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Finland 2010 1 Multiple Criteria Optimization: Some Introductory Topics Ralph E. Steuer Department of Banking & Finance University of Georgia Athens, Georgia 30602-6253 USA

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Finland 2010 1

Multiple Criteria Optimization:Some Introductory Topics

Ralph E. SteuerDepartment of Banking & Finance

University of GeorgiaAthens, Georgia 30602-6253 USA

Finland 2010 2

[email protected]

Finland 2010 3

Tchebycheff contour

probing direction

feasible region in criterion space

1 1max{ (x) }

max{ (x) }x

k k

f = z

f = zs .t . S∈

M

Z

Finland 2010 4

Production planningmin { cost }min { fuel consumption }min { production in a given geographical area }

River basin management

achieve { BOD standards }min { nitrate standards }min { pollution removal costs } achieve { municipal water demands }min { groundwater pumping }

Oil refiningmin { cost }min { imported crude }min { environmental pollution } min { deviations from demand slate }

Finland 2010 5

Sausage blending

min { cost }max { protein }min { fat } min { deviations from moisture target }

Portfolio selection in finance

min { variance }max { expected return }max { dividends }max { liquidity }max { social responsibility }

Finland 2010 6

Discrete Alternative Methods

Multiple Criteria Optimization

1 1max{ (x) }

max{ (x) }x

k k

f = z

f = zs .t . S∈

M

Finland 2010 7

1. Decision Space vs. Criterion Space2. Contenders for Optimality3. Criterion and Semi-Positive Polar Cones4. Graphical Detection of the Efficient Set5. Graphical Detection of the Nondominated Set6. Nondominated Set Detection with Min and Max

Objectives7. Image/Inverse Image Relationship and Collapsing8. Unsupported Nondominated Criterion Vectors

Finland 2010 8

1 1max{ (x) }

max{ (x) }x

k k

f = z

f = zs .t . S∈

M

11max{ c x }

max{ c x }x

kk

= z

= zs .t . S∈

M

But if all objectives and constraints are linear, we write

in which case we have a multiple objective linear program (MOLP).

In the general case, we write

Finland 2010 9

1 2 1

1 2 2

max{ }max{ 2 }. . x

x x zx x z

s t S

− =− + =

z1

z2

Z

z1

z2z3

z4 = (3, -2)

= (0, 3)= (-1, 3)

1. Decision Space vs. Criterion Space

S

x1

x2

c1

c2

x1

x2

x3

x4 = (4, 1)

= (3, 3)

= (1, 2)

criterion objective outcome attribute evaluation image

Finland 2010 10

S

x1

x2

Morphing of S into Z as we change coordinate system

Finland 2010 11

Finland 2010 12

Finland 2010 13

Finland 2010 14

z1

z2

Z

Finland 2010 15

2. Contenders for Optimality

Points (criterion vectors) in criterion space are either nondominated or dominated.

Their points in decision space are either efficient or inefficient.

We are interested in nondominated criterion vectors and their efficient points because only they are contenders for optimality.

Finland 2010 16

3. Criterion and Nonnegative Polar Cones

Criterion cone -- convex cone generated by the gradients of the objective functions.

S

x1

x2

c1

c2

Finland 2010 17

S

x1

x2

c1

c2

The larger the criterion cone (i.e., the more conflict there is in the problem), the bigger the efficient set.

Finland 2010 18

S

x1

x2

c1

c2

Nonnegative polar of the criterion cone -- set of vectors that make 90o or less angle with all objective function gradients. In the case of an MOLP, given by

{y : c y 0, 1, , }n iR i = k∈ ≥ K

Contains all points that dominate its vertex.

Finland 2010 19

4. Graphical Detection of the Efficient Set

Example 1

observe the criterion cone.

