Weight generation and construction of preferences by Monte Carlo method in AHP with inconsistent interval comparison matrices

Ladislav Luk1
Abstract. Paper presents Monte Carlo method and its numerical implementation for generation of weights and construction of preferences used in AHP to support multiple criteria decision making. However, in case of inconsistent interval comparison matrices the problem of weight generation is much more difficult. An approach based on consistency index is widely used in such case. Our procedure constructs a suitable measure of consistency as a relation between consistency index and some spectral characteristics depending on right eigenvector of comparison matrix. Using Monte Carlo method matrix samples are generated from the interval comparison matrix. The spectral-problems for such matrices are solved and the leading eigenvalues extracted. These subsequently serve for estimation of weights extremal bounds. The computer implementation is presented in detail, and numerical results discussed, too. Keywords: Analytic hierarchical process, inconsistent interval comparison matrix, generation of weights, spectral method, criteria for decision-making. JEL Classification: C02, C65, C81, D01, D81 AMS Classification: 15A18, 65G20, 90C29, 91B06

Introduction

The analytic hierarchy process (AHP) is one of the popular methods for decision-making in practice. Basic AHP procedure consists of two steps first one, forming pairwise comparison matrix, and the second one, generation of weights for selected objectives applied, which lead next for preferences formulation and thus ordering of objectives. There exist a huge number of papers and books relating the subject, which range from pure theoretical works to applications as well. First, we refer the seminal book of prof. Saaty [5]. For further details we refer [3] and [6], and [2], [4] and [7] as taking special aspects being devoted to inconsistency of comparison matrices.

Weight generation

Since the early stages of AHP generation of weights plays very important role. In its original form, the AHP adopts a simple scale {1, 3, 5, 7, 9} for measuring comparison relations between two objectives ranging from equal importance till absolutely more importance. Let us write a matrix of pairwise comparisons of n objectives in the following well-known form

a 11 a A = 21 M a n1

a12 L a1n a 22 L a 2 n ,
M

an2

M a nn

(1)

where aij >0, aji = (aij)-1, i,j=1,..,n, j < i , i.e. the elements aij and aji are standing in the reciprocity each other. We know that matrix A is consistent if it can be transformed into the following form

1 w2 / w1 W= M wn / w1

w1 / w2 1 M wn / w2

L w1 / wn L w2 / w n = M M 1

w1 w 2 [1 / w 1 / w 1 2 M wn

K 1 / wn ] ,

(2)

Univ.of West Bohemia, Faculty of Econ., Dept. of Econ. and Quantitative Methods, Husova 11, 30614 Pilsen, lukasl@kef.zcu.cz.

where wi >0 represents an estimated weight of i-th objective, i=1,..,n. So, we may write W = wT, with vector w containing wi and vector their reciprocals. Note that both matrices A, W are positive. Further, the matrix theory assures that matrix W has rank(W) = 1, so the only one non-zero eigenvalue W exists, and it holds W = tr(W) = n. (3)

Theory of AHP provides widely used measure for inconsistency of a pairwise comparison matrix A known as consistency index cI cI = (max - n)/(n - 1), where max is the greatest eigenvalue of a spectral problem Aw = w. (5) (4)

Hence, solution of eigenproblem is closely related with construction of weights. The vector of searched objective weights w is nothing else but the right eigenvector of matrix A corresponding to max. From practical point of view it is useful to norm the right eigenvector w by relation weights. However, cI given by (4) depends upon n which complicates versatility of consistency index in many practical situations. So, the theory of AHP provides another quantity called consistency ratio of a comparison matrix given by following expression cR = cI / rI(n), (8)

w
i =1

= 1, thus providing natural interpretation of

where rI(n) denotes a mean value of cI which is regarded as random variable calculated by formula (4) from random matrices formed by comparing fractions wi/wj, i.e. rI(n) = E(cI), where E is an expectation operator. The quantity cR [0,1] expresses suitable consistency measure of any comparison matrix, ranging from the ideal case with perfect transversality of comparison relations giving cR = 0, till a random matrix lacking any detectable transversality of comparison relations, which produces cR = 1. In [1] we have already investigated some spectral properties of interval pairwise comparison matrices. Entries of such matrix are interval numbers, and it takes the following form

