Fuzzy Sets and Systems 1 (1978) 45-55.

© North-Holland Publishing Company

FUZZY PROGRAMMING AND LINEAR PROGRAMMING

WITH SEVERAL OBJECTIVE FUNCTIONS*

H.-J. Z I M M E R M A N N
Lehrstuhlfiir Unternehmensforschung (Operations Research),
R WTH Aachen, 51 Aachen, Federal Republic of Germany

Received February 1977

Revised June 1977

In the recent past numerous models and methods have been suggested to solve the
vectormaximum problem. Most of these approaches center their attention on linear programming
problems with several objective functions. Apart from these approaches the theory of fuzzy sets has
been employed to formulate and solve fuzzy linear programming problems. This paper presents the
application of fuzzy linear programming approaches to the linear vectormaximum problem. It shows
that solutions obtained by fuzzy linear programming are always efficient solutions. It also shows the
consequences of using different ways of combining individual objective functions in order to
determine an "optimal" compromise solution.

1. Introduction

In the recent past it has become more and more obvious that comparing different
ways of action as to their desirability, judging the suitability of products, determining
"optimal" solutions in decision problems can in many cases not be done by using a
single criterion or a single objective function. This leads to numerous evaluation
schemes (for instance in the areas of cost benefit analysis and marketing) and to the
formulation of the vectormaximum problem in mathematical programming.
Another way of describing decision problems, particularly in case of ill-defined
problems, is the use of fuzzy sets. Decision problems can be formulated as fuzzy
decision models. Crisp models can then be designed which are equivalent to the fuzzy
models and which can be solved by using existing standard algorithms. This approach
can, of course, be used in particular for decision problems which have the structure of
linear programming.
In the following, the assumptions and results of some approaches of multicriteria
programming will be critically compared with those of fuzzy linear programming.

2. The vectormaximum problem

The vectormaximum problem was first mentioned by K uhn and Tucker in their

*Paper presented at the Joint ORSA/TIMS Meeting, Miami, November 3-5, 1976.
45
46 H.-J. Z immermanr'

publication "Nonlinear Programming" [8]. Generally it is defined as

"Max" {Z(x) l x e X }, (1)

where Z (x) = (z~ (x),..., ZK(X ) ) is a vectorvalued function of x e R" into R x.

The set of all "efficient solutions" (complete solution) plays a central role in the
theory of this area. This set is defined as the set of all solutions 2 ~X which, with respect
to the objective functions zi(x), satisfy the following conditions:

is an efficient solution if there is no ~ ~X such that

zi(:~)> zi(~), i= I,... K,
and (2)
z~(~)> z~(~) for at least one i~{1,... K}.

It is generally accepted that any ("optimal")compromise solution, whichever way it has

been determined, has to be a member of the "complete solution".
In the following we shall restrict ourselves to linear programming problems with
vectorvalued objective functions.
For instance we shall use the following example:

Example 2.1. A company manufactures two prc~'.ucts 1 and 2 on given capacities.

Product 1 yields of profit of 2 $ per piece and product 2 of 1 $ per piece. While product 2
can be exported, yielding a revenue of 2 $ per piece in foreign countries, product 1 needs
imported raw materials of 1 $ per piece. Two goals are established: (a) Profit
maximization and (b) Maximum improvement of the balance of trade, i.e. maximum
difference of exports minus imports. This problem can be modelled as follows:

"max" Z ( x ) =
(' 2
xl)
x2
(effect on balance of trade),
(profit),

such that - x ~ + 3x2__<21

xl +3x2 <27
4xt + 3x2 <45 capacity constraints.
3x~ + X2~30
xl,x2 >0

Fig. 1 shows the solution space of this problem. The "complete solution" is the edge
x I -x2-x3-x4. x I is optimal with respect to objective function zl ( x ) = - x ~ + 2x2
(i.e. best improvement of balance of trade), x 4 is optimal with respect to objective
function z2(x)=2xl + x2 (profit). The "optimal" values are zl (x 1)= 14 (maximum net
export) and z2 (x 4)= 21 (maximum profit), respectively. For x l = (7;0) T total profit is
z2(x ~)= 7 and x4= (9, 3)x yields zl (x 4)= - 3, i.e. a net import of 3.
Solution x s = (3.4; 0.2) T is the solution which yields z~ (x 5)= - 3, z2 (x 5)= 7 that is
 Fuzzy programming and linear programming with several objectivefunctions 47