Sx1

x2

c1

c2

Finland 2010 20

form nonnegative polar cone

Sx1

x2

c1

c2

Finland 2010 21

Sx1

x2

c1

c2

x1

x2

x3

move it around

Finland 2010 22

Sx1

x2

c1

c2

x1

x2

x3

1 2 2 3

1 2 3x

efficient set E = [x x ] [x x ]set of efficient extreme points E = {x , x , x }

, ,≡ γ ∪ γ

Finland 2010 23

Sx1

x2

c1

c2

x1

x2

x3

1 2 2 3

1 2 3x

efficient set E = [x x ] [x x ]set of efficient extreme points E = {x , x , x }

, ,≡ γ ∪ γ

Finland 2010 24

Sx1

x2

c1

c2

x1

x2

x3

1 2 2 3

1 2 3x

efficient set E = [x x ] [x x ]set of efficient extreme points E = {x , x , x }

, ,≡ γ ∪ γ

Finland 2010 25

Sx1

x2

c1

c2

x1

x2

x3

Only when there is no intersection at other than the vertex of the cone

Finland 2010 26

S

x1

x2

c1

c2

Graphical Detection of the Efficient Set

Example 2

observe criterion cone

Finland 2010 27

S

x1

x2

c1

c2

form nonnegative polar cone

Finland 2010 28

1 2 3 4 5E = [x x ) {x } (x x ], ,∂ ∪ ∪ ∂

S

x1

x2

c1

c2

x1

x2

x3

x4

x5

Finland 2010 29

1 2 3 4 5E = [x x ) {x } (x x ], ,∂ ∪ ∪ ∂

S

x1

x2

c1

c2

x1

x2

x3

x4

x5

(observe that x2 and x4 are not efficient)

Finland 2010 30

Graphical Detection of the Efficient Set

Example 3

x1

x2

x1

x2

x3

x4

x5

x6

c1

c2

Note small size of criterion cone and that S consists of only 6 points.

Finland 2010 31

x1

x2

x1

x2

x3

x4

x5

x6

c1

c2

Small criterion cone results in a large nonnegative polar cone.

(this makes it harder for points to be efficient).

Finland 2010 32

6E = {x }Moving nonnegative polar cone around.

x1

x2

x1

x2

x3

x4

x5

x6

c1

c2

Finland 2010 33

z1

z2

Z

5. Graphical Detection of the Nondominated Set

To determine if a criterion vector in Z is nondominated, translate nonnegative orthant in Rk to the point.

move nonnegative orthant around

max max

Finland 2010 34

try to identify the entire nondominated set

z1

z2

Z

Finland 2010 35

z1

z2

Z

z1

z2

z3

1 2 2 3nondominated set N = [z z ] [z z ], ,γ≡ ∂ ∪

Finland 2010 36

z1

z2

Z

Now, move nonnegative orthant around.

max max

Finland 2010 37

z1

z2

Z

z1

z2 z3

z4

z5

z6

Finland 2010 38

z1

z2

Z

z1

z2 z3

z4

z5

z6

Finland 2010 39

z1

z2

Z

z1

z2 z3

z4

z5

z6

Finland 2010 40

z1

z2

Z

z1

z2 z3

z4

z5

z6

Finland 2010 41

z1

z2

Z

z1

z2 z3

z4

z5

z6

1 2 3 4 5 6N = [z z ) [z z ] (z z ], , ,∂ ∪ ∂ ∪ ∂

Finland 2010 42

z1

z2

6. Nondominated Set Detection with Min and Max Objectives

max max

Z

Finland 2010 43

z1

z2

Z

max max

Finland 2010 44

z1

z2

Z

max max

Finland 2010 45

z1

z2

Z

max max

Finland 2010 46

z1

z2

Z

max max

Finland 2010 47

z1

z2 min max

Z

Finland 2010 48

z1

z2

Z

min max

Finland 2010 49

z1

z2

Z

min max

Finland 2010 50

z1

z2

Z

min max

Finland 2010 51

z1

z2min min

Z

Finland 2010 52

z1

z2

Z

min min

Finland 2010 53

z1

z2 max min

Z

Finland 2010 54

z1

z2

Z

max min

Finland 2010 55

Let z . Then z is if and only if there doesnot exist another z Z such that for all and for

at least one Otherwise z is .

