Uncertain constrained optimization by interval‐oriented algorithm

Uncertain constrained optimization by interval‐oriented algorithm

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Article ID: iaor20135475
Volume: 65
Issue: 1
Start Page Number: 73
End Page Number: 87
Publication Date: Jan 2014
Journal: Journal of the Operational Research Society
Authors: ,
Keywords: programming: branch and bound
Abstract:

This paper deals with an interval‐oriented approach to solve general interval constrained optimization problems. Generally, this type of problems has infinitely many compromise solutions. The aim of this approach is to obtain one of such solutions with higher accuracy and lower computational cost. The proposed algorithm is nothing but a different kind of branch and bound algorithm with multi‐section division criterion of the search region (or box). In the proposed technique, the prescribed/accepted region is divided into several distinct subregions and in each feasible subregion the interval objective function value is computed. Then the subregion containing the best objective value is found by applying a specific interval ranking rule defined with respect to the pessimistic decision makers’ point of view. The process is continued until the interval width for each variable in the accepted subregion is negligible. Finally, the algorithm converges to a compromise solution in interval form. To illustrate the method and also to test the efficiency as well as the effectiveness of the proposed algorithm, we have solved some numerical examples.

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