An Algorithm to Solve Polyhedral Convex Set Optimization Problems
Abstract
An algorithm which computes a solution of a set optimization problem is provided. The graph of the objective map is assumed to be given by finitely many linear inequalities. A solution is understood to be a set of points in the domain satisfying two conditions: the attainment of the infimum and minimality with respect to a set relation. In the first phase of the algorithm, a linear vector optimization problem, called the vectorial relaxation, is solved. The resulting pre-solution yields the attainment of the infimum but, in general, not minimality. In the second phase of the algorithm, minimality is established by solving certain linear programs in combination with vertex enumeration of some values of the objective map.
Cite
@article{arxiv.1210.0729,
title = {An Algorithm to Solve Polyhedral Convex Set Optimization Problems},
author = {Andreas Löhne and Carola Schrage},
journal= {arXiv preprint arXiv:1210.0729},
year = {2014}
}
Comments
Changes in comparison to the original version: Deleted: "Of course, every solution is also a pre-solution." first sentence after Definition 3.1 (is not true) Added: Example 3.3, Proposition 3.4, Proposition 4.6