Let x . Then x is if and

i i j j

Z nondominatedz z i z z

j . , dominated

S efficient

∈∈ ≥ >

∈ only its criterion vector zis nondominated. Otherwise x is ., inefficient

In other words,

image of an efficient point is a nondominated criterion vector inverse image of a nondominated criterion vector is an eff point

Finland 2010 56

1 2 3 1

1 2 3 2

max{3 2 }max{ }. . x unit cube

x x x zx x x z

s t S

+ − =− + + =∈ =

7. Image/Inverse Image Relationship and Collapsing

dimensionality of S is n, but dimensionality of Z is k.

x1x5

x2 x6

x4 x8

x3 x7

x1

x2

x3

c1

c2

= (1, 1, 0)

S

z4

z1

z2

z1

z3

z6

z2

z5

z7

z8

2

Z = (2, 1)

= (4, 0)

= (-2, 1)

Finland 2010 57

8. Unsupported Nondominated Criterion Vectors

A nondominated criterion vector is supported or unsupported.

Unsupported if dominated by a convex combination of other feasible criterion vectors.

Unsupported nondominated criterion vectors are typically hard to compute.

Finland 2010 58

1 2 1

1 2 2

max{ 9 }max{ 3 8 }. . x

x x zx x z

s t S

− + =− =∈

z1

z2x2

x115

c2

c1

2

Finland 2010 59

1 2 1

1 2 2

max{ 9 }max{ 3 8 }. . x

x x zx x z

s t S

− + =− =∈

z1

z2x2

x115

c2

c1

2

-15

x1 x2 x3

z3

z2

z1

x4

x5

z4

z5

Finland 2010 60

1 2 1

1 2 2

max{ 9 }max{ 3 8 }. . x

x x zx x z

s t S

− + =− =∈

supp 1 2 3 4 5

unsupp supp

N = N {z , z , z , z , z }

N N

Z

Z=

= −

z1

z2x2

x115

c2

c1

2

-15

x1 x2 x3

z3

z2

z1

x4

x5

z4

z5

Finland 2010 61

z1

z2

Z z1

z2

supp 1

unsupp 2

N {z }N {z }

=

=

Finland 2010 62

Multiple Criteria Optimization:An Introduction (Continued)

Ralph E. SteuerDepartment of Banking & Finance

University of GeorgiaAthens, Georgia 30602-6253 USA

Finland 2010 63

Recall9. Ideal way?10. Contours, Upper Level Sets and Quasiconcavity11. More-Is-Always-Better-Than-Less vs. Quasiconcavity12. ADBASE13. Size of the Nondominated Set14. Criterion Value Ranges over Nondominated Set15. Nadir Criterion Values16. Payoff Tables17. Filtering18. Stamp/Coin Example19. Weighted-Sums Method20. e-Constraint Method

Finland 2010 64

1 2 1

1 2 2

max{ }max{ 2 }. . x

x x zx x z

s t S

− =− + =

z1

z2

Z

z1

z2z3

z4 = (3, -2)

= (0, 3)= (-1, 3)

S

x1

x2

c1

c2

x1

x2

x3

x4 = (4, 1)

= (3, 3)

= (1, 2)

Recall

Finland 2010 65

Z

zo

z1

z2

1max{ ( , , )}. . (x) 1, ,

x

k

i i

U z zs t f z i k

S= =∈

K

K

Assess a decision maker’s utility function UUUUUUaand solve: kU R R→

9. Ideal Way?

Finland 2010 66

Maybe not good for four reasons.

1. Difficulty in assessing U

2. U is almost certainly nonlinear

3. Generates only one solution

4. Does not allow for learning

Finland 2010 67

A U is quasiconcave if all upper level sets are convex.

10. Contours, Upper Level Sets, and Quasiconcavity

1 2 3 4 5 6 7 8

U

z1

z2

z1

6

4

2

8

Finland 2010 68

1 2 3 4 5 6 7 8

U

z1

z2

z1 z2

z2z1

6

4

2

8

Finland 2010 69

1 2 3 4 5 6 7 8

U

z1

z2

z1 z2

z2z1

6

4

2

8

Finland 2010 70

1 2 3 4 5 6 7 8

U

z1

z2

z1 z2

z2z1

6

4

2

8

Finland 2010 71

1 2 3 4 5 6 7 8

U

z1

z2

z1 z2

z2z1

6

4

2

8

Quasiconcave functions have at most one top.

