Benson type algorithms for linear vector optimization and applications
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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.
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- scientific article; zbMATH DE number 175989
Cites work
- scientific article; zbMATH DE number 2156773 (Why is no real title available?)
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Cited in
(33)- Warm-starting lower bound set computations for branch-and-bound algorithms for multi objective integer linear programs
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