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journal article

Relatively Robust Multicriteria Decisions

Weber, Thomas A.  
August 14, 2025
Management Science

For a general multicriteria decision problem with linear scalarization and unknown weights, we propose relatively robust decisions, which are Pareto-efficient and at the same time maximize a performance index. The latter measures the worst-case ratio, attained by the weighted objective relative to its maximum value, with respect to all possible weights. The main results include a simple boundary representation of the performance index as the minimum of criterion-specific performance ratios, and a computationally simple method of determining a relatively robust decision up to any prespecified performance tolerance by maximizing an epsilon-augmented performance index. The proposed method relies merely on the continuity of all criterion functions and the compactness of the set of feasible decisions which may be nonconvex. This imposes no restrictions at all for any finite action set. A notable feature of our method is that it endogenously yields the tradeoffs between all criteria, including a performance guarantee relative to decisions justified by any other weighting. A number of structural results, examples, and applications are provided, as well as generalizations to allow for limited weight ambiguity, criterion ambiguity, and generalized aggregation of criteria based on an axiomatic foundation.

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Type
journal article
DOI
10.1287/mnsc.2025.00510
Author(s)
Weber, Thomas A.  

EPFL

Date Issued

2025-08-14

Published in
Management Science
Subjects

criterion ambiguity

•

multicriteria decisions

•

relative regret

•

robust optimization

•

weight ambiguity

Editorial or Peer reviewed

REVIEWED

Written at

EPFL

EPFL units
OES  
Available on Infoscience
August 15, 2025
Use this identifier to reference this record
https://infoscience.epfl.ch/handle/20.500.14299/252905
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