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Approximating the Pareto set of multiobjective linear programs via robust optimization

Gorissen,B.L.
; 
den Hertog,D.
Abstract
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.
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Appeared earlier as CentER Discussion Paper 2012-031
Date
2012
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Tilburg University Research Output Collection
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Gorissen, B L & den Hertog, D 2012, 'Approximating the Pareto set of multiobjective linear programs via robust optimization', Operations Research Letters, vol. 40, no. 5, pp. 319-324. https://doi.org/10.1016/j.orl.2012.05.007
URI
https://hdl.handle.net/20.500.14602/57619
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