Uncertain Multi-objective Optimization Problems Research Articles

Steepest descent method for uncertain multiobjective optimization problems under finite uncertainty set

In this paper, a steepest descent method is developed for the robust counterpart of uncertain multiobjective optimization problems under finite uncertainty. The robust counterpart under consideration is the minimum of objective wise worst case, which is a nonsmooth deterministic multiobjective optimization problem. To solve this robust counterpart with the help of the steepest descent method, a subproblem is constructed and solved to find a descent direction. An Armijo-type inexact line search technique is employed to find a suitable step length. With the help of the descent direction and step length, a sequence is generated. The convergence of the proposed method is justified under some common assumptions. Finally, the algorithm is verified and compared with one existing method with the help of some numerical problems.

A modified quasi-Newton method for uncertain multiobjective optimization problems under a finite uncertainty set

ABSTRACT In this article, a modified quasi-Newton method is developed for the robust counterpart (RC) of an uncertain multiobjective optimization problem (UMOP). Specifically, the RC of a UMOP is the minimum of an objective-wise worst-case (OWWC) type RC. To determine the descent direction for the RC, a subproblem using a common Hessian approximation is constructed. An inexact line search technique based on the Armijo technique is employed to find an appropriate step length. Furthermore, a modified version of the Davidon–Fletcher–Powell (DFP) update formula is developed for the RC. A modified quasi-Newton algorithm is built using descent direction step length, and DFP Hessian update formula. Furthermore, the convergence of the modified quasi-Newton algorithm is also discussed. Finally, the modified quasi-Newton algorithm is illustrated with a set of test problems and compared with the weighted sum method. Moreover, it is demonstrated that the algorithm is effective for both convex and non-convex problems.

Optimality Conditions in Uncertain Multi-Objective Optimization Problems with a Variable Domination Structure

In this paper, we first establish some new properties of a kind of nonlinear scalarization function. Second, based on set approaches, we introduce a class of new definitions of robustness for an uncertain multi-objective optimization problem with a variable domination structure. Finally, by applying the scalarization method, we obtain the necessary and sufficient optimality conditions of the robustness for the uncertain multi-objective optimization problem with a variable domination structure in a more general setting. Some of the obtained results extend and imply the corresponding ones in recent literature.

Optimality Conditions of the Approximate Efficiency for Nonsmooth Robust Multiobjective Fractional Semi-Infinite Optimization Problems

This paper is devoted to the investigation of optimality conditions and saddle point theorems for robust approximate quasi-weak efficient solutions for a nonsmooth uncertain multiobjective fractional semi-infinite optimization problem (NUMFP). Firstly, a necessary optimality condition is established by using the properties of the Gerstewitz’s function. Furthermore, a kind of approximate pseudo/quasi-convex function is defined for the problem (NUMFP), and under its assumption, a sufficient optimality condition is obtained. Finally, we introduce the notion of a robust approximate quasi-weak saddle point to the problem (NUMFP) and prove corresponding saddle point theorems.

The point-based robustness gap for uncertain multiobjective optimization

In robust single-objective optimization, the robustness gap is a measure of the distance between the robust optimal objective value and the optimal objective values of the scenarios. While robust multiobjective optimization is a growing field of study, no notion of a robustness gap has been proposed. A concept of a point-based robustness gap for uncertain multiobjective optimization problems is introduced. The gap is defined as the minimal distance between the robust Pareto set and the Pareto sets of the scenarios. It is shown that the gap is zero whenever the uncertainty is constraint-wise and objective-wise, supplementing a major result about the single-objective robustness gap. Because the distance between Pareto sets is hard to compute, lower and upper bounds on the gap are constructed for convex problems. Specific results about the zero gap and the bounds are presented for linear problems. Numerical examples are included.

Newton’s method for uncertain multiobjective optimization problems under finite uncertainty sets

Newton’s method for uncertain multiobjective optimization problems under finite uncertainty sets

Unified Robust Necessary Optimality Conditions for Nonconvex Nonsmooth Uncertain Multiobjective Optimization.

This paper is concerned with nonconvex nonsmooth uncertain multiobjective optimization problems, in which the decision variable of both objective and constraint functions is defined on Banach space while uncertain parameters are defined on arbitrary nonempty (may not be compact) sets. We employ the Stone–C̆ech compactification of uncertainty sets and the upper semicontinuous regularization of original functions with respect to uncertain parameters, giving rise to unified robust necessary optimality conditions for the local robust weakly efficient solution of the considered problem. Moreover, we derive weak and strong KKT robust necessary conditions via the constraint qualification and the regularity condition, respectively. Several examples are provided to illustrate the validity of our results.

