Constructing approximations to the efficient set of convex quadratic multiobjective problems
Constructing approximations to the efficient set of convex quadratic multiobjective problems
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.
multicriteria optimization, interior-point methods, warm-start
Fliege, Jörg
54978787-a271-4f70-8494-3c701c893d98
Heseler, Andree
93042f5a-a954-425e-8d27-eb01d005c106
12 February 2004
Fliege, Jörg
54978787-a271-4f70-8494-3c701c893d98
Heseler, Andree
93042f5a-a954-425e-8d27-eb01d005c106
Fliege, Jörg and Heseler, Andree
(2004)
Constructing approximations to the efficient set of convex quadratic multiobjective problems.
Optimization Online.
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.
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Published date: 12 February 2004
Keywords:
multicriteria optimization, interior-point methods, warm-start
Organisations:
Operational Research
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Local EPrints ID: 54089
URI: http://eprints.soton.ac.uk/id/eprint/54089
PURE UUID: 14c4d084-4103-4a1e-bbb3-e1fe1ce78ae6
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Date deposited: 28 Jul 2008
Last modified: 12 Dec 2021 03:40
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Author:
Andree Heseler
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