REVERSE POLYBLOCK APPROXIMATION REVERSE POLYBLOCK APPROXIMATION FOR OPTIMIZATION OVER THE WEAKLY EFFICIENT SET AND EFFICIENT SET

Reverse Polyblock Approximation for Optimization Over the ?eakly Efficient Set and Efficient Set

Le Tu Luc

Abstract

A new method is developed for maximizing a concave function over the weakly efficient set, or the efficient set. The method consists of converting the problem into a monotonic optimization problem and solving the latter by a reverse polyblock approximation algorithm.