Using efficient feasible directions in interactive multiple objective linear programming

Computational methods for problems pertaining to operations research and mathematical programming (90-08) Management decision making, including multiple objectives (90B50) Linear programming (90C05) Multi-objective and goal programming (90C29)

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A feasible direction \(e\in R^ n\) for \(X=\{x\in R^ n\mid Ax=b, x\geq 0\}\) at \(x^ 0\in X\) is said to be efficient for the multiple objective linear programming problem (MOLP) ``maximize \(Cx\), subject to \(x\in X\), if there exists no feasible direction \(w\) for \(X\) at \(x^ 0\) such that \(Cw\geq Ce\) and \(Cw\neq Ce\). Efficient feasible directions are characterized in terms of the optimal value of an associated linear programming problem. If \(v\) is the (unknown) value function of the decision maker over the objective functions and \(g(x)=v(Cx)\), a feasible direction for \(X\) at \(x^ 0\) such that \(\nabla g(x^ 0)d>0\) is called a direction of increase for the single objective optimization problem (SOP) maximize \(g(x)\), subject to \(x\in X\), at \(x^ 0\). If \(v\) is nondecreasing, concave and twice differentiable, \(d\) is a feasible direction of increase for (SOP) at \(x^ 0\), \(e^*\) is a feasible direction for \(X\) at \(x^ 0\) and \(Ce^*\geq Cd\), then \(e^*\) is also a feasible direction of increase for (SOP) at \(x^ 0\). These results are used to incorporate efficient feasible directions into interactive line search algorithms for (MOLP) in such a way that all generated points lie in the efficient set.

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