JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS: Vol. 88, No. 1, pp.

77-105, JANUARY 1996

Outcome-Based Algorithm for

Optimizing over the Efficient Set of a
Bicriteria Linear Programming Problem
H. P. BENSON t AND D. LEE 2

Abstract. This article presents a finite, outcome-based algorithm for

optimizing a lower semicontinuous function over the efficient set of a
bicriteria linear programming problem. The algorithm searches the effi-
cient faces of the outcome set of the bicriteria linear programming prob-
lem. It exploits the fact that the dimension of the outcome set of the
bicriteria problem is at most two. As a result, in comparison to decision-
based approaches, the number of efficient faces that need to be found
is markedly reduced. Furthermore, the dimensions of the eff• faces
found are always at most one. The algorithm can be implemented for
a wide variety of lower semicontinuous objective functions.

Key Words. Multiple criteria decision making, efficient set, global

optimization.

1. Introduction

The multiple objective mathematical programming problem involves the

simultaneous maximization of two or more noncomparable criteria functions
over a nonempty set. The concept of an efficient solution has played a useful
role in the analysis and solution of this problem. In particular, many of the
approaches for analyzing and solving this problem generate either all or at
least some o f the efficient solution set. In this way, inherent tradeoffs in the
problem are revealed, and most-preferred solutions can be sought. Included
among these types of approaches, for instance, are the vector maximization
approach, interactive approaches, and several others; see, for instance,
Cohon (Ref. 1), Evans (Ref. 2), Goicoechea, Hansen, and Duckstein (Ref.
3), K u h n and Tucker (Ref. 4), Luc (Ref. 5), Ringuest (Ref. 6), Rosenthal

~Professor, Collegeof Business Administration, Universityof Florida, Gainesville, Florida.

2Lecturer, College of Business Administration, Myung Ji University, Seoul, Korea.
77
0022-3239/96/0100-0077509,50/0 9 1996 Plenum Publishing Corporation
78 JOTA: VOL. 88, NO. 1, JANUARY 1996

(Ref. 7), Sawaragi, Nakayama, and Tanino (Ref. 8), Stadler (Ref. 9), Steuer
(Ref. 10), Yu (Refs. 11-12), Zeleny (Ref. 13), and references therein.
Recently, researchers and practitioners have been increasingly interested
in problems involving optimizations of functions over the efficient sets of
multiple objective mathematical programs. Interest in these problems is
motivated by many factors.
First, these problems arise in many applications. For instance, practical
problems in production planning (Ref. 14), value theory (Ref. 15), portfolio
management (Ref. 16), and a variety of other areas can be represented as
optimizations over efficient sets.
Second, by optimizing a function over an efficient set, instead of using
one of the standard algorithms to find and compare efficient solutions and
their tradeoffs, the absolute importance, rather than the relative importance,
of each criterion in the multiple objective mathematical program is taken
into account. Thus, an efficient solution found via the optimization approach
can be expected to be superior to those found by standard approaches (Ref.
17).
Third, the approach of optimizing over efficient sets is relatively easy
for decision makers to work with. In particular, it relieves decision makers of
the bulk of the burdensome work that is entailed from using more standard
approaches (Refs. 14, 18, 19).
Finally, the special case of optimization over an efficient set in which
a criterion of a multiple objective mathematical program is minimized over
the efficient set of the program has several distinct uses of its own. For
instance, solutions for this special case aid decision makers in setting goals,
ranking or eliminating objective functions and comparing efficient solutions
to one another (Refs. 20-24). In addition, these solutions are needed to
ensure the effectiveness of several standard interactive algorithms for multi-
ple objective mathematical programming, including STEM (Refs. 25-26),
the Belenson-Kapur algorithm (Ref. 27), and the algorithm of Kok and
Lootsma (Ref. 28).
Mathematically, problems of optimizing functions over efficient sets of
multiple objective mathematical programming problems are difficult global
optimization problems; i.e., they generally possess local optima that are not
global. This is true regardless of the function to be optimized, because effi-
cient sets of multiple objective mathematical programs are generally noncon-
vex sets. Even in the case of multiple objective linear programming, the
efficient set is generally nonconvex. Furthermore, in problems of optimizing
over efficient sets, as in most global optimization problems, the number of
local optima that are not global can be very large (Refs. 29-32). Confound-
ing the situation further is the fact that, since the feasible regions of these
problems are efficient sets, they cannot be expressed in the traditional convex
programming format as a system of functional inequalities.
 JOTA: VOL. 88, NO. 1, JANUARY 1996 79

