• AN ALGORITHM FOR SOLVING STOCHASTICBI-LEVEL MULTI-OBJECTIVE LARGE SCALE QUADRATIC PROGRAMMING PROBLEM

Abstract

This paper presents an algorithm to solve bi-level multi-objective large scale quadratic programming problem with stochastic parameter in the objective functions. In the first phase of the solution algorithm is to avoid the complexity of the stochastic nature and convert the problem into crisp problem, then Taylor series is combined with weight method to convert the multi-objective quadratic problem into linear objective function. Therefore, the decomposition algorithm introduced to get the optimal solution for this problem. Finally, a numerical example is introduced to clarify the developed theory.