Multiple objective linear programming over the probability simplex
Optimization and Control
2024-12-30 v1
Abstract
This paper considers the problem of maximizing multiple linear functions over the probability simplex. A classification of feasible points is indicated. A necessary and sufficient condition for a member of each class to be an efficient solution is stated. This characterization yields a computational procedure for ascertaining whether a feasible point is efficient. The procedure does not require that candidates for efficiency be extreme points. An illustration of the procedure is offered.
Cite
@article{arxiv.2412.19598,
title = {Multiple objective linear programming over the probability simplex},
author = {Anas Mifrani},
journal= {arXiv preprint arXiv:2412.19598},
year = {2024}
}