The first studies of the nature and mathematical structure of problems

of optimizing over efficient sets appear in the 1980s and have continued
through today (see e.g. Refs. 14, 33-34). Various algorithms for globally
solving these problems have also appeared (Refs. 15-17, 21, 24, 34-40).
Most of these algorithms are at least partially dependent upon difficult global
optimization subroutines, cutting plane procedures, searches over nonconvex
sets, solutions of nonconvex systems of inequalities, or branch-and-bound
searches. Therefore, these algorithms generally entail heavy computational
burdens. As a result, some heuristic methods for finding approximate global
optimal solutions have also been proposed (Refs. 20 and 41--43).
When a multiple objective mathematical program has exactly two objec-
tive functions, it is often called a bicriteria mathematical programming prob-
lem. As in many other problems from mathematics and operations research,
the theory, algorithms, and applications of multiple objective mathematical
programming considerably simplify in the case where only two objective
functions are present; see for example Aksoy (Ref. 44), Aneja and Nair
(Ref. 45), Benson (Ref. 46), Benson and Morin (Ref. 47), Cohon, Church,
and Sheer (Ref. 48), Gearhart (Ref. 49), Geoffrion (Ref. 50), Kiziltan and
Yucaoglu (Ref. 51), Klein, Moskowitz, and Ravindran (Ref. 52), Shin and
Allen (Ref. 53), Shin and Lee (Ref. 54), Steuer (Ref. 10), Walker (Ref. 55),
and references therein. Yet, surprisingly, to our knowledge, no algorithms
have yet been proposed for optimizing over the efficient sets of bicriteria
mathematical programs. The only study of such optimizations of which we
are aware is limited to showing how to detect and solve certain special cases
that can be solved easily by nonglobal optimization methods (Ref. 37).
In this article, we present an outcome-based algorithm for optimizing
a lower semicontinuous function over the efficient set of a bicriteria linear
programming problem. The algorithm exploits the fact that the dimension
of the outcome set of the underlying bicriteria linear program is at most
two. The result is an algorithm with the following attractive characteristics:
(a) The algorithm can be implemented for any lower semicontinuous
objective function f than can be minimized over a nonempty, compact
polyhedron by practical optimization subroutines.
(b) The computational efficiency of the algorithm is enhanced signifi-
cantly by the fact that, to find an optimal solution, it uses an indirect search
of the set of efficient decisions. This search, unlike direct searches of the
efficient decision set, is organized according to the set of efficient outcomes,
rather than the set of efficient decisions. Generally, this outcome-based
approach significantly reduces the number of efficient faces that need to be
found. Furthermore, the efficient faces found always have dimensions of at
most one (Refs. 45, 47, 56-63).
(c) Further computational efficiencies are obtained from the fact that,
in each iteration, the algorithm optimizes f over a set of efficient decisions
80 JOTA: VOL. 88, NO. 1, JANUARY 1996

that corresponds to an entire face of the set of efficient outcomes, thereby

typically eliminating large subsets of the set of efficient decisions from further
consideration.
(d) A fathoming test is included in the algorithm. This test, when it
is satisfied, terminates the algorithm without requiring any further genera-
tion of faces in the set of efficient outcomes, no matter how many such faces
may remain which have not yet been generated.
(e) The algorithm is always finite, since the number of efficient faces
in the outcome space is always finite.
(f) If the subroutine used for optimizingfover a polyhedron is exact,
then the algorithm will terminate with an exact optimal solution.
The organization of this article is as follows. In Section 2, theoretical
prerequisites for the algorithm are given. Included here are some important
geometrical results on outcome sets in multiple objective programming as
well as specialized results needed to develop the outcome-based algorithm.
In Section 3, the algorithm is presented and a geometrically-motivated proof
of its convergence is given. Section 4 illustrates the computational benefits
to be expected from the algorithm by giving two examples. Some conclusions
are given in the last section.

2. Theoretical Prerequisites

Let Xc_ R" be a nonempty, compact polyhedron. Assume without loss

of generality that
X={xeRnlAx=a,x>O},
where A is an rn x n matrix and a e R '~. Let C denote a 2 x n matrix whose
ith row equals cfe R ~, i = 1, 2. Then, the bicriteria linear programming prob-
lem may be written as
(BX) Vmax Cx,
s.t. x~X.
The concept of an efficient solution or decision has played a prominent role
in analyzing and solving problem (BX), where an efficient solution is defined
as follows.

Definition 2.1. A point x ~ is an efficient solution of problem (BX)

when x~EX and, whenever C x ~ C x ~ for some x~X, then Cx= Cx ~
An efficient solution is also called a nondorninated or Pareto-optirnal
solution. Let XE denote the set of all efficient solutions for problem (BX).
 JOTA: VOU 88, NO. 1, JANUARY 1996 81

The central problem of interest in this article is the problem of minimiz-

ing a lower semicontinuous function f : R n ~ R over the efficient set XE of
problem (BX). This problem is given by

(P) min f ( x ) ,
s.t. x~Xe.

