Abstract
AbstractDue to the real‐life issue of decision making in the presence of uncertainty and multiple conflicting objectives, it is of interest to solve optimization problems that incorporate these two aspects. To address this type of problem, we undertake the computation of highly robust efficient solutions to uncertain multiobjective linear programs with objective‐wise uncertainty in the cost matrix coefficients, and we address unbounded feasible regions as well as unbounded uncertainty sets. We provide methods for checking whether or not the highly robust efficient set is empty, computing highly robust efficient points, and determining whether a given solution of interest is highly robust efficient. An application in the area of bank management is included.
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