An exact global optimization method for deriving weights from pairwise comparison matrices

  • Authors:
  • Emilio Carrizosa;Frédéric Messine

  • Affiliations:
  • Facultad de Matemáticas, Universidad de Sevilla, Sevilla, Spain 41012;ENSEEIHT-IRIT, Toulouse Cedex, France 31071

  • Venue:
  • Journal of Global Optimization
  • Year:
  • 2007

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Abstract

Some multiple-criteria decision making methods rank actions by associating weights to the different criteria or actions, which are pairwise compared via a positive reciprocal matrix A. There is a vast literature on proposals of different mathematical-programming methods to infer weights from such matrix A. However, it is seldom observed that such optimization problems may be multimodal, thus the standard local-search resolution techniques suggested may be trapped in local optima, yielding a wrong ranking of alternatives. In this note we show that standard tools of global optimization based on interval analysis, lead to globally optimal weights in reasonable time.