A new Pareto set generating method for multi-criteria optimization problems

This paper proposes a new classical method to capture the complete Pareto set of a multi-criteria optimization problem (MOP) even without having any prior information about the location of Pareto surface. The solutions obtained through the proposed method are globally Pareto optimal. Moreover, each and every global Pareto optimal point is within the attainable range. This paper also suggests a procedure to ensure the proper Pareto optimality of the outcomes if slight modifications are allowed in the constraint set of the MOP under consideration. Among the set of all outcomes, the proposed method can effectively detect the regions of unbounded trade-offs between the criteria, if they exist.     

A GRASP algorithm for the multi-criteria minimum spanning tree problem

This paper proposes a GRASP (Greedy Randomized Adaptive Search Procedure) algorithm for the multi-criteria minimum spanning tree problem, which is NP-hard. In this problem a vector of costs is defined for each edge of the graph and the problem is to find all Pareto optimal or efficient spanning trees (solutions). The algorithm is based on the optimization of different weighted utility functions. In each iteration, a weight vector is defined and a solution is built using a greedy randomized constructive procedure. The found solution is submitted to a local search trying to improve the value of the weighted utility function. We use a drop-and-add neighborhood where the spanning trees are represented by Prufer numbers. In order to find a variety of efficient solutions, we use different weight vectors, which are distributed uniformly on the Pareto frontier. The proposed algorithm is tested on problems with r=2 and 3 criteria. For non-complete graphs with n=10, 20 and 30 nodes, the performance of the algorithm is tested against a complete enumeration. For complete graphs with n=20, 30 and 50 nodes the performance of the algorithm is tested using two types of weighted utility functions. The algorithm is also compared with the multi-criteria version of the Kruskal’s algorithm, which generates supported efficient solutions. This work was funded by the Municipal Town Hall of Campos dos Goytacazes city. The used computer was acquired with resource of CNPq.     

Smoothing method in multi-criteria transportation network equilibrium problem

ABSTRACT

This paper is aimed to study a single-product multi-criteria transportation network with capacity constraints. We use a vector version of the Heaviside Step function to construct an optimization problem, the solutions of which form the set of equilibria of our model. We propose two methods to solve this problem. The first one is based on a modified Frank-Wolfe gradient algorithm, and the second one is based on smoothing the objective function, the optimal solutions of which can be obtained by optimization tools. Numerical examples are also given to illustrate our approaches.     

On the integrality of an extreme solution to pluperfect graph and balanced systems

Let A be a nonnegative integer matrix, and let e denote the vector all of whose components are equal to 1. The pluperfect graph theorem states that if for all integer vectors b the optimal objective value of the linear program minse′xvbAx ? b, x ? 0 s is integer, then those linear programs possess optimal integer solutions. We strengthen this theorem and show that any lexicomaximal optimal solution to the above linear program (under any arbitrary ordering of the variables) is integral and an extreme point of sxvbAx ? b, x ? 0 s. We note that this extremality property of integer solutions is also shared by covering as well as packing problems defined by a balanced matrix A.     

A path following method for box-constrained multiobjective optimization with applications to goal programming problems

We propose a path following method to find the Pareto optimal solutions of a box-constrained multiobjective optimization problem. Under the assumption that the objective functions are Lipschitz continuously differentiable we prove some necessary conditions for Pareto optimal points and we give a necessary condition for the existence of a feasible point that minimizes all given objective functions at once. We develop a method that looks for the Pareto optimal points as limit points of the trajectories solutions of suitable initial value problems for a system of ordinary differential equations. These trajectories belong to the feasible region and their computation is well suited for a parallel implementation. Moreover the method does not use any scalarization of the multiobjective optimization problem and does not require any ordering information for the components of the vector objective function. We show a numerical experience on some test problems and we apply the method to solve a goal programming problem.     

Multi-criteria TSP: Min and max combined

We present randomized approximation algorithms for multi-criteria traveling salesman problems (TSP), where some objective functions should be minimized while others should be maximized. For the symmetric multi-criteria TSP (STSP), we present an algorithm that computes (2/3,3+ε)-approximate Pareto curves. Here, the first parameter is the approximation ratio for the objectives that should be maximized, and the second parameter is the ratio for the objectives that should be minimized. For the asymmetric multi-criteria TSP (ATSP), we obtain an approximation performance of (1/2,log₂n+ε).     