4 x2

1
x

z1

2
C

~z2

Xv v ~
i • i • ! w I • •

0 2 3 4 5 6 7 8 9 10 x1
Fig. 1. Vectormaximum problem.

the lowest "justifiable" value of the objective functions in the sense that a further
decrease of the value of one objective function can not be "balanced" or even
counteracted by an increase of the value of the other objective function. 1
Three major approaches are known, to single out one specific solution from the set of
efficient solutions which qualifies as an "optimal" compromise solution:
(1) The utility approach e.g.: [7,8].
(2) Goal Programming e.g.: [3].
(3) Interactive Approaches e.g.: 1-2, 4, 5, 17].
The first two of these approaches assume that the decision maker can specify his
"preference-function" with respect to the combination of the individual objective
functions in advance, either as "weights" (utilities) or as "distance-functions"
(concerning the distance f.i. from the "ideal solution"2). Generally they assume that the
combination of the individual objective functions which arrives at the compromise
solution with the highest overall utility, is achieved by linear combinations (i.e. adding
the weighted individual objective functions).
The third approach uses only local information in order to arrive at an acceptable
compromise solution.

3. Fuzzyapproaches
3ol. Fuzzy linear programming using the mimoperator
In a fuzzy environment a decision can be defined as follows [l, 12]"
1For more than 2 objective functions see p. 52.
2Se¢ [5, 6b].
48 H.-J. Z immermann

The fuzzy objective function is characterized by its membership function, and so are
the constraints. Since we want to satisfy (optimize) the objective function as well as the
constraints, a decision in a fuzzy environment is defined in analogy to nonfuzzy
environments as the selection of activities which simultaneously satisfy Objective
function(s) and constraints. In fuzzy set theory the intersection of sets normally
corresponds to the logical "and". The "'decision" in a fuzzy environment can therefore
be viewed as the intersection of fuzzy constraints and fuzzy objective function{s). The
relationship between constraints and objective functions in a fuzzy environment is
therefore fully symmetric, i.e. there is no longer a difference between the former and
latter. Applied to linear programming the fuzzy "decision" can therefore be defined as
the intersection of the fuzzy sets describing the constraints and the objective functions.
If one defines the solution with the highest degree of membership to the fuzzy "decision-
set" as the maximizing decision, then the following approach can be used [14, 15]:
Starting from the problem

Min z = cx, (3)

such that
Ax<I'
x~O,
the adopted "'fuzzy" version is 3
CX ~ Z O,

Ax~b,
x~O. (4)
Here Zo means an aspiration level of the decision maker.
We now define membership functions p4 such that

/ii((A x ), cx )= ~i(Bx) = 0 if the ith constraint of "

Ax < b, cx < Zo is strongly
violated, i,e.: (Bx )i > b~+ d~,
(5)
O<pi((Ax),cx)<l if b~< (Bx), < b~+ d,,
la~((Ax),cx)= l if (Bx)i>b~ +di, J
where i indicates the ith r o w of B or b', B is the matrix A augmented by the rows of the
objective fhnctions, b' the "right-hand side", augmented by the upper bounds for the
values of the objective functions and di are the subjectively chosen constants of
admissible violations. The membership function of the "solution-set" is then

g,.(BX~J= Min/ti (Bx)>0 (6)

i
and th,~ maximizing decision
3See [14] p. 212.
4See 1"14] p. 212.
 Fuzzy programming and linear programming with several objectivefunctions 49

Max Min tti (Bx ). (7)

x>O i

Using the simplest kind of membership functions, i.e. linear functions of the type
1 for (Bx)i<-b~
(Bx )i - b~
/~(Bx)= f 1 for bi < (Bx )i < b; + d i, (8)
di
0 for (Bx )i > b~ + di,
substituting
b'; b~
di
and
B~ Bi
di

componentwise, and dropping the "1" (which does not change the problem) we arrive
at the following problem:

Max Min (b"-(B'x)i)i (9)

x_>__O i
or

Max lao(x ) where #D(X); is the membership function

x _>o of the decision (solution) set.

