Optimising a nonlinear utility function in multi-objective integer programming
Optimization and Control
2013-04-08 v3
Abstract
In this paper we develop an algorithm to optimise a nonlinear utility function of multiple objectives over the integer efficient set. Our approach is based on identifying and updating bounds on the individual objectives as well as the optimal utility value. This is done using already known solutions, linear programming relaxations, utility function inversion, and integer programming. We develop a general optimisation algorithm for use with k objectives, and we illustrate our approach using a tri-objective integer programming problem.
Cite
@article{arxiv.1011.2055,
title = {Optimising a nonlinear utility function in multi-objective integer programming},
author = {Melih Ozlen and Meral Azizoğlu and Benjamin A. Burton},
journal= {arXiv preprint arXiv:1011.2055},
year = {2013}
}
Comments
11 pages, 2 tables; v3: minor revisions, to appear in Journal of Global Optimization