Nondominated Nash points: application of biobjective mixed integer programming

We study the connection between biobjective mixed integer linear programming and normal form games with two players. We first investigate computing Nash equilibria of normal form games with two players using single-objective mixed integer linear programming. Then, we define the concept of efficient (Pareto optimal) Nash equilibria. This concept is precisely equivalent to the concept of efficient solutions in multi-objective optimization, where the solutions are Nash equilibria. We prove that the set of all points in the payoff (or objective) space of a normal form game with two players corresponding to the utilities of players in an efficient Nash equilibrium, the so-called nondominated Nash points, is finite. We demonstrate that biobjective mixed integer linear programming, where the utility of each player is an objective function, can be used to compute the set of nondominated Nash points. Finally, we illustrate how the nondominated Nash points can be used to determine the disagreement point of a bargaining problem.     

NAUTILUS method: An interactive technique in multiobjective optimization based on the nadir point

Most interactive methods developed for solving multiobjective optimization problems sequentially generate Pareto optimal or nondominated vectors and the decision maker must always allow impairment in at least one objective function to get a new solution. The NAUTILUS method proposed is based on the assumptions that past experiences affect decision makers’ hopes and that people do not react symmetrically to gains and losses. Therefore, some decision makers may prefer to start from the worst possible objective values and to improve every objective step by step according to their preferences. In NAUTILUS, starting from the nadir point, a solution is obtained at each iteration which dominates the previous one. Although only the last solution will be Pareto optimal, the decision maker never looses sight of the Pareto optimal set, and the search is oriented so that (s)he progressively focusses on the preferred part of the Pareto optimal set. Each new solution is obtained by minimizing an achievement scalarizing function including preferences about desired improvements in objective function values. NAUTILUS is specially suitable for avoiding undesired anchoring effects, for example in negotiation support problems, or just as a means of finding an initial Pareto optimal solution for any interactive procedure. An illustrative example demonstrates how this new method iterates.     

Proximal Point Algorithms for Convex Multi-criteria Optimization with Applications to Supply Chain Risk Management

We study a class of convex multi-criteria optimization problems with convex objective functions under linear constraints. We use a non-scalarization method—namely, two implementable proximal point algorithms—to obtain the Pareto optimum under multi-criteria optimization. We show that the algorithms are globally convergent. We apply the algorithms to a supply chain risk management problem under multi-criteria considerations.     

Genetic algorithm approach on multi-criteria minimum spanning tree problem

Minimum Spanning Tree (MST) problem is of high importance in network optimization. The multi-criteria MST (mc-MST) is a more realistic representation of the practical problem in the real world, but it is difficult for the traditional network optimization technique to deal with. In this paper, a genetic algorithm (GA) approach is developed to deal with this problem. Without neglecting its network topology, the proposed method adopts the Prüfer number as the tree encoding and applies the Multiple Criteria Decision Making (MCDM) technique and nondominated sorting technique to make the GA search give out all Pareto optimal solutions either focused on the region near the ideal point or distributed all along the Pareto frontier. Compared with the enumeration method of Pareto optimal solution, the numerical analysis shows the efficiency and effectiveness of the GA approach on the mc-MST problem.     

A Proximal Point-Type Method for Multicriteria Optimization

In this paper, we present a proximal point algorithm for multicriteria optimization, by assuming an iterative process which uses a variable scalarization function. With respect to the convergence analysis, firstly we show that, for any sequence generated from our algorithm, each accumulation point is a Pareto critical point for the multiobjective function. A more significant novelty here is that our paper gets full convergence for quasi-convex functions. In the convex or pseudo-convex cases, we prove convergence to a weak Pareto optimal point. Another contribution is to consider a variant of our algorithm, obtaining the iterative step through an unconstrained subproblem. Then, we show that any sequence generated by this new algorithm attains a Pareto optimal point after a finite number of iterations under the assumption that the weak Pareto optimal set is weak sharp for the multiobjective problem.     