As is well-known, problem (9) is equivalent 5 to solving the following LP: 6

Max 2. (10)
such that

2<b~'-(B'x)i, i=0(1)m,
x>0.

We shall now apply this approach to the vectormaximum problem of Example 2.1
and make the following assumptions:
The membership functions/~l(x) and /~z(x) of the fuzzy sets characterizing the
objective functions rise linearly from 0 to 1 at the highest achievable values of zt Ix) = 14
and Zz(x)= 21, respectively.
That means that we assume that the level of satisfaction with respect to the
improvement of the balance of trade rises from 0 for imports of 3 units or more to 1 for
exports of 14 and more and the satisfaction level with respect to profit from 0 if the
profit is 7 or less to 1 if total profit is 21 or more.
5In the sensethat the optimal solution to (10)is also optimalto (9).
6See [14] p. 213.
50 H.-J. Z immermann

Thus
0 for z l ( x ) - - 3 ,
zl(x)+3
m(x)=~ f o r - 3 < z l ( x ) < 14,
17
1 for 14<zx(x),
(ll)
0 for z2(x)<7,
z2(x)-7
~2(X)-- 4 for 7 < zz(x) <__21,
14
1 for 21 < Ze(X).

In analogy to formulation (4) and including the unfuzzy constraints of Example 2.1 we
arrive at the following problem-formulation

Max 2,
such that
2__< -0.05882xl +0.117 x2 +0.1764,
2<_ +0.1429 xl +0.0714x2 -0.5,
21> --X 1 + 3X 2,
27> Xl + 3X2,
45> 4Xt + 3X2,
30> 3Xl + x2,
x> 0, (12)

depicted in Fig. 2.
The maximum degree of "overall satisfaction" (2max=0.74) is achieved for the
solution Xo=(5.03," 7.32)T. This is the "maximizing solution" which yields in our
example a profit of $17.38 and an export contribution of $4.58. The basic solution x 2
= (3; 8)T reaches a level of 2 = 0.5 and, by assumption, the (efficient) solutions x 1 and x 4
yield ;t = 0.
In contrast to the usual vectormaximum models in the fuzzy approach the efficient
solutions contained in the "complete solution" are distinguishable by their different
degrees of satisfaction.

3.2. Fuzzy linear programming using the product operator

So far the intersection of fuzzy sets, competed by applying the minimum operator to
the membership functions of the fuzzy sets, was assumed to correspond to the (logical)
"'and". Recently it has, however, been shown 1-11,16j experimentally, ~hat human
decision makers do not use the minimum operator when they combine fuzzy
statements by "and".
 Fuzzy programming and linear programming with several objective functions 51

X2

Fig. 2. Fuzzy LP with min-operator.

In addition Hamacher [6] has shown that the conr~ective D corresponding to the
logical "and" has to be

Dy(IlA,PB)= [IAI~B 0<y (13)

), + (1 - Y) (#A + IIB--['IA['IB)

where ~ is an arbitrary parameter.

Only then the following "rationality axioms" are satisfied:

A 1" D is associative.
A2: D is continuous.
A 3: D is injective in each argument.
A 4" A D(x, x )= x.c~x = I,
x e ( O . 1}

and D is a rational function.

If we choose the specific value ? = 1 for the arbitrary parameter 7 then (13) simplifies
tO"

D(pAPB)-" ftA "PB" (14)

 52 H.-J. Zimmermann

If we apply 114) in Example 2.1 we get f o r - 3 < z l ( x ) < 1 4 and 7<z2(x)<21 the
objective function

(--xt+2x2+3) (2x2+x2 - 7 )
17 14

and the problem becomes"

1
Max 2-~ ( - 2 x 2 + 3 x l x 2 + 1 3 x l - l l x 2 + 2 x 2 - 2 1 ) ' (15)

such that
- x l + 3x2 <21,
xl + 3x2 =<27,
4Xl + 3x2 _--<45,
3xl + X2-----30,
x~ >0.

