Generalized dynamic programming for multicriteria optimization

Applications of dynamic programming (DP) to multicriteria sequential decision problems involving the optimization of a multicriteria preference function have been rare. This is due to the ease with which DP’s monotonicity assumption can be violated in such situations. Generalized DP avoids the potential pitfalls created by this absence of monotonicity, thereby guaranteeing optimality. The methodology is applied to a prototypical multicriteria DP problem, namely a multicriteria version of the shortest path problem.