Optimization over the efficient set using an active constraint approach

Optimization over the efficient set using an active constraint approach

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Article ID: iaor1992314
Country: Germany
Volume: 35
Start Page Number: 185
End Page Number: 195
Publication Date: May 1991
Journal: Mathematical Methods of Operations Research (Heidelberg)
Authors:
Abstract:

In this work the problem of maximizing a nonlinear objective over the set of efficient solutions of a multicriteria linear program is considered. This is a nonlinear program with nonconvex constraints. The approach is to develop an active constraint algorithm which utilizes the fact that the efficient structure in decision space can be associated in a natural way with hyperplanes in the space of objective values. Examples and numerical experience are included.

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