do ryzyka (rozumianego jako możliwość uzyskania niekorzystnej wypłaty) mierzone współczynnikiem optymizmu. Etap ten służy do wyłonienia najbardziej „prawdopodobnego” (tj. odzwierciedlającego naturę decydenta) scenariusza bądź zbioru najbardziej „prawdopodobnych” scenariuszy i ma na celu zawężenie pierwotnej macierzy wypłat, na podstawie której wybierana jest najlepsza decyzja. Procedura odwołuje się do planowania scenariuszowego i do metody SF+AS (ang. Scenario Forecasting + Alternative Selection Method) przedstawionej w innym artykule i znajdującej zastosowanie w jednokryterialnych problemach decyzyjnych.
EN
The author describes a new approach which may be used in uncertain multicriteria decision making with scenario planning to searching an optimal pure strategy. The decision maker does not know the likelihood of particular scenarios. The decision rule is supported by a forecasting stage within which scenarios reflecting the decision maker’s attitude towards risk (understood as a possibility that some bad circumstances might happen) are selected. The nature of the decision maker is measured by the coefficient of optimism. Hence, the final strategy is chosen on the basis of a reduced aggregated payoff matrix. The procedure refers to SAW (Simple Additive Weighting Method) and to SF+AS method (Scenario Forecasting + Alternative Selection Method), presented in an other paper and devoted to one-criterion decision problems.
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Application of the Generalised Distance Measure to Location Selection During Order-Picking

84%
Dmytrów K.
Multiple Criteria Decision Making
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2018
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vol. 13
103-115
EN
When a shared storage system is used, the selection of locations from which products should be picked becomes a significant decision problem. Every storage location can be described using several criteria, such as: storage time, distance from the I/O point, degree of demand satisfaction, the number of other products to be picked near the analysed location, or others. Based on such criteria, a synthetic variable can be created to rank all these locations; the highest-ranking one is selected. Such a ranking is created using the Generalised Distance Measure (GDM); the selected locations and the picker’s route based on them are compared to the results obtained using the Taxonomic Measure of Location’s Attractiveness (TMAL). Both route length and picking time are compared. Also, the influence of the system of criteria weights within each method on the route length and the picking time is analysed using simulation methods.
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The Concept of Risk Dominance in MADM with No Inter-Criteria Information

84%
Wolny M.
Multiple Criteria Decision Making
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2015
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vol. 10
185-194
EN
This paper deals with the analysis of a multiple attribute decision making problem with no inter-criteria information. The problem is studied as a multiplayer, non-cooperative coordination game. Each equilibrium in the game corresponds to a decision variant. To choose a variant the general theory of equilibrium selection in games is used. The relation of risk dominance, introduced by Harsanyi and Selten (1988), is applied. In the method proposed a key element is to determine the reference point (status quo situation) - the least desirable situation with respect to each criterion separately. The method proposed supports decision making as regards selection and ordering.
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A Comprehensive Evaluation of Sustainable Manufacturing Programs Using Analytic Network Process (Anp)

84%
Ocampo L. A., Clark E. E.
Multiple Criteria Decision Making
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2014
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vol. 9
101-122
EN
Evaluation o f programs initiated by manufacturing firms that are geared toward sustainability is worthy o f attention in research due to the current global demands o f addressing not just economic growth bu t environmental and social burdens. This paper a ttempts to provide a comprehensive evaluation framework using the hierarchical structure o f sustainable manufacturing (SM) indicators set developed by the US National Institute o f Standards and Technology (US NIST) and a multi-criteria decisionmaking (MCDM) approach, the analytic network process (ANP). ANP is deemed appropriate, aside from the multi-criteria nature o f the problem, because o f the presence o f subjective components that are interrelating in complex relationships. A real case study is carried out in a semiconductor manufacturing firm in the Philippines in the evaluation o f its programs toward sustainability. The results show that the creation and implementation o f cleaner production technologies are considered the most relevant programs. Developing energy-efficient products and adopting lean six sigma programs are considered second o n the list. This paper proposes that sustainability is achieved by formulating strategies that enhance customer and community well-being v ia addressing environmental concerns especially o n toxic substance, greenhouse gas (GHG) and air emissions. The contribution o f this paper consists in providing an evaluation framework which is comprehensive enough to capture real-life complex decision-making processes. Limitations and possibilities fo r future research are also presented in this paper.
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Decision Maker's Preferences, Airport Gate Assignment Problem and Multiobjective Optimisation