Finland 2010 72

11. More-Is-Always-Better-Than-Less (i.e, Coordinate-wise increasing) vs. Quasiconcavity

1 3 5 7 9

U

z1

z2

6

4

2

8

Z

Finland 2010 73

More-is-always-better-than-less does not imply that all local optima are global optima

1 3 5 7 9

z1

z2

Zz1

z2

z1 is a local optimum, but z2 is the global optimum.

Finland 2010 74

1 3 5 7 9

U

z1

z2

6

4

2

8

Z

z3

z4

z4z3

More-is-always-better-than-less does not imply quasiconcavity

Finland 2010 75

1 3 5 7 9

U

z1

z2

6

4

2

8

Z

z3

z4

z4z3

Finland 2010 76

1 3 5 7 9

U

z1

z2

6

4

2

8

Z

z3

z4

z4z3

Finland 2010 77

• Nondominated set N -- set of all potentially optimal criterion vectors.

• Efficient set E -- set of all potentially optimal solutions.

Assuming that U is coordinate-wise increasing:

Finland 2010 78

12. ADBASE

In an MOLP, of course, efficient set is a portion of the surface of S, and nondominated set is a portion of the surface of Z.

ADBASE is for MOLPs. It computes all of the extreme points of S that efficient, and hence all of the vertices of Z that are nondominated in an MOLP.

Finland 2010 79

13. Size of the Efficient and Nondominated Sets

MOLP ave efficient aveproblem size extreme pts CPU time3 x 100 x 150 13,415 363 x 250 x 375 285,693 5,5734 x 50 x 75 19,921 245 x 35 x 45 15,484 145 x 60 x 90 414,418 1,223

Finland 2010 80

14. Criterion Value Ranges over the Nondominated Set

Obj1 Obj2 Obj3 Obj4 Obj5

100

0

50

The lower bounds on the ranges are called nadir criterion values.

If know nondominated set ahead of time, can “warm up” decision maker with following information.

Finland 2010 81

Obj1 Obj2 Obj3 Obj4 Obj5

100

0

50

max

nad

(110, 90,100, 50, 40)estimated ( 30, 10, 60, 20, 20)

=

= − −

zz

15. Nadir Criterion Values

If don’t know nondominated set ahead of time, true nadir criterion vector can be difficult to obtain.

Finland 2010 82

Obj1 Obj2 Obj3

15

-15

0

16. Payoff TableObtained by individually maximizing each objective over S. But minimum column values often over-estimate nadir values.

x1

x2

c2

c3

c1

S

= (3, 0)

= (-1, 3)

= (-1, -3)

x1

x2

x3

x4

15 1 -11

12 8 -16

12 -4 -4

z1

z2

z3

Finland 2010 83

Obj1 Obj2 Obj3

10

-15

0

In this problem E = S. True nadir value for Obj1 is 0 not 12.

x1

x2

c2

c3

c1

S

= (3, 0)

= (-1, 3)

= (-1, -3)

x1

x2

x3

x4

15 1 -11

12 8 -16

12 -4 -4

z1

z2

z3

Finland 2010 84

The larger the problem, the greater the likelihood that the payoff table column minimum values will be wrong.

After about 5 x 20 x 30, most will be wrong.

Finland 2010 85

17. Filtering

Reducing 8 vectors down to a dispersed subset of size 5

z1

z2

z3

z4

z5

z6

z7

z8

z1

z2

Finland 2010 86

First point z1

always retained by filter.

z1

z2

z3

z4

z5

z6

z7

z8

z1

z2

Finland 2010 87

z2

retained by filter, but z3 and z5 discarded.

z1

z2

z3

z4

z5

z6

z7

z8

z1

z2

Finland 2010 88

z4

retained by filter, but z8

discarded.

z1

z2

z3

z4

z5

z6

z7

z8

z1

z2

Finland 2010 89

z6

retained by filter, but z7

discarded.

z1

z2

z3

z4

z5

z6

z7

z8

z1

z2

Wanted 5 but got 4. Reduce neighborhood, then do again. After a number of iterations, will converge to desired size.

