An interactive multicriteria simulation optimization method

This study proposes a new interactive multicriteria method for determining the best levels of the decision variables needed to optimize a stochastic computer simulation with multiple response variables. The method, called the Pairwise Comparison Stochastic Cutting Plane (PCSCP) method, combines good features from interactive multiple objective mathematical programming methods and response surface methodology. The major characteristics of the PCSCP algorithm are: (1) it interacts progressively with the decision maker (DM) to obtain his preferences, (2) it uses good experimental design to adequately explore the decision space while reducing the burden on the DM, and (3) it uses the preference information provided by the DM and the sampling error in the responses to reduce the decision space. This paper presents the basic concepts of the PCSCP method along with its performance for solving randomly selected test problems.