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
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- scientific article; zbMATH DE number 2156773 (Why is no real title available?)
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Cited in
(36)- The vector linear program solver \textit{Bensolve} -- notes on theoretical background
- A vector linear programming approach for certain global optimization problems
- Tractability of convex vector optimization problems in the sense of polyhedral approximations
- A recursive algorithm for multivariate risk measures and a set-valued Bellman's principle
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- A Benson-type algorithm for bounded convex vector optimization problems with vertex selection
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- An inner approximation method to compute the weight set decomposition of a triobjective mixed-integer problem
- Optimizing over the properly efficient set of convex multi-objective optimization problems
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