Computing multiobjective Markov chains handled by the extraproximal method

This paper suggests a new method for generating the Pareto front in multi-objective Markov chains, which overcomes some existing drawbacks in multi-objective methods: a fundamental issue is to find strong Pareto policies which are policies whose cost-function value is the closest in Euclidean norm to the utopian point. Each strong Pareto policy is reached when each cost-function, constrained by the strategy of others, cannot improve further its own criterion. Constraints associated to the objective function are implemented formulating the problem as a bi-level optimization approach. We convert the problem into a single level optimization approach by introducing a generalized Lagrangian function to represent the original multi-objective problem in terms of a related nonlinear programming problem. Then, we apply the Tikhonov regularization method to the objective function. The regularization method ensures that all the possible Pareto policies to be generated along the Pareto front are strong Pareto policies. For solving the problem we employ the extra-proximal method. The method effectively approximates to every optimal Pareto point, which in this case is a strong Pareto point, in the Pareto front. The experimental result, applied to the route selection for counter-kidnapping problem, validates the effectiveness and usefulness of the method.     

Approximate Greatest Descent Methods for Optimization with Equality Constraints

In an optimization problem with equality constraints the optimal value function divides the state space into two parts. At a point where the objective function is less than the optimal value, a good iteration must increase the value of the objective function. Thus, a good iteration must be a balance between increasing or decreasing the objective function and decreasing a constraint violation function. This implies that at a point where the constraint violation function is large, we should construct noninferior solutions relative to points in a local search region. By definition, an accessory function is a linear combination of the objective function and a constraint violation function. We show that a way to construct an acceptable iteration, at a point where the constraint violation function is large, is to minimize an accessory function. We develop a two-phases method. In Phase I some constraints may not be approximately satisfied or the current point is not close to the solution. Iterations are generated by minimizing an accessory function. Once all the constraints are approximately satisfied, the initial values of the Lagrange multipliers are defined. A test with a merit function is used to determine whether or not the current point and the Lagrange multipliers are both close to the optimal solution. If not, Phase I is continued. If otherwise, Phase II is activated and the Newton method is used to compute the optimal solution and fast convergence is achieved.     

ParEGO extensions for multi-objective optimization of expensive evaluation functions

This paper deals with multi-objective optimization in the case of expensive objective functions. Such a problem arises frequently in engineering applications where the main purpose is to find a set of optimal solutions in a limited global processing time. Several algorithms use linearly combined criteria to use directly mono-objective algorithms. Nevertheless, other algorithms, such as multi-objective evolutionary algorithm (MOEA) and model-based algorithms, propose a strategy based on Pareto dominance to optimize efficiently all criteria. A widely used model-based algorithm for multi-objective optimization is Pareto efficient global optimization (ParEGO). It combines linearly the objective functions with several random weights and maximizes the expected improvement (EI) criterion. However, this algorithm tends to favor parameter values suitable for the reduction of the surrogate model error, rather than finding non-dominated solutions. The contribution of this article is to propose an extension of the ParEGO algorithm for finding the Pareto Front by introducing a double Kriging strategy. Such an innovation allows to calculate a modified EI criterion that jointly accounts for the objective function approximation error and the probability to find Pareto Set solutions. The main feature of the resulting algorithm is to enhance the convergence speed and thus to reduce the total number of function evaluations. This new algorithm is compared against ParEGO and several MOEA algorithms on a standard benchmark problems. Finally, an automotive engineering problem allowing to illustrate the applicability of the proposed approach is given as an example of a real application: the parameter setting of an indirect tire pressure monitoring system.     

A Post-Optimality Analysis Algorithm for Multi-Objective Optimization

Algorithms for multi-objective optimization problems are designed to generate a single Pareto optimum (non-dominated solution) or a set of Pareto optima that reflect the preferences of the decision-maker. If a set of Pareto optima are generated, then it is useful for the decision-maker to be able to obtain a small set of preferred Pareto optima using an unbiased technique of filtering solutions. This suggests the need for an efficient selection procedure to identify such a preferred subset that reflects the preferences of the decision-maker with respect to the objective functions. Selection procedures typically use a value function or a scalarizing function to express preferences among objective functions. This paper introduces and analyzes the Greedy Reduction (GR) algorithm for obtaining subsets of Pareto optima from large solution sets in multi-objective optimization. Selection of these subsets is based on maximizing a scalarizing function of the vector of percentile ordinal rankings of the Pareto optima within the larger set. A proof of optimality of the GR algorithm that relies on the non-dominated property of the vector of percentile ordinal rankings is provided. The GR algorithm executes in linear time in the worst case. The GR algorithm is illustrated on sets of Pareto optima obtained from five interactive methods for multi-objective optimization and three non-linear multi-objective test problems. These results suggest that the GR algorithm provides an efficient way to identify subsets of preferred Pareto optima from larger sets.     