Finland 2010 90

Z

z1

z2 (Coins)

(Stamps)

z1

z2

z3

18. Stamp/Coin Example

Finland 2010 91

Z

z1

z2 (Coins)

(Stamps)

z1

z2

z3

Finland 2010 92

19. Weighted-Sums Method

1. decision-maker’s preferences.

2. scale in which the objectives are measured (e.g., cubic feet versus board feet of lumber).

3. shape of the feasible region

But how to pick the weights because they are a function of

max{ Cx}. . x

T

s t Sλ∈

11max{ c x }

max{ c x }. . x

kk

z

zs t S

=

=∈

M

May also get flip-flopping behavior.

Finland 2010 93

Purpose of weighted-sums approach is to obtain information from the DM to create a λ-vector that causes “composite gradient” λTC in the weighted-sums program

to point in the same direction as the utility function gradient.

max{ Cx}. . x

T

s t Sλ∈

Finland 2010 94

Boss says to go with 50/50 weights.

2.

x1

x2

S

c1

c2

Finland 2010 95

Boss likes resulting solution and is proud his 50/50 weights. Then asks that second objective be changed from cubic feet to board feet of timber production.

x1

x2

S

c1

c2

x1

λTC

Finland 2010 96

With 50/50 weights, this causes composite gradient to point in a different direction. Get a completely different solution.

x1

x2

S

c1

c2

x1

x2

λTC

Finland 2010 97

3.

Boss says use 60/40 weights.

Finland 2010 98

Then a constraint needs to be changed slightly. Get a completely different solution.

Finland 2010 99

z1

z2

Z

z1

z2

z3

Utility function is quasiconcave. Assuming we get perfect information from DM, weighted-sums method will iterate forever!

Finland 2010 100

11max{ c x }

max{ c x }. . x

kk

z

zs t S

=

=∈

M

20. e-Constraint Method

max{ c x }

. . c xx

jj

ii

z

s t e i jS

=

≥ ≠∈

Basically trial-and-error

Finland 2010 101

max{ c x }

. . c x

c xx

pp

mm

ee

z

s t e

eS

=

≥∈

x1

cmce

cp

x2eeem

Finland 2010 102

22. Overall Interactive Algorithmic Structure23. Vector-Maximum/Filtering24. Goal Programming25. Lp-Metrics26. Weighted Lp-Metrics27. Reference Criterion Vector28. Wierzbicki’s Aspiration Criterion Vector Method29. Lexicographic Tchebycheff Sampling Program30. Tchebycheff Procedure (overview)31. Tchebycheff Procedure (in more detail)32. Tchebycheff Vertex λ-Vector33. How to Compute Dispersed Probing Rays34. Projected Line Search Method35. List of Interactive Procedures

Finland 2010 103

set controlling parameters for the 1st iteration

solve optimizationproblem(s)

examine criterion vector results

done

reset controlling parametersfor the next iteration

stopy

start

Controlling Parameters:

weighting vector ei RHS values aspiration vector others

22. Overall Interactive Algorithmic Structure

Finland 2010 104

23. Vector-Maximum/Filtering

Let number of solutions shown be 8, convergence rate be 1/6.

Solve an MOLP for, say 66,000, nondominated extreme points.

Filter to obtain the 8 most different among the 66,000.

• Decision maker selects z(1), the most preferred of the 8.

Filter to obtain the 8 most different among the 11,000 closest to z(1).

• Decision maker selects z(2) , the most preferred of the new 8.

Filter to obtain the 8 most different among the 1,833 closets to z(2).

• Decision maker selects z(3) , the most preferred of the new 8.

And so forth.

Finland 2010 105

24. Goal Programming

11

22

33

max{ c x }

achieve{ c x }

min{ c x }. . x

z

z

zs t S

=

=

=∈

1 1 2 2 2 2 3 31

1 12

2 2 23

3 3

min{ }

. . c x

c x

c xx

all , 0i i

w d w d w d w d

s t d t

d d t

d tS

d d

− − − − + + + +

− +

+

− +

+ + +

+ ≥

+ − =

+ ≤∈

Must choose a target vector and then select deviational variable weights.

Goal programming uses weighted L1 -metric.