Let v denote the optimal value of problem (P). Notice that, since X is
compact, ArE will also be compact (Ref. 12). This implies that problem (P)
possesses at least one global optimal solution (e.g., Ref. 64). In fact, when
f i s linear or quasiconcave, at least one global optimal solution will coincide
with an extreme point o f X (Refs. 14, 34).
Let

Y= {CxlxEX}.
From Rockafellar (Ref. 65), Yis a nonempty, compact polyhedron. We will
refer to Y as the outcome set or image of X under C (Ref. 65). Notice that,
in this context, the matrix C represents a linear mapping of the feasible
decision set X of problem (BX) onto the outcome set Y. Furthermore, it is
easy to see that the outcome set CXE of XE under C, denoted Ye, is precisely
the set of efficient points of the bicriteria linear programming problem

(BY) Vmax I2y,

s.t. y~Y,

where 12 denotes the 2 x 2 identity matrix. The set Ye is also called the set
of admissible points of Y; see for instance Refs. 66-69.
To solve problem (P), the algorithm to be presented in this article will
use an indirect search of XE organized according to the faces of YE, rather
than according to points or faces ofXe. As we shall see, in this way, generally
far fewer efficient faces need to be generated than if Xe were directly
searched. Furthermore, the algorithm will need to generate only faces of
dimension zero and one in YE, i.e., efficient extreme points and edges of Y.
In contrast to this, direct face searches in Xe could require searching faces
and facets of much higher dimension. In several articles, Dauer, Benson,
and other authors (Refs. 34-36, 43, 59-63) have demonstrated previously
that focusing on the outcome sets, rather than the decision sets, in multiple
objective mathematical programming can have major computational benefits
of this type.
To motivate and later verify the geometrical workings of the algorithm,
some general geometric results concerning the outcome sets of certain
82 JOTA: VOL. 88, NO. 1, JANUARY 1996

multiple objective convex programming problems must be reviewed. To help

accomplish this, assume that p > 2 ; let W~_R" be a nonempty convex set;
let D be a p • n matrix; and let

Z = {Dwlwe W}

be the image of W under D. In addition, let WE denote the set of efficient

points of the multiple objective convex programming problem

(M) Vmax Dw,

s.t. we W;

and let ZE denote the set of efficient points of Z. Notice that Z is a nonempty
convex set in R e (Ref. 65). Also notice that WE and Ze may be empty (e.g.,
if W is not compact).
Recall that a face of a convex set V is a convex subset F of V such that
any closed line segment in V with at least one relative interior point in F
must have both of its endpoints in F. The zero-dimensional faces of V are
called the extreme points of V. The set of extreme points Vex of V may be
empty. However, the set of faces of V is always nonempty, since the empty
set and V itself are always faces of V.
The following result will be used frequently in the sequel. It confirms
the fact that ZE is equal to the image of WE under D and can be proven
easily from the definitions.

Proposition 2.1.

(a) For any z~ if w~ W satisfies Dw ~ z ~ then w~

(b) For any woe We, if z~ ~ then z~

Benson (Ref. 63) has shown that We and ZE consist of unions of efficient
faces of W and Z, respectively. However, the mapping D in problem (M)
does not necessarily map an efficient face of W onto an efficient face of Z
(Ref. 63). For instance, Dauer (Ref. 59) and Benson (Ref. 63) have given
several examples in which large numbers of efficient zero-dimensional and
one-dimensional faces (i.e., extreme points and edges) of W are mapped by
D into strict subsets of the relative interiors of efficient faces of Z. This
phenomenon can occur even in the special case of multiple objective linear
programming. Fortunately, however, the inverse mapping of D maps effi-
cient faces of Z onto efficient faces of W, as shown by the following result.
 JOTA: VOL. 88, NO. 1, JANUARY 1996 83

Theorem 2.1. See Ref. 63. Let Zr be an arbitrary efficient face of Z.

Then, WF= {We WIDweZF} is an efficient face of W, and dim WF>dim ZF.

