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On a Practical Notion of Geoffrion Proper Optimality in Multicriteria Optimization

  • Kalyanmoy Deb
  • Joydeep Dutta
  • Poonam Kesarwani
  • Pradyumn Kumar Shukla
    • Categories Multi-Criteria Optimization, Nonlinear Optimization

    Geoffrion proper optimality is a widely used optimality notion in multicriteria optimization that prevents exact solutions having unbounded trade-offs. As algorithms for multicriteria optimization usually give only approximate solutions, we analyze the notion of approximate Geoffrion proper optimality. We show that in the limit, approximate Geoffrion proper optimality may converge to solutions having unbounded trade-offs. … Read more

    On the Existence of Ideal Solutions in Multi-objective 0-1 Integer Programs

  • Natashia Boland
  • Hadi Charkhgard
  • Martin Savelsbergh
    • Categories 0-1 Programming, Multi-Criteria Optimization Tags , , ,

    We study conditions under which the objective functions of a multi-objective 0-1 integer linear program guarantee the existence of an ideal point, meaning the existence of a feasible solution that simultaneously minimizes all objectives. In addition, we study the complexity of recognizing whether a set of objective functions satisfies these conditions: we show that it … Read more

    Moulin Mechanism Design for Freight Consolidation

  • Maged M. Dessouky
  • Alejandro Toriello
  • Nelson A. Uhan
  • Wentao Zhang
    • Categories Game Theory, Supply Chain Management, Transportation

    In freight consolidation, a “fair” cost allocation scheme is critical for forming and sustaining horizontal cooperation that leads to reduced transportation cost. We study a cost-sharing problem in a freight consolidation system with one consolidation center and a common destination. In particular, we design a mechanism that collects bids from a set of suppliers, and … Read more

    On cone based decompositions of proper Pareto optimality

  • Marlon Braun
  • Hartmut Schmeck
  • Pradyumn Kumar Shukla
    • Categories Global Optimization, Multi-Criteria Optimization Tags , , ,

    In recent years, the research focus in multi-objective optimization has shifted from approximating the Pareto optimal front in its entirety to identifying solutions that are well-balanced among their objectives. Proper Pareto optimality is an established concept for eliminating Pareto optimal solutions that exhibit unbounded tradeo ffs. Imposing a strict tradeo ff bound allows specifying how many units … Read more

    The proximal point method for locally Lipschitz functions in multiobjective optimization

  • Glaydston Bento
  • João Xavier da Cruz Neto
  • Antoine Soubeyran
  • João Carlos Souza
  • G. López
    • Categories Applications - OR and Management Sciences, Multi-Criteria Optimization Tags , , , , ,

    This paper studies the constrained multiobjective optimization problem of finding Pareto critical points of vector-valued functions. The proximal point method considered by Bonnel et al. (SIAM J. Optim., 4 (2005), pp. 953-970) is extended to locally Lipschitz functions in the finite dimensional multiobjective setting. To this end, a new approach for convergence analysis of the … Read more

    SCORE Allocations for Bi-objective Ranking and Selection

  • Guy Feldman
  • Susan R. Hunter
    • Categories Global Optimization, Multi-Criteria Optimization, Stochastic Programming Tags , ,

    The bi-objective R&S problem is a special case of the multi-objective simulation optimization problem in which two conflicting objectives are known only through dependent Monte Carlo estimators, the decision space or number of systems is finite, and each system can be sampled to some extent. The solution to the bi-objective R&S problem is a set … Read more

    The complexity of simple models – a study of worst and typical hard cases for the Standard Quadratic Optimization Problem

  • Immanuel M. Bomze
  • Werner Schachinger
  • Reinhard Ullrich
    • Categories Game Theory, Global Optimization Theory, Quadratic Programming

    In a Standard Quadratic Optimization Problem (StQP), a possibly indefinite quadratic form (the simplest nonlinear function) is extremized over the standard simplex, the simplest polytope. Despite this simplicity, the nonconvex instances of this problem class allow for remarkably rich patterns of coexisting local solutions, which are closely related to practical difficulties in solving StQPs globally. … Read more

    Disjunctive Programming for Multiobjective Discrete Optimisation

  • Tolga Bektas
    • Categories Integer Programming, Multi-Criteria Optimization

    In this paper, I view and present the multiobjective discrete optimisation problem as a particular case of disjunctive programming where one seeks to identify efficient solutions from within a disjunction formed by a set of systems. The proposed approach lends itself to a simple yet effective iterative algorithm that is able to yield the set … Read more

    Stochastic Dual Dynamic Integer Programming

  • Shabbir Ahmed
  • Xu Andy Sun
  • Jikai Zou
    • Categories Dynamic Programming, Integer Programming, Stochastic Programming Tags , , ,

    Multistage stochastic integer programming (MSIP) combines the difficulty of uncertainty, dynamics, and non-convexity, and constitutes a class of extremely challenging problems. A common formulation for these problems is a dynamic programming formulation involving nested cost-to-go functions. In the linear setting, the cost-to-go functions are convex polyhedral, and decomposition algorithms, such as nested Benders’ decomposition and … Read more

    MIDAS: A Mixed Integer Dynamic Approximation Scheme

  • Joseph Frédéric Bonnans
  • Andrew B. Philpott
  • Faisal Wahid
    • Categories Dynamic Programming, Stochastic Programming Tags ,

    Mixed Integer Dynamic Approximation Scheme (MIDAS) is a new sampling-based algorithm for solving finite-horizon stochastic dynamic programs with monotonic Bellman functions. MIDAS approximates these value functions using step functions, leading to stage problems that are mixed integer programs. We provide a general description of MIDAS, and prove its almost-sure convergence to an epsilon-optimal policy when … Read more