Finland 2010 106

z1

z2

Z

tt2

t1

Finland 2010 107

z1

z2

Z

tt2

t1

Finland 2010 108

z1

z2

Z

tt2

t1

z1

Finland 2010 109

z1

z2

Z

tt2

t1

Finland 2010 110

z1

z2

Z

tt2

t1

Finland 2010 111

z1

z2

Z

tt2

t1

z1

z2

Finland 2010 112

25. Lp-Metrics

**z

{ }

1

**1**

**

1

1, 2,

max

ppki ii

p

i ii k

z z pz z

z z p

=

≤ ≤

⎧ ⎡ ⎤− =⎪⎪ ⎢ ⎥⎣ ⎦− = ⎨⎪ − = ∞⎪⎩

∑ K

Finland 2010 113

{ }

1

**1**

**

1

1, 2,

max

ppki ii

p

i ii k

z z pz z

z z p

=

≤ ≤

⎧ ⎡ ⎤− =⎪⎪ ⎢ ⎥⎣ ⎦− = ⎨⎪ − = ∞⎪⎩

∑ K

**z

Finland 2010 114

{ }

1

**1**

**

1

1, 2,

max

ppki ii

p

i ii k

z z pz z

z z p

=

≤ ≤

⎧ ⎡ ⎤− =⎪⎪ ⎢ ⎥⎣ ⎦− = ⎨⎪ − = ∞⎪⎩

∑ K

**z

Finland 2010 115

26. Weighted Lp-Metrics

( ){ }

1

**1**

**

1

1, 2,

max

ppki i ii

p

i i ii k

z z pz z

z z p

λ λ

λ

=

≤ ≤

⎧ ⎡ ⎤− =⎪ ⎢ ⎥⎪ ⎣ ⎦− = ⎨⎪ − = ∞⎪⎩

∑ K

**z

Finland 2010 116

( ){ }

1

**1**

**

1

1, 2,

max

ppki i ii

p

i i ii k

z z pz z

z z p

λ λ

λ

=

≤ ≤

⎧ ⎡ ⎤− =⎪ ⎢ ⎥⎪ ⎣ ⎦− = ⎨⎪ − = ∞⎪⎩

∑ K

**z

Finland 2010 117

( ){ }

1

**1**

**

1

1, 2,

max

ppki i ii

p

i i ii k

z z pz z

z z p

λ λ

λ

=

≤ ≤

⎧ ⎡ ⎤− =⎪ ⎢ ⎥⎪ ⎣ ⎦− = ⎨⎪ − = ∞⎪⎩

∑ K

**z

Finland 2010 118

( ){ }

1

**1**

**

1

1, 2,

max

ppki i ii

p

i i ii k

z z pz z

z z p

λ λ

λ

=

≤ ≤

⎧ ⎡ ⎤− =⎪ ⎢ ⎥⎪ ⎣ ⎦− = ⎨⎪ − = ∞⎪⎩

∑ K

**z

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z1

z2

Z

3

27. Reference Criterion Vector

Constructed so as to dominate every point in the nondominated set

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z1

z2

zref

Z

3

= (5, 4)

usually good enough to round to next largest integer

ref maxi i iz z ε= +

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Z

z1

z2

28. Wierzbicki’s Reference Point Procedure

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Z

z1

z2 zref

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Z

z1

z2 zref

q(1)

First iteration

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Z

z1

z2 zref

q(1)

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Z

z1

z2 zref

q(1)

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Z

z1

z2 zref

q(1)

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Z

z1

z2 zref

q(1)

z(1)

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Z

z1

z2 zref

q(2)

Second iteration

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Z

z1

z2 zref

q(2)

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Z

z1

z2 zref

q(2)

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Z

z1

z2 zref

q(2)

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Z

z1

z2 zref

q(2)

z(2)

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Third iteration

Z

z1

z2 zref

q(3)

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Z

z1

z2 zref

q(3)

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Z

z1

z2 zref

q(3)

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Z

z1

z2 zref

q(3)

z(3)

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1lex min{ , }

. . ( ) 1, ,(x) 1, ,

x

kii

refi i i

i i

z

s t z z i kf z i k

S

α

α λ=

≥ − == =∈

∑K

K

Geometry carried out by lexicographic Tchebycheff sampling program

Minimizing α

causes non-negative orthant contour to slide up the probing ray until it last touches the feasible region Z.