84%
Kaliszewski I., Miroforidis J., Stańczak J.
Multiple Criteria Decision Making
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2013
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vol. 8
84-100
EN
We present an application of a methodology we developed earlier to capture a decision maker's preferences in multiobjective environments to a notorious problem in the realm of Air Traffic Management, namely the Airport Gate Assignment Problem. The problem has been modelled as an all-integer optimisation problem with two criteria. We have implemented this methodology into the commercial solver CPLEX and also into an Evolutionary Multiobjective Optimisation algorithm and we have solved with them a numerical instance of the Airport Gate Assignment Problem for a couple of decision making scenarios.
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Wielokryterialne wspomaganie decyzji w harmonogramowaniu produkcji

84%
Targiel K. S.
Studia Ekonomiczne
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2015
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vol. 237
117-129
PL
Dla problemu harmonogramowania produkcji zostało zaproponowanych wiele modeli go opisujących. W artykule podejmiemy analizę zadań klasy flow-shop. W klasycznym ujęciu zadanie to jest zadaniem jednokryteriowym, jednak rozważanych jest wiele różnych funkcji celu. Znane są prace, które definiują ten problem jako zadanie wielokryteriowe. Zaprezentowany artykuł dokona przeglądu literatury przedmiotu w tym zakresie. Zostanie także przedstawiona implementacja wybranego modelu w systemie AIMMS. Słowa kluczowe: harmonogramowanie produkcji, implementacja modeli wielokryterialnych, harmonogramowanie wielokryterialne.
EN
Production scheduling belongs to a broad class of problems of production planning. It consists of the steps. The last one is called the detailed scheduling. Many models have been proposed to describe this problem. They are classified into three main classes: flow-shop, job-shop and open-shop. In this paper, flow-shop problem analysis is undertaken. In classical approach, this is one criterion problem. In the literature there is known multi-criteria approach, which has been discussed. There is also presented the implementation of such model in AIMMS system.
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Selection of Academic Conferences Based on Analytical Network Processes

84%
Gür Ş., Hamurcu M., Eren T.
Multiple Criteria Decision Making
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2016
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vol. 11
51-62
EN
Academic conferences are platforms established by scientists to provide broad access to their research. For this reason, it is important to have influential researchers presenting plenary talks and for the scientific community in that field to submit their work. Various organizations and academic institutions organize hundreds of academic conferences a year. Academics have to select conferences to attend, since it is not possible to participate in every conference. Conference selection takes into account such factors as: the registration fee, subject of the conference and its appropriateness, conference language and the deadline for submission. We consider the specific criteria that academics use to choose conferences and effective decision-making in this field. In this study, we use an approach based on analytic network processes (ANPs) to appropriately choose a conference based on multiple criteria.
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Bipolar Mix – A Method for Mixed Evaluations and its Application to the Ranking of European Projects

84%
Górecka D.
Multiple Criteria Decision Making
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2017
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vol. 12
36-48
EN
A great variety of multi-criteria decision aiding (MCDA) methods has already been developed but few papers have dealt with mixed data (qualitative and quantitative). MCDA techniques accepting different types of evaluations (such as deterministic, stochastic and/or fuzzy ones) are rather rare and not very well known, even though this issue is crucial from a practical point of view, since mixed evaluations occur very frequently in appraising and selecting projects and organizations, as well as in risk management modelling, among other fields. This paper presents a new discrete MCDA tool developed for mixed performances of alternatives called BIPOLAR MIX. It is based on the classical BIPOLAR method proposed by Konarzewska-Gubała (1989), and on its modification, namely the BIPOLAR method with stochastic dominance (SD) rules, proposed by Górecka (2009). A numerical example at the end of the paper illustrates the problem of ordering projects applying for co-financing from the European Union (EU).
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Multiple Criteria Decision Making in the Valuation of Real Options

67%
Targiel K.
Multiple Criteria Decision Making
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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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A decision rule for uncertain multicriteria mixed decision making based on the coefficient of optimism

67%
Gaspars-Wieloch H.
Multiple Criteria Decision Making
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2015
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vol. 10
32-47
EN
This paper is devoted to multicriteria decision making under uncertainty with scenario planning. This topic has been explored by many researchers since almost all real-world decision problems contain multiple conflicting criteria and a deterministic criteria evaluation is often impossible. We propose a procedure for uncertain multi-objective optimization which may be applied when a mixed strategy is sought after. A mixed strategy, as opposed to a pure strategy, allows the decision maker to select and perform a weighted combination of several accessible alternatives. The new approach takes into account the decision maker’s preference structure and attitude towards risk. This attitude is measured by the coefficient of optimism on the basis of which a set of the most probable events is suggested and an optimization problem is formulated and solved.
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