The ε-constraint method is a well-known scalarization technique used for multiobjective optimization. We explore how to properly define the step size parameter of the method in order to guarantee its exactness when dealing with biobjective nonlinear integer problems. Under specific assumptions, we prove that the number of subproblems that the method needs to address to detect the complete Pareto front is finite. We report numerical results on portfolio optimization instances built on real-world data and show a comparison with an existing criterion space algorithm.
2022, OPERATIONS RESEARCH LETTERS, Pages -
On the exactness of the ε-constraint method for biobjective nonlinear integer programming (01a Articolo in rivista)
De Santis Marianna, Eichfelder Gabriele, Patria Daniele
Gruppo di ricerca: Continuous Optimization