In this paper, two fundamentally different types of objectives - accuracy and direction of change - are incorporated into a multiple objective framework for combining forecasts. Most previous attempts at combining forecasts have focused on a single objective, usually some measure of forecast accuracy. While accuracy measures in terms of deviations between forecasted and actual values are more common, being able to predict correctly the direction of change, either increasing or decreasing in a variable of interest from one period to the next can be an important consideration also. Direction of change measures can be utilized to provide important additional information for decision making. Models including both types of objectives are developed, and solution strategies are discussed and illustrated. These enhanced models provide additional flexibility for decision makers without significantly increasing overall computational requirements.
All Science Journal Classification (ASJC) codes
- Computer Science(all)
- Modeling and Simulation
- Management Science and Operations Research
- Information Systems and Management
- multiple criteria