On the Computation of Choquet Optimal Solutions in Multicriteria Decision Contexts

We study in this paper the computation of Choquet optimal solutions in decision contexts involving multiple criteria or multiple agents. Choquet optimal solutions are solutions that optimize a Choquet integral, one of the most powerful tools in multicriteria decision making. We develop a new property that characterizes the Choquet optimal solutions. From this property, a general method to generate these solutions in the case of several criteria is proposed. We apply the method to different Pareto non-dominated sets coming from different knapsack instances with a number of criteria included between two and seven. We show that the method is effective for a number of criteria lower than five or for high size Pareto non-dominated sets. We also observe that the percentage of Choquet optimal solutions increase with the number of criteria.