Multiple objective linear programming over the probability simplex

2024/12/27 by Anas Mifrani, Mifrani, Anas
Decision Sciences · Engineering · Mathematics · #Multi-Criteria Decision Making #Optimization and Mathematical Programming #Fuzzy Systems and Optimization

paper · pdf · doi:10.48550/arxiv.2412.19598

Abstract

This paper considers the problem of maximizing multiple linear functions over the probability simplex. A classification of feasible points is indicated. A necessary and sufficient condition for a member of each class to be an efficient solution is stated. This characterization yields a computational procedure for ascertaining whether a feasible point is efficient. The procedure does not require that candidates for efficiency be extreme points. An illustration of the procedure is offered.

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