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Reverse Polyblock Approximation For Optimization Over The Weakly Efficient Set And Efficient Set, Luc Le
Reverse Polyblock Approximation For Optimization Over The Weakly Efficient Set And Efficient Set, Luc Le
Dr Luc Tu Le
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.