1 1, ,1 1i kλ λ⎛ ⎞

−⎜ ⎟⎝ ⎠

K

Direction of the probing ray emanating from zref is given by

Perturbation term 1

kii

z=

−∑ is there to break ties.

29. Lexicographic Tchebycheff Sampling Program

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z1

z2zref

Z

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z1

z2zref

Z

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z1

z2zref

Z

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z1

z2zref

Z

z1

z2

Two lexicographic minimum solutions, but both nondominated

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30. Tchebycheff Method (Overview)

zref

z1

z2

Z

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First iteration

zref

z1

z2

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zref

z1

z2

z(1)

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Second iteration

zref

z1

z2

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zref

z1

z2

z(2)

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Third iteration

zref

z1

z2

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zref

z1

z2

z(3)

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set controlling parameters for the 1st iteration

solve optimizationproblem(s)

examine criterion vector results

done

reset controlling parametersfor the next iteration

stopy

start

Controlling Parameters:

target vector, weights q(i) aspiration vectors λi multipliers

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31. Tchebycheff Method (in more detail)

Let P = number of solutions to be presented to the DM at each iteration = 4

Let r = reduction factor = 0.5

Let t = number of iterations = 4

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Now, form reference criterion vector zref.

z1

z2

Z

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z1

z2

Z

zref

Now, form Λ(1) and obtain 4 dispersed λ-vectors from it.

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Now, solve four lexicographic Tchebycheff sampling programs (one for each probing ray).

z1

z2

Z

zref

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Now, select most preferred, designating it z(1).

z1

z2

Z

zref

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Now, form Λ(2) and obtain 4 dispersed λ-vectors from it.

z1

z2

Z

zref

z(1)

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32. Tchebycheff Vertex λ-Vector

zref

z(1)

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33. How to Compute Dispersed Probing Rays

zref

z(1)

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1

(1)(1) (1)

1

1 1k

i ref refji i j jz z z z

λ−

=

⎡ ⎤= ⎢ ⎥

− −⎢ ⎥⎣ ⎦∑

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Now, solve four lexicographic Tchebycheff sampling programs.

z1

z2

Z

zref

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Now, select most preferred, designating it z(2).

z1

z2

Z

zref

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Now, form Λ(3) and obtain 4 dispersed λ-vectors from it.

z1

z2

Z

zref

z(2)

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Now, solve four lexicographic Tchebycheff sampling programs.

z1

z2

Z

zref

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Now, select most preferred, designating it z(3)

z1

z2

Z

zref

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Now, form Λ(4) and obtain 4 dispersed λ-vectors from it.

z1

z2

Z

zref

z(3)

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And so forth.

z1

z2

Z

zref

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34. Projected Line Search Method

z1

z2

z(1)

Like driving across surface of moon.

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z1

z2

z(1)

q(2)

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z1

z2

z(1)

q(2)

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z1

z2

z(1)

z(2)

q(2)

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z1

z2

z(1)

z(2)

q(3)

q(3)

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z1

z2

z(1)

z(2)

q(3)

z(3)

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z1

z2

z(1)

z(2)

z(3)

Drive straight awhile, turn, drive straight awhile, turn, drive straight awhile, and so forth.

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1. Weighted-sums (traditional)

2. e-constraint method (traditional)

3. Goal programming (mostly US, 1960s)

4. STEM (France & Russia, 1971)

5. Geoffrion, Dyer, Feinberg procedure (US, 1972)

6. Vector-maximum/filtering (US, 1976)

7. Zionts-Wallenius Procedure (US & Finland, 1976)

8. Wierzbicki’s reference point method (Poland, 1980)

9. Tchebycheff method (US & Canada, 1983)

10. Satisficing tradeoff method (Japan, 1984)

11. Pareto Race (Finland, 1986)

12. AIM (US & South Africa, 1995)

13. NIMBUS (Finland, 1998)

35. List of Interactive Procedures

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The End