1 [l , u ] A = 21 21 M [l n1 , u n1 ]

[l12 , u12 ]
1 M

L L M L

[l1n , u1n ]
M 1

[l n 2 , u n 2 ]

(9)

where [lij, uij] denotes a closed interval of real positive numbers, lij, uij > 0, such as lij uij , lij = 1/uji , and uij = 1/lji , i,j=1,2,...,n, which expresses a range of importance between i-th and j-th objectives. Computational procedure for weight generation based upon statistical sampling technique with consistency measure control of matrices A sampled from A is described in [1], too. The pairwise interval comparison matrix A takes the form (9), and procedure for generation interval weights [wiL, wiU], i=1,2,...,n, has five steps: 1) Build crisp matrices A = [ij] by Monte Carlo sampling of A assuming uniform distribution of values ij over [lij, uij]. ~ 2) Find max solving spectral problem of A, and calculate sample consistency index I by (4). 3) Accept such A passing adjusted threshold on its cR evaluated by (8), usually cR < 0.1, with cI = I. 4) Solve n-tuples of LP problems for crisp matrix A dependent weight interval [dwiL, dwiU]. 5) Estimate weight interval [wiL, wiU] from set of intervals [dwiL, dwiU], d=1,2,...,h, generated by selected crisp matrices.

Computational results

We have selected two different examples of interval comparison matrices given in [7], and analyzed already in [1], too. Now, we run rumerical experiments based on Monte Carlo approach to further investigate spectral behavior of max and cI , which play crucial role in construction of weight intervals [wiL, wiU], with special respect to influence of interval consistency and reciprocity. All computations were performed by sw Mathematica 7.0, WolframResearch Inc.

3.1

First example consistent interval pairwise comparison matrix

The interval matrix A is given by (10) and can be represented by a couple of crisp matrices (A 1, A 2)

[2,5] 1 1 1 1 , 5 2 A = 1 1 1 , ,1 4 2 3 1 ,1 1 ,1 3 2

[2,4] [1,3] [1,3] [1,2]

1

[1,2]

1 , A1 = 2 ,1 1

2 1 0.2 1 . 0.25 0.3 3 . 0.3 3 0.25

1 1 , A2 = 1 0.5 1 1 2 1

1 0 . 5 0 . 5 1

5 4 3 1 3 2 . 1 1 1 1 2 1

(10)

Using Monte Carlo approach, we build two sets of crisp matrices, denoted {0Bk } and {1Bk }, k=1,..,K=100, sampled from A (10), where prefix 0 denotes a non-preserving reciprocity case, whereas 1 a reciprocity preserving case. Calculated max are given on Fig. 1, and cI on Fig. 2.

Fig. 1 Eigenvalues max of matrices 0Bk ~ left, 1Bk ~ right, k=1,..,K, both ~ bellow

Basic characteristics are summarized on Tab. 1, which contain also a span of values given by max min. 2 0.073252 0.00813911 0.00651079 0.000723421

Case 0 max cI Case 1 max cI 4.41121 0.137069 4.14937 0.04979

0.270651 0.090217 0.0806895 0.0268965

min 3.86034 -0.0465546 4.00734 0.00244724

max 5.01706 0.339022 4.43075 0.143582

max min 1.15672 0.3855766 0.42341 0.14113476

Table 1 Characteristics of max and cI of matrices 0Bk ~ case_0, 1Bk ~ case_1, k=1,..,K.

