Abstract
In this work the problem of maximizing a nonlinear objective over the set of efficient solutions of a multicriteria linear program is considered. This is a nonlinear program with nonconvex constraints. The approach is to develop an active constraint algorithm which utilizes the fact that the efficient structure in decision space can be associated in a natural way with hyperplanes in the space of objective values. Examples and numerical experience are included.
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Dauer, J.P. Optimization over the efficient set using an active constraint approach. ZOR - Methods and Models of Operations Research 35, 185–195 (1991). https://doi.org/10.1007/BF01415906
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DOI: https://doi.org/10.1007/BF01415906