Minmax robustness for multi-objective optimization problems

Ehrgott, Matthias and Ide, Jonas and Schoebel, Anita (2014) Minmax robustness for multi-objective optimization problems. European Journal of Operational Research, 239 (1). pp. 17-31. ISSN 0377-2217

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Abstract

In real-world applications of optimization, optimal solutions are often of limited value, because disturbances of or changes to input data may diminish the quality of an optimal solution or even render it infeasible. One way to deal with uncertain input data is robust optimization, the aim of which is to find solutions which remain feasible and of good quality for all possible scenarios, i.e., realizations of the uncertain data. For single objective optimization, several definitions of robustness have been thoroughly analyzed and robust optimization methods have been developed. In this paper, we extend the concept of minmax robustness (Ben-Tal, Ghaoui, & Nemirovski, 2009) to multi-objective optimization and call this extension robust efficiency for uncertain multi-objective optimization problems. We use ingredients from robust (single objective) and (deterministic) multi-objective optimization to gain insight into the new area of robust multi-objective optimization. We analyze the new concept and discuss how robust solutions of multi-objective optimization problems may be computed. To this end, we use techniques from both robust (single objective) and (deterministic) multi-objective optimization. The new concepts are illustrated with some linear and quadratic programming instances.

Item Type: Journal Article
Journal or Publication Title: European Journal of Operational Research
Uncontrolled Keywords: /dk/atira/pure/subjectarea/asjc/1800/1802
Subjects:
Departments: Lancaster University Management School > Management Science
ID Code: 80951
Deposited By: ep_importer_pure
Deposited On: 16 Sep 2016 08:00
Refereed?: Yes
Published?: Published
Last Modified: 19 Feb 2020 03:17
URI: https://eprints.lancs.ac.uk/id/eprint/80951

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