bi-objective mixed integer linear programming

A New Exact Algorithm to Optimize a Linear Function Over the Set of Efficient Solutions for Bi-objective Mixed Integer Linear Programs

  • Hadi Charkhgard
  • Alvaro Sierra-Altamiranda
    • Categories (Mixed) Integer Linear Programming, Multi-Criteria Optimization Tags , , ,

    We present the first (criterion space search) algorithm for optimizing a linear function over the set of efficient solutions of bi-objective mixed integer linear programs. The proposed algorithm is developed based on the Triangle Splitting Method (Boland et al. 2015b) which can find a full representation of the nondominated frontier of any bi-objective mixed integer … Read more

    Best subset selection via bi-objective mixed integer linear programming

  • Hadi Charkhgard
  • Ali Eshragh
    • Categories Multi-Criteria Optimization, Statistics Tags , ,

    We study the problem of choosing the best subset of p features in linear regression given n observations. This problem naturally contains two objective functions including minimizing the amount of bias and minimizing the number of predictors. The existing approaches transform the problem into a single-objective optimization problem either by combining the two objectives using … Read more