Identifying preferred solutions to Multi-Objective Binary Optimisation problems, with an application to the Multi-Objective Knapsack Problem

In this paper we present a new framework for identifying preferred solutions to multi-objective binary optimisation problems. We develop the necessary theory which leads to new formulations that integrate the decision space with the space of criterion weights. The advantage of this is that it allows...

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Bibliographic Details
Published in:Journal of global optimization 2011-02, Vol.49 (2), p.213-235
Main Authors: Argyris, Nikolaos, Figueira, José Rui, Morton, Alec
Format: Article
Language:English
Subjects:
Computer Science
Decision making
Knapsack problem
Mathematics
Mathematics and Statistics
Objectives
Operations Research/Decision Theory
Optimization
Preferences
Real Functions
Studies
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Summary:In this paper we present a new framework for identifying preferred solutions to multi-objective binary optimisation problems. We develop the necessary theory which leads to new formulations that integrate the decision space with the space of criterion weights. The advantage of this is that it allows for incorporating preferences directly within a unique binary optimisation problem which identifies efficient solutions and associated weights simultaneously. We discuss how preferences can be incorporated within the formulations and also describe how to accommodate the selection of weights when the identification of a unique solution is required. Our results can be used for designing interactive procedures for the solution of multi-objective binary optimisation problems. We describe one such procedure for the multi-objective multi-dimensional binary knapsack formulation of the portfolio selection problem.
ISSN:0925-5001
1573-2916
DOI:10.1007/s10898-010-9541-9