Mathematical models are established to represent real-world problems. Since the real-world faces various types of uncertainties, it makes mathematical model suffers with insufficient uncertainties modeling. The existing models lack of explanation in dealing uncertainties. In this paper, construction of mathematical model for decision making scenario with uncertainties is presented. Primarily, fuzzy random regression is applied to formulate a corresponding mathematical model from real application of a multi-objective problem. Then, a technique in possibilistic theory, known as modality optimization is used to solve the developed model. Consequently, the result shows that a well-defined multi-objective mathematical model is possible to be formulated for decision making problems with the uncertainty. Indeed, such problems with uncertainties can be solved efficiently with the presence of modality optimization. © Springer International Publishing AG 2018.