Abstract
In this paper a bisecting search algorithm is developed for solving the problem (P) of optimizing a linear function over the set of weakly-efficient solutions of a multiple objective linear program. We show that problem (P) can arise in a variety of practical situations. The algorithm for solving problem (P) is guaranteed to find an optimal or approximately-optimal solution for the problem in a finite number of steps. Using a Fortran computer code called Conmin as an aid, we have solved ten test problems using our proposed algorithm. This preliminary computational experience seems to indicate that the algorithm is quite practical for relatively small problems.
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