Multiobjective Optimization of Process Parameters of Silicon Single Crystal Growth

In order to obtain higher quality silicon single crystal, a hybrid strategy for modeling of Czochralski silicon crystal growth and optimizing of process parameters is presented in the paper. The hybrid strategy includes the computational fluid dynamics (CFD) method, neural network of group method of data handing (GMDH), and improved nondominated sorting genetic algorithm II (NSGA-II). The shape variable of solid-liquid interface h and the defect evaluation criteria V / G are set to objective functions according to engineering experience and process requirement. The polynomial of the objective functions is produced by GMDH and CFD. Ultimately, an improved elitist strategy and crowding distance NSGA-II is proposed in the paper to obtain the Pareto optimum solution by the objective functions identified by the GMDH. Compared with other optimization algorithms, the improved NSGA-II can increase the lateral diversity and the uniform distribution of the nondominated solutions. Engineering validation proved that the proposed hybrid strategy can effectively solve the complex uncertain multiobjective optimization problem of system and provides a new method for obtaining high-quality crystal growth process parameters.

The Lightly Robust Max-Ordering Solution Concept for Uncertain Multiobjective Optimization Problems: An Ambulance Location Problem with Unavailability

This study introduces a robust concept for considering uncertain multiobjective optimization problems, called the lightly robust max-ordering solution. This introduced solution concept offers the best option for solving issues based on the maximum cost in the worst-case scenario. Introducing a tolerable relaxation parameter can be used to increase the robustness of the solution but, at the same time, the desirable property of such a solution with respect to the nominal scenario might be decreased. Subsequently, the two measurements, which are the ‘gain in robustness’ and the ‘price to be paid for robustness’, are considered. These measurements are needed to support a decision maker to find more desirable lightly robust max-ordering solutions with a beneficial trade-off between the robustness of solutions and the quality of solutions in an undisturbed situation. Moreover, an algorithm for finding the proposed solution is presented and discussed. An instance of the benefits of the suggested solution concept is used on an example of ambulance location planning if ambulances may be unavailable.

Robust nonsmooth optimality conditions for multiobjective optimization problems with infinitely many uncertain constraints

This paper concentrates on uncertain multiobjective optimization problems with an arbitrary number of uncertain constraints under nonconvex and nonsmooth assumptions. We analyse the properties of robust infinite constraints and arrive at the Clarke subdifferential of the double supremum function. Subsequently, we employ the obtained subdifferential rules to study KKT robust necessary and sufficient optimality conditions for two types of uncertain multiobjective optimization problems. Simultaneously, some illustrative examples are provided to show the validity of the main results. Our results are new and generalize several corresponding results in the literature.

Characterizations of Approximate Optimality Conditions for Fractional Semi-Infinite Optimization Problems With Uncertainty

This paper is devoted to the investigation of a class of multi-objective fractional semi-infinite optimization problems with uncertain data. Firstly, a robust counterpart for the uncertain multi-objective optimization problem is introduced in terms of robust optimization method. And following the idea due to Dinkelbach, we associate the robust counterpart with a multi-objective optimization problem. Then, by using a scalarization method, its corresponding scalarization optimization problem is established. The relationship between robust solutions of the multi-objective optimization problem and that of its corresponding scalarization optimization problem is described. Finally, by using a robust type sub-differential constraint qualification, the robust optimality condition for approximate quasi-efficient solutions of the multi-objective fractional optimization problem is established.

Optimality conditions for robust weak sharp efficient solutions of nonsmooth uncertain multiobjective optimization problems

In this paper, we investigate an uncertain multiobjective optimization problem involving nonsmooth and nonconvex functions. The notion of a (local/global) robust weak sharp efficient solution is introduced. Then, we establish necessary and sufficient optimality conditions for local and/or the robust weak sharp efficient solutions of the considered problem. These optimality conditions are presented in terms of multipliers and Mordukhovich/limiting subdifferentials of the related functions.

On the properties of lexicographic tolerable robust solution sets for uncertain multi-objective optimization problems

This study provides the important properties of the lexicographic tolerable robust solution for uncertain multi-objective optimization problems which was introduced by Boriwan et al. [Boriwan, P.; Ehrgott, M.; Kuroiwa, D.; Petrot, N. The lexicographic tolerable robustness concept for uncertain multi-objective optimization problems: a study on water resources management. Sustainability. 12 (2020), no. 18, article number 7582.]. Also, the relationship between the lexicographic tolerable solution concept and the well-known robust solution, as the set-based robust efficiency [Ehrgott, M.; Ide, J.; Schöbel, A. Minmax robustness for multi-objective optimization problems. European Journal of Operational Research. 239 (2014), no. 1, 17-31.], are provided.

On the properties of lexicographic tolerable robust solution sets for uncertain multi-objective optimization problems

This study provides the important properties of the lexicographic tolerable robust solution for uncertain multi-objective optimization problems which was introduced by Boriwan et al. [Boriwan, P.; Ehrgott, M.; Kuroiwa, D.; Petrot, N. The lexicographic tolerable robustness concept for uncertain multi-objective optimization problems: a study on water resources management. Sustainability. 12 (2020), no. 18, article number 7582.]. Also, the relationship between the lexicographic tolerable solution concept and the well-known robust solution, as the set-based robust efficiency [Ehrgott, M.; Ide, J.; Schöbel, A. Minmax robustness for multi-objective optimization problems. Eur. J. Oper. Res. 239 (2014), no. 1, 17–31.], are provided.

