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Lexicographic optimization information


Lexicographic optimization is a kind of Multi-objective optimization. In general, multi-objective optimization deals with optimization problems with two or more objective functions to be optimized simultaneously. Often, the different objectives can be ranked in order of importance to the decision-maker, so that objective is the most important, objective is the next most important, and so on. Lexicographic optimization presumes that the decision-maker prefers even a very small increase in , to even a very large increase in etc. Similarly, the decision-maker prefers even a very small increase in , to even a very large increase in etc. In other words, the decision-maker has lexicographic preferences, ranking the possible solutions according to a lexicographic order of their objective function values. Lexicographic optimization is sometimes called preemptive optimization,[1] since a small increase in one objective value preempts a much larger increase in less important objective values.

As an example, consider a firm which puts safety above all. It wants to maximize the safety of its workers and customers. Subject to attaining the maximum possible safety, it wants to maximize profits. This firm performs lexicographic optimization, where denotes safety and denotes profits.

As another example,[2] in project management, when analyzing PERT networks, one often wants to minimize the mean completion time, and subject to this, minimize the variance of the completion time.

  1. ^ Sherali, H. D.; Soyster, A. L. (1983-02-01). "Preemptive and nonpreemptive multi-objective programming: Relationship and counterexamples". Journal of Optimization Theory and Applications. 39 (2): 173–186. doi:10.1007/BF00934527. ISSN 1573-2878.
  2. ^ Isermann, H. (1982-12-01). "Linear lexicographic optimization". Operations-Research-Spektrum. 4 (4): 223–228. doi:10.1007/BF01782758. ISSN 1436-6304.

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