Guaranteeing highly robust weakly efficient solutions for uncertain multi-objective convex programs

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Title: Guaranteeing highly robust weakly efficient solutions for uncertain multi-objective convex programs
Authors: Goberna, Miguel A. | Jeyakumar, Vaithilingam | Li, Guoyin | Vicente-Pérez, José
Research Group/s: Laboratorio de Optimización (LOPT) | Desarrollo, Métodos Cuantitativos y Teoría Económica (DMCTE)
Center, Department or Service: Universidad de Alicante. Departamento de Matemáticas | Universidad de Alicante. Departamento de Fundamentos del Análisis Económico
Keywords: Robustness and sensitivity analysis | Multi-objective optimization | Convex optimization | Robust optimization | Robust efficient solutions
Knowledge Area: Estadística e Investigación Operativa | Fundamentos del Análisis Económico
Issue Date: 1-Oct-2018
Publisher: Elsevier
Citation: European Journal of Operational Research. 2018, 270(1): 40-50. doi:10.1016/j.ejor.2018.03.018
Abstract: This paper deals with uncertain multi-objective convex programming problems, where the data of the objective function or the constraints or both are allowed to be uncertain within specified uncertainty sets. We present sufficient conditions for the existence of highly robust weakly efficient solutions, that is, robust feasible solutions which are weakly efficient for any possible instance of the objective function within a specified uncertainty set. This is done by way of estimating the radius of highly robust weak efficiency under linearly distributed uncertainty of the objective functions. In the particular case of robust quadratic multi-objective programs, we show that these sufficient conditions can be expressed in terms of the original data of the problem, extending and improving the corresponding results in the literature for robust multi-objective linear programs under ball uncertainty.
Sponsor: This research was partially supported by the Australian Research Council, Discovery Project DP120100467 and the MINECO of Spain and ERDF of EU, Grants MTM2014-59179-C2-1-P and ECO2016-77200-P.
ISSN: 0377-2217 (Print) | 1872-6860 (Online)
DOI: 10.1016/j.ejor.2018.03.018
Language: eng
Type: info:eu-repo/semantics/article
Rights: © 2018 Elsevier B.V.
Peer Review: si
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Appears in Collections:INV - LOPT - Artículos de Revistas
INV - DMCTE - Artículos de Revistas

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