The immediately answer without too much thinking would possibly be: Yes, we need them, because not all criteria have the same importance, and this is true.
Fine, now what are criteria weights? They are subjective transcriptions of verbal ordinal expressions, also subjective. Analyzing this step, one realizes that they are totally arbitrary, and in addition, subject to the decision of a DM, which may be different from that of another DM,
Really, a very suspicious procedure and with no mathematical support.
We agree that weights are used to have a rank of criteria according to their relative importance. And now, the crucial question comes, ‘Importance relative to what?
If you analyze a fact such as for instance, the relative importance of quality and price regarding the purchase of a car, you can legitimately say, that in this respect, and for YOU, quality is more important, without assigning a quantitative value to that preference, because it would be meaningless. Nobody can put a value to a feeling or a preference.
Observe, and this is important, that your preference must be related to something, in this case the car, because in other aspects you may prefer price to quality, according to your tastes and budget, for instance, in purchasing a necktie, and thus, it depends on the object of the comparison.
In case of criteria weights in MCDM, a practitioner may express these two postulates:
1) Weights are necessary to evaluate alternatives,
2) Due to the fact that not all criteria have the same importance.
Is this answer correct? NOT in the first statement, and YES in the second.
The reason of the fallacy of the first statement, is that the relative importance between criteria is NOT associated with alternatives evaluation, unless they are objective weights derived from entropy.
Probably you will say: But these entropy weights also establish a ranking between criteria, as subjective weights do, then, why the evaluation of alternatives is valid for entropy and not from preferences?
Because Shannon Theorem, the base for Information Technology, as we know it today, demonstrates that to evaluate something you must have capacity for evaluation, you need a certain quantity of information, and it depends on the discrimination of the values of a criterion that is, it is an attribute. As an analogy, the actual system is equivalent to asking a 5 years old child to evaluate different cars.
He/she, at that age, does not have on cars the amount of information that an adult possesses.
This amount of information in a criterion can be found by entropy; this is the great discovery of Shannon, and he even developed a formula to compute it.
If in a criterion the different values corresponding to the alternatives are very similar or close, the entropy or uncertainty is high, the quantity of information low, and thus, this criterion has a low significance for evaluating alternatives.
The best example are dice. The uncertainty about which number will appear when casting, is 100%, because all of them have the same values (1/6); the entropy will be 1, and the quantity of information 0.
Since weighting does not have this property, it can’t be used for evaluation.
Therefore, why to spend thousands of hours trying to find out how to have better subjective weights, when they are useless, at least for MCDM?
I am not claiming that I am right but at least is what I get based on reasoning and science.
Therefore, if subjective weights are inappropriate to evaluate alternatives, why are we using them?
I would very much like if some of my colleagues in RG can add something else, supporting or not, my arguments. As a bottom line, I believe that weights, other that entropy ones, should not be used in MCDM methods. I am not saying that we should consider all criteria with the same importance, because it is not true most of the times, thus, we should use either entropy weights, or allow the method determine by itself the importance of each criterion, based on inputted data, as is done in Linear Programming.
I will be more than glad to discuss this issue, but please, with arguments, not with simple words or masking references about other authors wrote.