An algorithm for optimizing over the efficient set (Q5930016)

The author develops an algorithm for the problem (P) \(\min dx\) subject to \(x\in E\), where \(d\in \mathbb R^n\) and \(E\) is the efficient set of the multiobjective linear programming problem (MP): \(\text{Min}\,Cx\) subject to \(x\in S=\{x\in\mathbb R^n\mid Ax\geq b\}\), where \(A\) is an \(m\times n\) matrix, \(C\) is a \(p\times n\) matrix and \(b\in\mathbb R^m\). The problem (P) has been studied by a number of authors including \textit{J. Philip} [Math. Program. 2, 207--229 (1972; Zbl 0288.90052)]. The algorithm proposed in this paper utilizes the relationship of normal cones with efficient faces of (MP) and is based on the approach of Philip. It is claimed that the algorithm solves the problem (P) in a finite number of steps. It is also stated that the problem of determining an efficient edge and vertex adjacent to a given efficient vertex can often be solved by a simple procedure. The working of the algorithm is illustrated by three examples.