On Optimization of the Importance Weighted OWA Aggregation of Multiple Criteria

The problem of aggregating multiple numerical criteria to form overall objective functions is of considerable importance in many disciplines. The ordered weighted averaging (OWA) aggregation, introduced by Yager, uses the weights assigned to the ordered values rather than to the specific criteria. This allows one to model various aggregation preferences, preserving simultaneously the impartiality (neutrality) with respect to the individual criteria. However, importance weighted averaging is a central task in multicriteria decision problems of many kinds. It can be achieved with the Weighted OWA (WOWA) aggregation though the importance weights make the WOWA concept much more complicated than the original OWA. We show that the WOWA aggregation with monotonic preferential weights can be reformulated in a way allowing to introduce linear programming optimization models, similar to the optimization models we developed earlier for the OWA aggregation. Computational efficiency of the proposed models is demonstrated.