The effect of transformations on the approximation of univariate (convex) functions with applications to Pareto curves

A.Y.D. Siem, Dick Den Hertog and A.L. Hoffmann

European Journal of Operational Research, 2008, vol. 189, issue 2, 347-362

Abstract: In the literature, methods for the construction of piecewise linear upper and lower bounds for the approximation of univariate convex functions have been proposed. We study the effect of the use of transformations on the approximation of univariate (convex) functions. In this paper, we show that these transformations can be used to construct upper and lower bounds for nonconvex functions. Moreover, we show that by using such transformations of the input variable or the output variable, we obtain tighter upper and lower bounds for the approximation of convex functions than without these approximations. We show that these transformations can be applied to the approximation of a (convex) Pareto curve that is associated with a (convex) bi-objective optimization problem.

Date: 2008
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