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Necessary and sufficient conditions for Pareto efficiency in robust multiobjective optimization
KTH, Skolan för teknikvetenskap (SCI), Matematik (Inst.), Optimeringslära och systemteori. RaySearch Laboratories, Sweden.ORCID-id: 0000-0001-6642-3282
KTH, Skolan för teknikvetenskap (SCI), Matematik (Inst.), Optimeringslära och systemteori. RaySearch Laboratories, Sweden.
2017 (engelsk)Inngår i: European Journal of Operational Research, ISSN 0377-2217, E-ISSN 1872-6860, Vol. 262, nr 2, s. 682-692Artikkel i tidsskrift (Fagfellevurdert) Published
Abstract [en]

We provide necessary and sufficient conditions for robust efficiency (in the sense of Ehrgott et al., 2014) to multiobjective optimization problems that depend on uncertain parameters. These conditions state that a solution is robust efficient (under minimization) if it is optimal to a strongly increasing scalarizing function, and only if it is optimal to a strictly increasing scalarizing function. By counterexample, we show that the necessary condition cannot be strengthened to convex scalarizing functions, even for convex problems. We therefore define and characterize a subset of the robust efficient solutions for which an analogous necessary condition holds with respect to convex scalarizing functions. This result parallels the deterministic case where optimality to a convex and strictly increasing scalarizing function constitutes a necessary condition for efficiency. By a numerical example from the field of radiation therapy treatment plan optimization, we illustrate that the curvature of the scalarizing function influences the conservatism of an optimized solution in the uncertain case.

sted, utgiver, år, opplag, sider
ELSEVIER SCIENCE BV , 2017. Vol. 262, nr 2, s. 682-692
Emneord [en]
Multiobjective optimization, Robust optimization, Scalarization, Uncertainty, Convexity
HSV kategori
Identifikatorer
URN: urn:nbn:se:kth:diva-210329DOI: 10.1016/j.ejor.2017.04.012ISI: 000403525300023Scopus ID: 2-s2.0-85018278140OAI: oai:DiVA.org:kth-210329DiVA, id: diva2:1120085
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QC 20170705

Tilgjengelig fra: 2017-07-05 Laget: 2017-07-05 Sist oppdatert: 2017-07-05bibliografisk kontrollert

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