Benson type algorithms for linear vector optimization and applications

Andreas Hamel, Andreas Löhne () and Birgit Rudloff

Journal of Global Optimization, 2014, vol. 59, issue 4, 836 pages

Abstract: New versions and extensions of Benson’s outer approximation algorithm for solving linear vector optimization problems are presented. Primal and dual variants are provided in which only one scalar linear program has to be solved in each iteration rather than two or three as in previous versions. Extensions are given to problems with arbitrary pointed solid polyhedral ordering cones. Numerical examples are provided, one of them involving a new set-valued risk measure for multivariate positions. Copyright Springer Science+Business Media New York 2014

Keywords: Vector optimization; Multiple objective optimization; Linear programming; Duality; Algorithms; Outer approximation; Set-valued risk measure; Transaction costs; 90C29; 90C05; 90-08; 91G99 (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (16)

Downloads: (external link)
http://hdl.handle.net/10.1007/s10898-013-0098-2 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:jglopt:v:59:y:2014:i:4:p:811-836

Ordering information: This journal article can be ordered from
http://www.springer. ... search/journal/10898

DOI: 10.1007/s10898-013-0098-2

Access Statistics for this article

Journal of Global Optimization is currently edited by Sergiy Butenko

More articles in Journal of Global Optimization from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().