The price of multiobjective robustness: Analyzing solution sets to uncertain multiobjective problems

Defining and finding robust efficient solutions to uncertain multiobjective optimization problems has been an issue of growing interest recently. Different concepts have been published defining what a “robust efficient” solution is. Each of these concepts leads to a different set of solutions, but it is difficult to visualize and understand the differences between these sets. In this paper we develop an approach for comparing such sets of robust efficient solutions, namely we analyze their outcomes under the nominal scenario and in the worst case using the upper set-less order from set-valued optimization. Analyzing the set of nominal efficient solutions, the set of minmax robust efficient solutions and different sets of lightly robust efficient solutions gives insight into robustness and nominal objective function values of these sets of solutions. Among others we can formally prove that lightly robust efficient solutions are good compromises between nominal efficient solutions and minmax robust efficient solutions. In addition, we also propose a measure to quantify the price of robustness of a single solution. Based on the measure, we propose two strategies which can be used to support a decision maker to find solutions to a multiobjective optimization problem under uncertainty. All our results are illustrated by examples.

The Lexicographic Tolerable Robustness Concept for Uncertain Multi-Objective Optimization Problems: A Study on Water Resources Management

In this study, we introduce a robust solution concept for uncertain multi-objective optimization problems called the lexicographic tolerable robust solution. This approach is advantageous for the practical implementation of problems in which the solution should satisfy priority levels in the objective function and the worst performance vector of the solution obtained by the proposed concept is close to a reference point of the considered problem, within an acceptable tolerance threshold. Important properties of the solution sets of this introduced concept as well as an algorithm for finding such solutions are presented and discussed. We provide the implementation of the proposed lexicographic tolerable robust solution to improve understanding for practitioners by relying on the data of the water resources master plan for Serbia from Simonovic, 2009. Moreover, we are also concerned with the method of updating a desirable solution for fitting with the preferences when compromising of the multiple groups of decision makers is needed.

Optimality conditions for set optimization using a directional derivative based on generalized Steiner sets

ABSTRACT Set-optimization has attracted increasing interest in the last years, as for instance uncertain multiobjective optimization problems lead to such problems with a set-valued objective function. Thereby, from a practical point of view, most of all the so-called set approach is of interest. However, optimality conditions for these problems, for instance using directional derivatives, are still very limited. The key aspect for a useful directional derivative is the definition of a useful set difference for the evaluation of the numerator in the difference quotient. We present here a new set difference which avoids the use of a convex hull and which applies to arbitrary convex sets, and not to strictly convex sets only. The new set difference is based on the new concept of generalized Steiner sets. We introduce the Banach space of generalized Steiner sets as well as an embedding of convex sets in this space using Steiner points. In this Banach space we can easily define a difference and a directional derivative. We use the latter for new optimality conditions for set optimization. Numerical examples illustrate the new concepts.

Optimality conditions of robust convex multiobjective optimization via ε-constraint scalarization and image space analysis

In this paper, we investigate robust optimality conditions of convex multiobjective optimization problems with data uncertainty by ε-constraint scalarization method and image space analysis. We firstly present the concepts of robust solutions to convex multiobjective optimization problems with data uncertainty. The relationships between robust solutions of uncertain convex multiobjective optimization problem and that of its corresponding ε-constraint optimization problem are also obtained. Besides, we employ the image space analysis to establish a theorem of alternative for the ε-constraint robust optimization, which allows to get the robust optimality conditions of optimal solutions of the ε-constraint robust optimization. Lastly, we establish the sufficient and necessary optimality conditions of the robust efficient solutions for convex multiobjective optimization problems with data uncertainty.

An algorithmic approach to multiobjective optimization with decision uncertainty

In real life applications, optimization problems with more than one objective function are often of interest. Next to handling multiple objective functions, another challenge is to deal with uncertainties concerning the realization of the decision variables. One approach to handle these uncertainties is to consider the objectives as set-valued functions. Hence, the image of one decision variable is a whole set, which includes all possible outcomes of this decision variable. We choose a robust approach and thus these sets have to be compared using the so-called upper-type less order relation. We propose a numerical method to calculate a covering of the set of optimal solutions of such an uncertain multiobjective optimization problem. We use a branch-and-bound approach and lower and upper bound sets for being able to compare the arising sets. The calculation of these lower and upper bound sets uses techniques known from global optimization, as convex underestimators, as well as techniques used in convex multiobjective optimization as outer approximation techniques. We also give first numerical results for this algorithm.

Generalized multiobjective robustness and relations to set-valued optimization

In this paper, we provide the augmented weighted Tschebyscheff scalarization to computing robust efficient solutions for uncertain multiobjective optimization problems (UMOPs). Furthermore, we propose two generalized robustness concepts called the minmax certainly nondominated ordered robustness and the certainly less ordered robustness to general spaces and cones in the context of set orderings. Some explanations for both concepts are given, as well as the relations between them and several existing robustness are clearly described. Finally, the corresponding relationships to set-valued optimization are well revealed.