Theorem 2.1 states in part that, given any efficient face ZF in the out-
come set Z, the set of all decisions in W that map into ZF under D form an
efficient face of W. However, from the comments preceding the theorem,
the reverse is not true; i.e., not every efficient face of W is mapped by D
onto an efficient face of Z. In particular, while some efficient faces of W are
mapped by D onto efficient faces of Z, there may be easily much larger
numbers of efficient faces of W that are strict subsets of these types of faces
that map into nonfacial convex subsets of Z (Ref. 63).
Theorem 2.1 also states that, for each efficient face ZF in the outcome
set Z, the corresponding preimage under D is an efficient face WF of W of
equal or greater dimension. From Ref. 63, the dimension of WF can often
be in fact much greater than the dimension of Zr. Furthermore, many effi-
cient faces that are strict subfaces of faces of the type WF can exist that are
mapped into nonfacial subsets of ZF = D WF, but also have dimensions far
exceeding the dimension of ZF (Ref. 63).
Taken altogether, Theorem 2.1 and the discussions accompanying it
imply that, to efficiently solve problem (P), it would be preferable to organize
the search for an optimal solution according to the faces of Ye rather than
XE. In particular, a search organized in this way would generally need to
generate significantly fewer numbers of efficient faces of Ye than if the faces
of Xe were searched directly. Furthermore, the dimensions of the faces in
YE can be expected to be significantly smaller than those of XE. These
observations motivated the development of the outcome-based algorithm
for problem (P) to be presented in this article.
In the remainder of this section, we present some more particular results
that will be needed to develop the outcome-based algorithm. Toward this
end, for each i= 1, 2, let
Mi=max (el, x), (la)
s.t. xEX, (lb)
and let m2 equal the optimal value of the linear program
(Q) max (c2,x),
s.t. (cl, x) = Mj,
x~X.
In addition, let
I= {bER[mz<b<M2},
84 JOTA: VOL. 88, NO. 1, JANUARY 1996

and for each beI, consider the linear programming problem

(Pb) max (cl,x),
s.t. (c2, x) >_-b,
x~X.
The following result follows immediately from Benson (Ref. 46).

Theorem 2.2. A point x~ ~ satisfies x~ if and only if x ~ is an

optimal solution to problem (Pb) for some b~I.

The algorithm will use problem (Pb) and the dual linear program to
problem (Pb) to systematically generate faces of Ye. The next result will be
fundamental to this process. Although this result is well known, we give a
short proof that will be useful later on. For each bsI, let w(b) denote the
optimal value of problem (Pb).

Theorem 2.3. The function w is continuous, concave, and piecewise

linear on L

Proof. By duality theory of linear programming (Ref. 70), for each

b EI, w(b) equals the optimal value of the dual linear program to problem
(Pb). For each beI, this dual linear program is given by
(Qb) min -bu+(a, q),
s.t. -c2u+ Arq>__cl,
u__>0,
where u~R, q~R" are the dual variables. For each b~I, if we let Z denote
the feasible region of problem (Qb), then since w is finite on I, this implies
that, for each b~I,
w(b) = m i n { - b u + (a, q)l (u, q) ~Zex).
Since Zex is a finite set, it follows that, on I, w is given by the minimum of
a finite number of linear functions. From Theorem 8.7 in Ref. 70, this implies
that w is concave and piecewise linear on I. From elementary functional
analysis, this also implies that w is continuous on I. []

In some cases of problem (BX), X~ and X coincide; i.e., every feasible

solution for problem (BX) is an efficient solution. Notice that Xe=X if and
only if Ye= Y. Problems (BX) in which Xe=X are called completely efficient.
Although the issue of how common complete efficiency is has yet to be
 JOTA: VOL. 88, NO. I, JANUARY 1996 85

addressed, various tests have been formulated for detecting complete effi-
ciency. One of the more convenient tests is contained in the following
theorem. In this theorem, e denotes the vector in R 2 whose entries are each
equal to one.

Theorem 2.4. See Ref. 71. Problem (BX) is completely efficient if and
only if t = 0, where t is the optimal value of the linear program
(T) min (a,q),
s.t. -Cru+Arr-z=Cre,
Arq-z>O,
u,z>-_O.
Since X is nonempty and compact, the linear program (T) in Theorem 2.4
always has an optimal solution, and t is always nonnegative and finite (Ref.
71). Notice that, when problem (BX) is completely efficient, problem (P) is
identical to the problem
(PR) min f ( x ) ,
s.t. x~X.

