Benson type algorithms for linear vector optimization and applications
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Publication:743969
DOI10.1007/S10898-013-0098-2zbMATH Open1330.90099arXiv1302.2415OpenAlexW3100995391MaRDI QIDQ743969FDOQ743969
Authors: Andreas H. Hamel, Andreas Löhne, Birgit Rudloff 
Publication date: 2 October 2014
Published in: Journal of Global Optimization (Search for Journal in Brave)
Abstract: New versions and extensions of Benson's outer approximation algorithm for solving linear vector optimization problems are presented. Primal and dual variants are provided in which only one scalar linear program has to be solved in each iteration rather than two or three as in previous versions. Extensions are given to problems with arbitrary pointed solid polyhedral ordering cones. Numerical examples are provided, one of them involving a new set-valued risk measure for multivariate positions.
Full work available at URL: https://arxiv.org/abs/1302.2415
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- scientific article; zbMATH DE number 175989
algorithmslinear programmingdualityouter approximationtransaction costsvector optimizationmultiple objective optimizationset-valued risk measure
Linear programming (90C05) Multi-objective and goal programming (90C29) Actuarial science and mathematical finance (91G99)
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Cited In (33)
- A modified version of a Benson-type algorithm proposed for obtaining solutions with better dispersion on the non-dominated set of a non-convex multi-objective programming problem
- A linear risk-return model for enhanced indexation in portfolio optimization
- Filtering Algorithms for Biobjective Mixed Binary Linear Optimization Problems with a Multiple-Choice Constraint
- A comparison of techniques for dynamic multivariate risk measures
- Using multiobjective optimization to map the entropy region
- Geometric Duality Results and Approximation Algorithms for Convex Vector Optimization Problems
- Convergence analysis of a norm minimization-based convex vector optimization algorithm
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- A vector linear programming approach for certain global optimization problems
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- Inner approximation algorithm for solving linear multiobjective optimization problems
- A Benson type algorithm for nonconvex multiobjective programming problems
- The weighted \(p\)-norm weight set decomposition for multiobjective discrete optimization problems
- On the relationship between the value function and the efficient frontier of a mixed integer linear optimization problem
- Primal and dual multi-objective linear programming algorithms for linear multiplicative programmes
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- Time consistency of the mean-risk problem
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- An inner approximation method to compute the weight set decomposition of a triobjective mixed-integer problem
- Warm-starting lower bound set computations for branch-and-bound algorithms for multi objective integer linear programs
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