An inner approximation method incorporating a branch and bound procedure for optimization over the weakly efficient set (Q5946143): Difference between revisions

An Optimization Problem (OP) which aims to minimize a convex function over the weakly efficient set of a MultiObjective Programming problem (MOP) is considered. The objective functions of MOP are linear functions and its feasible set is described by inequality constraints defined through differentiable convex functions satisfying the Slaters constraint qualification. By means of an indicator function, problem OP is reformulated as another problem, say MP. The authors propose an Inner Approximation method (IA) (based on duality relations) for solving MP. The paper includes a stopping criterion in order to terminate IA after finite iterations by compromising a weak efficiency to problem MOP. Since IA requires, at each iteration, the solution of two convex minimization problems, an inner approximation algorithm incorporating a branch and bound procedure is proposed in order to avoid solving one of the minimization problems. This paper does not contain examples neither numeric results.