3. Outcome-Based Algorithm

3.1. Statement of Algorithm. The outcome set

r={cx4x~x}
for problem (BX) is a nonempty, compact polyhedron of dimension two or
less. Therefore, provided that problem (BX) is not completely efficient, each
point in YE must lie on the relative boundary of Y (Ref. 63). From Refs.
10 and 65, since Yis polyhedral, this implies that Ice is connected and, when
problem (BX) is not completely efficient, that Y~ consists either of a single
point in Yex, a single edge of Y, or a union of a finite number of edges
of Y.
The general geometric idea of the outcome-based algorithm is to system-
atically generate each face of Y~ until an optimal solution for problem (P)
has been found. From the paragraph above, we know that, barring complete
efficiency, each face of Y~ is either a point or a line segment. As each face
of YE is identified, the objective f u n c t i o n f o f problem (P) is minimized over
the corresponding efficient face F in the decision set. This yields a single
efficient point x F in F. As the search proceeds and the points x F are found,
86 JOTA: VOL. 88, NO. l, JANUARY 1996

their objective function v a l u e s f ( x F) in problem (P) are calculated. At each

point in the search, a record of the smallest of these v a l u e s f ( x ~) and of the
solution x ~ (the incumbent solution) achieving this value is kept. After either
all of the faces of Ye have been identified, or it can be shown that no
remaining faces in YE need to be identified, the algorithm indicates that the
current incumbent solution is an optimal solution for problem (P) and stops.
Since YE consists of a finite number of faces, the algorithm will always be
finite.
The algorithm may be stated as follows.

Outcome-Based Algorithm.
Initialization Step. See Steps 1 through 5 below.

Step 1. Compute the optimal objective function value t of the linear

program (T), and find any optimal solution x R for problem
(PR). If t = 0 or xReXE, stop: x R is an optimal solution for
problem (P). Otherwise, let LB = f (x R) and continue.
Step 2. Use (1) to calculate M1 and/142, and find an optimal solution
x c to the linear program (Q). Set m2 = (c2, x c) and UB =f(xC).
Step 3. If LB ~ UB, stop: x ~ is an optimal solution for problem (P).
Otherwise, continue.
Step 4. If m2>=M2, go to Step 5. Otherwise, let bl =m2 and al =M1,
set k = 1, and go to iteration k.
Step 5. Find any optimal solution x 1 to the problem

(PI) rain f ( x ) ,
s.t. (ci, x ) = Mi, i= 1, 2,
x~X,
and stop: x I is an optimal solution for problem (P).

Iteration k, k > 1. See Steps kl through k6 below.

Step kl. Set b = bk and a = ak and find any optimal solution (uk, q~)
to the linear program

(Pb,a) max u,
s.t. - bu + (a, q) = a,
--c2u+ ATq>mcl,
u>_-0.
 JOTA: VOL. 88, NO. 1, JANUARY 1996 87

Step k2. Find any optimal solution x k to the problem

(Fk) min f(x),
s.t. (c,, x ) + uk (c2, x ) = (a, q~),
x~X.
I f f ( x k) > U B , go to Step k4. Otherwise, go to Step k3.
Step k3. Let xC=xk and U B = f ( x < ) . If L B > U B , stop: x ~ is an opti-
mal solution for problem (P). Otherwise, continue.
Step k4. Find any optimal solution ~k+l to the linear program
max (c2, x),
s.t. (ci, x ) + u~ (c2, x ) = (a, qk),
X ~X,

and set
bk+l=(c~,X~+~), ak+l-- (el, JZk+l).
If b~+ ~> M2, stop: x ~'is an optimal solution for problem (P).
Otherwise, continue.
Step k5. If (c2, xR)>bk+~, set k=k+ 1 and go to iteration k. Other-
wise, with b=bk+~, find any optimal solution x R to the
problem
(PRb) rain f(x),
s.t. (c2, x)>b,
x~Y,
and continue.
Step k6. Set LB =f(x R). If LB > UB, stop: x Cis an optimal solution
for problem (P). Otherwise, set k = k + 1 and go to iteration
k.

In Step 1 of the algorithm, the point x R must be tested for membership

in Xe. This can be done by solving a single linear program. In particular,
it is easy to see that xR~xe if and only if x R is an optimal solution to the
linear program (Pb) at b = (c2, x R) eL
Notice that, if t = 0 or xREXE in the Step 1 of the algorithm, the
algorithm terminates. By Theorem 2.4, t = 0 if and only if problem (BX) is
completely efficient. Therefore, in both of these cases, the optimal solution
x R computed to the relaxed problem (PR) satisfies xReXe; the algorithm
returns the optimal solution x R to problem (P) and terminates. Otherwise,
88 JOTA: VOL. 88, NO. 1, JANUARY 1996

f ( x R) is a lower bound for the optimal value v of problem (P), and the face
search procedure must be invoked to solve problem (P).
Although Step 1 checks for complete efficiency of problem (BX), there
are certain other special cases of problem (P) that should be checked by the
user before the algorithm is invoked. When one of these cases arises, problem
(P) can be solved by special methods that are more efficient than the algo-
rithm. For a discussion of some of these special cases, the reader may consult
Ref. 37.
In Steps 2 through 4, the interval

