Constructing approximations to the efficient set of convex quadratic multiobjective problems


Fliege, Jörg and Heseler, Andree (2004) Constructing approximations to the efficient set of convex quadratic multiobjective problems. Optimization Online

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Description/Abstract

In multicriteria optimization, several objective functions have to be minimized simultaneously. For this kind of problem, no single solution can adequately represent the whole set of optimal points. We propose a new efficient method for approximating the solution set of a convex quadratic multiobjective programming problem. The method is based on a warm-start interior point algorithm for which we derive complexity results, thereby extending previous results by Yildirim & Wright. Numerical results on bicriteria problems from power plant optimization and portfolio optimization show that the method is an order of magnitude faster than standard methods applied to the problems considered.

Item Type: Article
ISSNs: 1055-6788 (print)
Related URLs:
Keywords: multicriteria optimization, interior-point methods, warm-start
Subjects: Q Science > QA Mathematics
Q Science > QA Mathematics > QA76 Computer software
Divisions: University Structure - Pre August 2011 > School of Mathematics > Operational Research
ePrint ID: 54089
Date Deposited: 28 Jul 2008
Last Modified: 27 Mar 2014 18:37
Contact Email Address: J.Fliege@soton.ac.uk
URI: http://eprints.soton.ac.uk/id/eprint/54089

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