Fig. 2 Consistency index cI of 0Bk ~ top-left, 1Bk ~ top-right, k=1,..,K, both ~ bellow-left, EDF both ~ bellow-right The most interesting is comparison of empirical distribution functions (EDF) calculated for values cI of both sets of crisp matrices {0Bk } and {1Bk }. The Monte Carlo generated matrices {1Bk } which preserves reciprocity give significantly narrower span of values then provide matrices {0Bk }.

3.2

Second example inconsistent interval pairwise comparison matrix

Now, the interval matrix A is given by (11) being represented by a couple of crisp matrices (A 1, A 2) as well.

[1,2] [1,2] 1 1 [3,5] 1 ,1 2 A = 1 1 1 1 ,1 , 2 5 3 1 , 1 1 , 1 1 , 1 3 2 5 4 8 6

[2,3] [4,5]

1 1 1 0 .5 1 3 [6,8] , A1= 0.5 0.2 1 . 0.3 3 0.2 0.125 1

2 2 2 1 1 4 1 5 . , A2= 1 0.3 3 6 1 & 1 0.5 0.25 0.16

3 5 . 8 1

(11)

Basic characteristics are summarized on Tab. 2, which contain the same type of quantities in order to make a comparison as simple as possible. 2 0.0292195 0.00324661 0.00880797 0.000978663

Case 0 max cI Case 1 max cI 4.63898 0.212993 4.56443 0.188144

0.170937 0.056979 0.0938508 0.0312836

min 4.31179 0.103932 4.35427 0.11809

max 5.06828 0.356093 4.77612 0.258708

max min 0.75649 0.252161 0.42185 0.140618

Table 2 Characteristics of max and cI of matrices 0Ck ~ case_0, 1Ck ~ case_1, k=1,..,K.

Fig. 3 Eigenvalues max of matrices 0Ck ~ left, 1Ck ~ right, k=1,..,K, both ~ bellow

Fig. 4 Consistent index cI of 0Ck ~ top-left, 1Ck ~ top-right, k=1,..,K, both ~ bellow-left, EDF both ~ bellow-right

Numerical experiments with inconsistent pairwise interval comparison matrix A (11) are based on similar Monte Carlo approach. However, corresponding two sets of crisp matrices are denoted {0Ck } and {1Ck }, k=1,..,K=100, now. The meaning of both prefixes is exactly the same, i.e. 0 for non-preserving case, and 1 for preserving reciprocity of crisp matrix. Calculated max are given on Fig. 3, and cI on Fig. 4. At the first glance we may detect differences with corresponding results of the first example, which presented the consistent interval comparison matrix. The most impressive result is that EDF-s of cI calculated for sets {0Ck } and {1Ck } are much closer each other than on the Fig. 2 bellow-right.

Conclusion

We have analyzed two examples of interval pairwise comparison matrices of AHP using Monte Carlo approach. The results of spectral problems, and calculated maximal eigenvalues and consistency indeces in particular, have shown interesting behaviour. Computational analysis justifies differences between consistent and inconsistent matrices being anticipated. In particular, the inconsistent matrices yield higher consistency indeces, which corresponds to natural estimations. However, various generalizations of AHP and their applications are still a fruitfull field of research.

Acknowledgements
The author is grateful for financial support by project LC06075, Ministry of Education, Czech Republic.

References
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[4] Pelaez, J.I., Lamata, M.T.: A New Measure of Consistency for Positive Reciprocal Matrices. Computers and Math. with Appl. 46, pp.1839-1845, Elsevier 2003. [5] Saaty, T. L.: The Analytic Hierarchy Process. New York, Mc Graw Hill 1980. [6] Saaty, T. L., Ozdemir, M. S.: Why the Magic Number Seven Plus or Minus Two. Math. and Comput. Modelling 38, pp.233-244, Pergamon Press 2003. [7] Wang, Y-M., Yang, J-B., Xu.D-L.: Interval weight generation approaches based on consistency test and interval comparison matrices. Appl. Math. and Comput. 167 (2005) 252-273, Elsevier 2005.