I= {beRIrn2 <_b< MR}

and an initial incumbent solution x c are calculated. Step 5 is executed only
in the special case where m2 = m 2 . In this case, from Theorems 2.1 and 2.2,
Ye consists of the single point yl given by

Y -LMA'
and the optimal solution to problem (P1) found in Step 5 minimizes f over
X~.
The iterative steps k > 1 of the algorithm are executed when Ye consists
of one or more edges of Y. At the beginning of a typical iteration k, the
incumbent solution minimizes f over all faces Fx of X~ for which xeFx
implies that m2~ (c2, X)<=bk, and ak equals the optimal value W(bk) of the
linear program (Pb) at b=bk. In Step kl, as we shall see later, the values of
UAand qk are calculated in such a way that

Fkr= { ye YI Y, + Uky2 = (a, qk )} (2)

describes the face of Ye given by the line segment connecting the points
[w(bk), bk], [W(bk+l), bk+l]~R 2, where bk+l is defined as in Step k4. From
Theorem 2.1, this implies that the point x k calculated in Step k2 minimizes
f over Fkx, where Fkx denotes the face of XE given by

Fkx= {xeXl CxeF~ }.

For each k, Step k4 finds the value b=b.~+l >bk o f b such that [w(b), b]
is an endpoint of the efficient edge (2) of YE. If bk+~ >M2, then all of Ire
has been identified and the search terminates. Otherwise, if possible, the
lower bound LB for v is updated in Steps k5 and k6 and the search continues.
Notice that, in any step of the algorithm, when the fathoming criterion
LB > UB is tested and found to hold, the search may terminate even though
one or more faces of YE may as yet remain unidentified.
 JOTA: VOL. 88, NO. 1, JANUARY 1996 89

3.2. Convergence. To understand the geometry and to show the con-

vergence of the outcome-based algorithm, we must prove some preliminary
results. These results are given by the following lemmas.

Lemma 3.1. In the outcome-based algorithm, for each k > 1, ~g+~ is

an optimal solution to the linear program (Pb) at b = b~§ Furthermore,
for each k > 1, and for each/7~{beR[bk<b<b~+1}, (uk, q*) is an optimal
solution to the dual linear program (Qb) to problem (P~) at b =/7.

Proof. Recall from the proof of Theorem 2.3 that for each b~L the
dual linear program to problem (Pb) is given by
(Qb) rain -bu+(a,q),
s.t. -c2u+Arq>cl,
u=0,
and that the optimal value of problem (Qb) equals w(b).
Assume that k > 1. Then, since ~k+l is an optimal solution to the prob-
lem solved in Step k4 of the algorithm, if follows that
(c2, ~?k+z) _-_bk+ ~, (3)
(el, ~kw l) _]_Uk (C2,)~k+ 1) = (a, qk), (4)
2k+l eX. (5)
From (3) and (5), 2 ~+l is a feasible solution to problem (Pb) at b=b~+z.
From (3) and (4), it follows that
(el, Xk+l) = --ukbk+l + (a, qk). (6)
From Step kl and the definition of problem (Qb), (u~, qk) is a feasible
solution to problem (Qb) at b=bk+l. From (6), since ffk+l is a feasible
solution to problem (Pb) at b - b k + 1, by duality theory of linear program-
ming (Ref. 70), this implies that 2 ~§ 1 and (u~, q*) are optimal solutions to
problems (Pb) and (Qb) at b=b~+ 1, respectively.
Notice from the definitions of MI and m2, and from Step 4 of the
algorithm, that a~ = w(bl). Furthermore, since Sk+r is an optimal solution
to problem (Pb) at b = bk+ 1, Step k4 implies that ak§ 1= w(b~+ ~). It follows
that b=bk and a=w(b~) in the linear program (Pb.~) in Step kl. Since
(uk, q*) is a feasible solution to this linear program, and since b=b~ and
a = w(bk) in this program, this implies that (u~, qk) is a feasible solution to
problem (Qb) at b = be which satisfies

