Approximation of the Whole Pareto Optimal Set for the Vector Optimization Problem

作者：Illes Tibor^*; Lovics Gabor

来源：Acta Polytechnica Hungarica, 2018, 15(1): 127-148.

DOI：10.12700/aph.15.1.2018.1.8

• multi-objective optimization
• joint decreasing direction
• approximation of Pareto optimal set
• Markowitz model

In multi-objective optimization problems several objective functions have to be minimized simultaneously. In this work, we present a new computational method for the linearly constrained, convex multi-objective optimization problem. We propose some techniques to find joint decreasing directions for both the unconstrained and the linearly constrained case as well. Based on these results, we introduce a method using a subdivision technique to approximate the whole Pareto optimal set of the linearly constrained, convex multi-objective optimization problem. Finally, we illustrate our algorithm by solving the Markowitz model on real data.

• 出版日期2018