Approximating the Pareto set of multiobjective linear programs via robust optimization

作者：Gorissen Bram L^*; den Hertog Dick

来源：Operations Research Letters, 2012, 40(5): 319-324.

DOI：10.1016/j.orl.2012.05.007

• Pareto set
• Multiobjective
• Polynomial inner approximation
• Robust optimization
• Polynomial optimization
• Sum of squares

We consider problems with multiple linear objectives and linear constraints and use adjustable robust optimization and polynomial optimization as tools to approximate the Pareto set with polynomials of arbitrarily large degree. The main difference with existing techniques is that we optimize a single (extended) optimization problem that provides a polynomial approximation, whereas existing methods iteratively construct a piecewise linear approximation. One of the advantages of the proposed method is that it is more useful for visualizing the Pareto set.

• 出版日期2012-9