- bk uk + (a, qk ) = w(b~).
90 J O T A : VOL. 88, NO. 1, J A N U A R Y 1996

But from the proof of Theorem 2.3, w(bk) is the optimal value of problem
(Qb) at b = b~. Therefore, (uk, qk) is an optimal solution to this problem.
Assume now that
/7~{b~Rlbk <b<bk+l}.
Then, for some 7/~ R satisfying 0 _<_~, _< 1,
/7= 7b~+ (1 - ~')bk+ 1.
From Theorem 2.3, w is a concave function on L Therefore, it follows that
w(/7) > rw(bk) + (1 - r)w(b~ + ,). (7)
Since (u~, qk) is an optimal solution to problem (Qb) at both b = bk and b =
bk+l, and since w(b) is the optimal value of problem (Qb) for b=bksI and
for b=bk+leL (7) implies that
w(/7) > r ( - b ~ u~ + (a, qk) ) + (1 - r ) ( - b k + 1uk + (a, qk ) )
= [ - Tbk- (1 - )')bk+l]Uk+(a, qk)
= -/Tuk + (a, qk ).
If we let Z denote the feasible region of problem (Q~), then this implies that
the optimal value of problem (Q~) is bounded below by -/TUk + (a, ~ ),
where (uk, qk)~Z. Since (uk, qk)~Z, this implies that
w(/7) = --/7Uk+ (a, qk),
and that (uk, q~) is an optimal solution for problem (Q~). []

Lemma 3.2. For each k > 1, there exists an ~ > 0 such that the vector
(uk, qk) computed in Step kl of the outcome-based algorithm satisfies
w(/7) = -/Tuk + (a, qk ),
for all/7 such that bk</7<bk+ gk.

Proof. Suppose that k>__l. From Step kl and linear programming

theory (Ref. 72), - uk is the right-hand derivative of w at bk. By Theorem
2.3, w is piecewise linear. Taken together, the latter two statements imply
that, for some gk > 0,
w(/7) = -/Tu~ + (a, q~ ),
for all/7 satisfying bk </7<bk + g~. []
Lemma 3.3. The numbers bk, k > 1, computed in the outcome-based
algorithm satisfy bk<bk+ 1 for each k.
 JOTA: VOL. 88, NO. 1, JANUARY 1996 91

Proofi For each k > 2 , by Lemma 3.1, 2k is an optimal solution to

problem (Pb) at b = bk. Therefore, from Lemma 3.2 and the definition of w,
it follows that
(c, , ~k ) = --bkUk + (a, qk)

for each k>2. For each k > 2 , since bk = (c2, ~k) and ~k~x, this implies
that :~k is a feasible solution to the linear program solved in Step k4 of the
algorithm. From Step k4, it follows that bk < bk+ ~for all k___>2. To show that
bj <b2, the argument for k > 2 can be repeated with k = 1 and with ~
replaced by the incumbent solution x Ccomputed in Step 2 of the algorithm.
[]

Lemma 3.4. For each k > 1, the vector (uk, qk) computed in Step kl
of the outcome-based algorithm satisfies Uk> 0.

Proofi Suppose that k > 1, and let

where gk is as given in Lemma 3.2. Let x ~ be an optimal solution to the

linear program (Pb) at b =/5, and let x* maximize (c~, x) over X. Then from
Step kl of the algorithm, Lemma 3.2, and the definition of w,

(cl, x r = -/~uk + (a, qk ), (8)

where
-c2uk + A r q ~ c l . (9)

From (9), qk is a feasible solution to the linear program

rain (a, q)
s.t. Arq>c,+ukc2.

Since x* ~X, x* is a feasible solution for the dual linear program to the latter
problem, which may be written as
max (cl, x ) + Uk(C2, x),
s.t. x~X.

Therefore, by duality theory of linear programming (Ref. 70),

(cl, x*) + u~ (c2, x*) <_(a, qk). (10)
92 JOTA: VOL. 88, NO. 1, JANUARY 1996

From (8) and (10)

[<cl, x 5) - <cj, x*)] +Uk[b-- <c2, x*)] >0. (11)
Since b>bk and k > 1, by Lemma 3.3,/7> bl. Therefore, (c2, x 6) >b~. From
the definitions of M1, m2, and x*, since b~ = m2, this implies that
[<c,, x 6> - <c,, x*>] <0.
Furthermore, since x*~X, (c~, x*) = M1 and/7> bl =m2, the definition of
m2 implies that
[ g - <c~, x*>] >0.
From (11), the latter two statements imply that Uk> O. []

Remark 3.1. It is easy to show that Lemma 3.4 implies that the optimal
value function w(b) of problem (Pb) is strictly decreasing on L

Lemma 3.5. For each k > 1, the values of bk and bk + ~computed in the
outcome-based algorithm satisfy bk<bk+~. Furthermore, for each
/7~{b~Rlbk <b<bk+l} ' W(/7)=_/TUk+ (a, qk).

