A bisection-extreme point search algorithm for optimizing over the efficient set in the linear dependence case (Q1207046)

The problem of maximizing a linear function on the set of efficient points of a linear vector maximization problem is investigated. It is assumed that the objective function of this problem is a linear combination of the objective functions on the linear vector maximization problem. A so-called bisection-extreme point search algorithm is presented for the solution of this problem. It is proved that this method finds a solution in a finite number of iterations.