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Robust solutions to multi-objective linear programs with uncertain data
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DOI：10.1016/j.ejor.2014.10.027.png)
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Abstract
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In this paper we examine multi-objective linear programming problems in the face of data uncertainty both in the objective function and the constraints. First, we derive a formula for the radius of robust feasibility guaranteeing constraint feasibility for all possible scenarios within a specified uncertainty set under affine data parametrization. We then present numerically tractable optimality conditions for minmax robust weakly efficient solutions, i.e., the weakly efficient solutions of the robust counterpart. We also consider highly robust weakly efficient solutions, i.e., robust feasible solutions which are weakly efficient for any possible instance of the objective matrix within a specified uncertainty set, providing lower bounds for the radius of highly robust efficiency guaranteeing the existence of this type of solutions under affine and rank-1 objective data uncertainty. Finally, we provide numerically tractable optimality conditions for highly robust weakly efficient solutions. (C) 2014 Elsevier B.V. All rights reserved.
Keywords:
Robust optimization
Multi-objective linear programming
Data uncertainty
Robust feasibility
Robust weakly efficient solutions
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