A Complementarity Constraint Formulation of Convex Multiobjective Optimization Problems

Sven Leyffer
2009 INFORMS journal on computing  
W e propose a new approach to convex nonlinear multiobjective optimization that captures the geometry of the Pareto set by generating a discrete set of Pareto points optimally. We show that the problem of finding a maximally uniform representation of the Pareto surface can be formulated as a mathematical program with complementarity constraints. The complementarity constraints arise from modeling the set of Pareto points, and the objective maximizes some quality measure of this discrete set. We
more » ... is discrete set. We present encouraging numerical experience on a range of test problems collected from the literature.
doi:10.1287/ijoc.1080.0290 fatcat:tnii762ayjgyjhtuj6objvwhr4