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Benson type algorithms for linear vector optimization and applications

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Listed:
  • Andreas Hamel
  • Andreas Löhne
  • Birgit Rudloff

Abstract

New versions and extensions of Benson’s outer approximation algorithm for solving linear vector optimization problems are presented. Primal and dual variants are provided in which only one scalar linear program has to be solved in each iteration rather than two or three as in previous versions. Extensions are given to problems with arbitrary pointed solid polyhedral ordering cones. Numerical examples are provided, one of them involving a new set-valued risk measure for multivariate positions. Copyright Springer Science+Business Media New York 2014

Suggested Citation

  • Andreas Hamel & Andreas Löhne & Birgit Rudloff, 2014. "Benson type algorithms for linear vector optimization and applications," Journal of Global Optimization, Springer, vol. 59(4), pages 811-836, August.
    • Handle: RePEc:spr:jglopt:v:59:y:2014:i:4:p:811-836
    DOI: 10.1007/s10898-013-0098-2
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    References listed on IDEAS

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    1. Elyés Jouini & Moncef Meddeb & Nizar Touzi, 2004. "Vector-valued coherent risk measures," Finance and Stochastics, Springer, vol. 8(4), pages 531-552, November.
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    5. repec:dau:papers:123456789/353 is not listed on IDEAS
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    Cited by:

    1. Pascal Halffmann & Tobias Dietz & Anthony Przybylski & Stefan Ruzika, 2020. "An inner approximation method to compute the weight set decomposition of a triobjective mixed-integer problem," Journal of Global Optimization, Springer, vol. 77(4), pages 715-742, August.
    2. Daniel Ciripoi & Andreas Löhne & Benjamin Weißing, 2018. "A vector linear programming approach for certain global optimization problems," Journal of Global Optimization, Springer, vol. 72(2), pages 347-372, October.
    3. Gabriela Kov'av{c}ov'a & Birgit Rudloff, 2018. "Time consistency of the mean-risk problem," Papers 1806.10981, arXiv.org, revised Jan 2020.
    4. Robert Bassett & Khoa Le, 2016. "Multistage Portfolio Optimization: A Duality Result in Conic Market Models," Papers 1601.00712, arXiv.org, revised Jan 2016.
    5. Soghra Nobakhtian & Narjes Shafiei, 2017. "A Benson type algorithm for nonconvex multiobjective programming problems," TOP: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 25(2), pages 271-287, July.
    6. Çağin Ararat & Andreas H. Hamel & Birgit Rudloff, 2017. "Set-Valued Shortfall And Divergence Risk Measures," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(05), pages 1-48, August.
    7. c{C}au{g}{i}n Ararat & Nurtai Meimanjan, 2019. "Computation of systemic risk measures: a mixed-integer programming approach," Papers 1903.08367, arXiv.org, revised Aug 2023.
    8. Kahina Ghazli & Nicolas Gillis & Mustapha Moulaï, 2020. "Optimizing over the properly efficient set of convex multi-objective optimization problems," Annals of Operations Research, Springer, vol. 295(2), pages 575-604, December.
    9. Zachary Feinstein & Birgit Rudloff, 2021. "Characterizing and Computing the Set of Nash Equilibria via Vector Optimization," Papers 2109.14932, arXiv.org, revised Dec 2022.
    10. Firdevs Ulus, 2018. "Tractability of convex vector optimization problems in the sense of polyhedral approximations," Journal of Global Optimization, Springer, vol. 72(4), pages 731-742, December.
    11. Zachary Feinstein & Birgit Rudloff, 2017. "A recursive algorithm for multivariate risk measures and a set-valued Bellman’s principle," Journal of Global Optimization, Springer, vol. 68(1), pages 47-69, May.
    12. Löhne, Andreas & Weißing, Benjamin, 2017. "The vector linear program solver Bensolve – notes on theoretical background," European Journal of Operational Research, Elsevier, vol. 260(3), pages 807-813.
    13. Bazovkin, Pavel, 2014. "Geometrical framework for robust portfolio optimization," Discussion Papers in Econometrics and Statistics 01/14, University of Cologne, Institute of Econometrics and Statistics.
    14. Zachary Feinstein & Birgit Rudloff, 2015. "A recursive algorithm for multivariate risk measures and a set-valued Bellman's principle," Papers 1508.02367, arXiv.org, revised Jul 2016.

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