X2

10

X1

Fig. 3. Fuzzy LP with product operator.

Fig. 3 depicts this problem. Again the"maximum satisfaction" is achieved at an efficient

solution x=(5.7; 7.1)"r
Fig. 3 shows a problem of the following structure:
(ci) r x - p i 7
Max i--lI-I d, ' (16)

7For definitions of di and p, see pp. 49 and 53.

 Fuzz), programming and linear programming with several object ire functions 53

such that

Ax<b,
x>_O.

The question arises whether the optimal solutions of problems of this type are always
efficient solutions of the corresponding vectormaximum problem:
In the following we a~sume p~ to be equal to Min.i,~ z~(x~,t). (This corresponds to the
"lowest justifiable solution" defined on page 45). We also assume d~ >0. It can be
shown that under some weak assumptions there exists a set of parameters d*, i = 1 (1)K
for almost each efficient solution x~ such that x~ is the optimal solution of problem (16).
This statement can be formulated as the following theorem:

Theorem 3.1. Let E be the set of all efficient solutions in (1). Let zl (x), .... zh., (x), K'
< K be a minimal generating system s of set E (i.e. redundant objective lunctions being
omitted) with the individual optima Xopt,...,Xop1 h t. Let F~ be equal to E - t XIo.1o t,..., Xoptj.
K )
Then f o r each ,~ ~ E there exists d~{, . . . d*, such that ~ solves (16).

Proof. Let d* = zi(:~) - p,. Then it follows that

K (ci)T ~ - 0 ,
il-Ii d* = 1,
and
KN (ci) I x - - P i <
1 for all x ~ X.
i=lll d? --

Thus

r' (Ci)T "~--Pi

Max d* ?~ = 1.
x~X i=

Corollary 3.2. Variations ofdffor di > (c i)T X oip t - - Pi > 0 do not influence the "max imi =in g
solution" of problem (16) but only the resulting values of the objective.function.

Proof. The proof is almost trivial:

The general formulation of the membership functions ( 11 } is"

0 for (ci) T x < p i ,

c~ x - Pi
#i(x) = elsewhere, ( 17 )
di
for (el) ~ x > p i + d i .

aSee [ I0].
54 H.-J. Z immermann

Problem (16)can now be written as

K' l K'
~ Max I-I (c')T xi-p,, (18)
i= i=1

such that

Ax<b,
x>O.

In (18) the optimal solution is ~bviously independent of the first term, 1-I~'_-'1 1/di, of the
objective function.
This means that for the optimal solution of (16) it is irrelevant whether the "anchor
points", i.e. the aspiration levels for the individual objective functions at which #,-(x)
= 1, are set at the individual optima or at any higher level. This is not true when using
the minimum operator instead of the product operator!

4. Conclusions

The following conclusions can be drawn:

Ca) Fuzzy linear programming can solve quite easily problems of jthe (linear)
vectormaximum problem.
(b) The "maximizing solution" always turns out to be an efficient solation, for the
min.-operator as well as for the prod.-operator.
(c) Using the min.-operator the "maximizing solution" depends on the choice of the
di's as well as of the pi's. Using the prod.-operation the maximizing solutions depends
only on the p[s as long as di> (d) r Xopt - - Pi > 0 .
(d) The results of empirical work [11] and mathematical arguments [16] seem to
indicate that human decision makers do generally neither combine their individual
objective functions linearly to find an "optimal compromise solution" nor apply the
minimum operator to combine (fuzzy) objective functions and/or constraints. It
therefore seems worthwhile or even necessary to reconsider most of the approaches
which have been suggested to solve linear vectormaximum problems, i.e. find the
"optimal" compromise solution. The same is also true for nonlinear problems of this
type.

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