Lexicographic optimality in multiple objective linear programming: The nucleolar solution

In this paper the authors study the problem of multiple objective linear programming (MOLP). They introduce a new solution concept which is related to that of the nucleolus of n-person cooperative game theory. The authors prove that a general MOLP problem always has a solution in the new sense. The points in the nucleolus are efficient in the classic way. The authors prove existence and at the same time they introduce a constructing algorithm for computing it.