On the cardinality of the Pareto set in bicriteria shortest path problems

Computing shortest paths with two or more conflicting optimization criteria is a fundamental problem in transportation and logistics. We study the problem of finding all Pareto-optimal solutions for the multi-criteria single-source shortest-path problem with nonnegative edge lengths. The standard approaches are generalizations of label-setting (Dijkstra) and label-correcting algorithms, in which the distance labels are multi-dimensional and more than one distance label is maintained for each node. The crucial parameter for the run time and space consumption is the total number of Pareto optima. In general, this value can be exponentially large in the input size. However, in various practical applications one can observe that the input data has certain characteristics, which may lead to a much smaller number—small enough to make the problem efficiently tractable from a practical viewpoint. For typical characteristics which occur in various applications we study in this paper whether we can bound the size of the Pareto set to a polynomial size or not. These characteristics are also evaluated (1) on a concrete application scenario (computing the set of best train connections in view of travel time, fare, and number of train changes) and (2) on a simplified randomized model. It will turn out that the number of Pareto optima on each visited node is restricted by a small constant in our concrete application, and that the size of the Pareto set is much smaller than our worst case bounds in the randomized model. A preliminary short version of this paper appeared in the Proceedings of the 5th Workshop on Algorithm Engineering (WAE 2001), LNCS 2141, Springer Verlag, pp. 185–197 (2001) under the title “Pareto shortest paths is often feasible in practice.”     

On goal programming formulations of the reference point method

This paper discusses connections between the multi-criteria techniques of goal programming (GP) and the reference point method (RPM). Both approaches use a certain target point in the criterion (outcome) space as a key element to model decision maker preferences. Therefore, RPM can be expressed, similarly to GP, in the modelling framework of deviational variables. The paper gives a systematic survey and analysis of the lexicographic GP models of RPM. The corresponding preference models are formalised and analysed with respect to target values interpretations as well as the Pareto efficiency of their solutions. The properties of equity among the individual achievements of solutions are also analysed with respect to the Rawlsian principle of justice.     

考虑加工效率变化的变速机干扰管理研究

在变速机生产排序中, 受来自企业外部可改变机器加工效率的突发性干扰事件影响, 初始最小化企业生产成本的加工时间表不再最优,需要对其调整并在生产成本和干扰事件扰动之间进行权衡。建立了同时考虑生产成本和干扰事件扰动的重排序模型, 生产成本为所有机器的负载之和, 干扰事件的扰动为工件在不同机器之间重新安排所产生的运输费用和。设计了求解该重排序问题有效前沿的算法, 以及利用决策者对两个目标的偏好将双目标转化成一个二元非线性函数后, 求解优化该函数的有效解的算法。通过数值算例验证与整个有效前沿相比,优化二元函数的算法只需搜索部分有效前沿即可求出最优解,降低了有效解的搜索比例和运行时间,提高了干扰管理问题的处理效率。     

Portfolio selection problem with interval coefficients

We investigate the portfolio selection problem with interval objective function coefficients as a multiple objective problem including uncertainties. Robust efficient solutions, Pareto optimal for all possible perturbation of coefficients within given intervals, are secure and conservative solutions. Using preference cones we show that the robust efficient solutions can be identified by working with only a finite subset of the possible perturbations of the coefficients.     

Solution of a tropical optimization problem with linear constraints

An optimization problem is considered that is formulated in terms of tropical (idempotent) mathematics and consists in the minimization of a nonlinear function in the presence of linear constraints on the domain of admissible values. The objective function is defined on the set of vectors over an idempotent semifield by a matrix with the use of the operation of multiplicative conjugate transposition. The problem considered is a further generalization of several known problems in which the solution involves the calculation of the spectral radius of the matrix. This generalization implies the use of a more complicated objective function compared with that in the above-mentioned problems, and the imposition of additional constraints. To solve the new problem, an auxiliary variable is introduced that describes the minimum value of the objective function. Then the problem reduces to solving an inequality in which the auxiliary variable plays the role of a parameter. Necessary and sufficient conditions for the existence of solutions to the inequality are used to calculate the parameter, and then the general solution of the inequality is taken as a solution to the original optimization problem. Numerical examples of the solution of problems on the set of two-dimensional vectors are presented.