Proof. Assume that k > 1. By Lemma 3.2, we may choose a number

b > bk such that
w(b) = --buk + (a, qk). (12)
Let x • be an optimal solution to problem (Pb) at b =/7. Then, x6sX and
<c2, xS)>-_L
Furthermore, from (12) and the definition of w, x E also satisfies
(cl, x b) = --bUk+ (a, qk ). (13)
From Step kl, (Uk, qk) is a feasible solution to problem (Qb) at b = b. Since
x ~ is an optimal solution to problem (Pb) at b =/7, and since problems (Pb)
and (Qb) at b = b are linear programming duals of each other, by (13) and
duality theory of linear programming (Ref. 70), (Uk, qk ) is an optimal solu-
tion to problem (Qb) at b =/7.
From Lemma 3.4, uk > 0. By the complementary slackness property of
linear programming (Ref. 70), this implies that <c2, x6>=/7 (Ref. 70). By
substituting <c2, x b) for 6 in (13), we obtain that
(c,, x ~) + Uk<C2, X~) = (a, qk).
Since x ~ X , this equality implies that x ~ is a feasible solution for the linear
program solved in Step k4 of the algorithm. From the definitions of ~k+l
and bk+l, this implies that (c2, x ~) <bk+ 1. Since (c2, x 5) = 6> bk, it follows
 JOTA: VOL. 88, NO. I, JANUARY 1996 93

that bk+ 1> bk. The second statement in the lemma follows immediately from
Lemma 3.1 and the proof of Theorem 2.3. []

Remark 3.2. It is evident from Lemmas 3.1 and 3.5 that, for each
k > 1, after iteration k of the outcome-based algorithm, one can find an
additional linear piece of the graph of the function w. This piece of the
graph of w is the line segment in R 2 that lies on the line with equation

w(b) = -buk + (a, q~ )

and has endpoints [bk, w(bk)], [bk + i, w(bk +1)]. Furthermore, from Lemma
3.4, the slope of this line segment is negative. The next result shows that
this line segment corresponds to an efficient edge of Y of the form (2).

Theorem 3.1. For each k > 1, let L~ denote the line segment in R 2 with
endpoints [w(bi), hi], i=k, k + 1, that is generated by the algorithm after
iteration k. Then, Lg is an efficient face of Y, and Lk = F~, where F~r is given
by (2).

Proof. Assume that k > 1. From Yu (Ref. I 1) and linear programming

theory (Ref. 70), since uk > 0 (cf. Lemma 3.4), the optimal solution set Fk
to the linear program (PFk) given by

max (yl + uky2),

s.t. yeY,

is an efficient face of Y. To prove the theorem, we will show that Fk = Lk =

Fkr, where F~ is given by (2).
Toward this end, suppose that [w(b), b]~Lk. Then from Remark 3.2
and Lemma 3.5, b~<6<bk+~ and

w(b) + uk6= (a, qk ).

Let x b denote an optimal solution to problem (Pb) at b =/~. Then, by defini-

tion of w, (cl, x b) = w(/~). Furthermore, from the proof of Lemma 3.5,
@2, x ~) =/~. Therefore,

(c,, x ~) + .~ (e2, x ~) = (a, q~). (14)

Furthermore, in the proof of Lemma 3.4, the only property of x* that was
used to derive (10) was x*~X. Therefore,

(c,, x) + uk (c2, x) =<(a, q~),

94 JOTA: VOL. 88, NO. 1, JANUARY 1996

for all x~X. From (14), since xr'eX, this implies that (a, q~) is the optimal
value of the linear program

max @1, x) + Uk(c2, x),

s.t. xeX.
It is easy to see that, as a result, (a, qk) is the optimal value of problem
(PFk) and Fk = F~,. Furthermore, since
w(/~) + udS= (a, qk),

where
w(/7) = (cl, x e) and b = (c2, Xb),

we also see that [w(b), 6 ] e f ~ . By the choice of [w(b), b], Lk~fkr.

To conclude the proof, we must show that Fky~_Lk. To show this, we
will first show that, if y = (yl, Y2)e Y and y2 does not satisfy bk Ny2<bk+~,
then y(sF~. To accomplish this, assume that y = (y~, yz) e Y and that yz fails
to satisfy bk <Y2 < bk+ 1. Then, either y2 > m2 or Y2< rn2.

Case 1. y2 ~ m2. In this case, since y e Y, Y2~ M2 must also hold. Notice
from Lemmas 3.1 and 3.5 that, for each j > 1, since -uj+l is the unique right-
hand derivative of w at bj+ 1, (uj, q J) is a feasible but nonoptimal solution
to the linear program given in Step ( j + 1)1 of the algorithm. Therefore, for
each j >_1, Step (j + 1)1 implies that uj < u;+ 1. Since the feasible region Z of
p r o b l e m (Qb) is invariant over b e I and has a finite number of extreme
points, and since for each j > 1, the optimal value of the linear program
solved in Step j 1 is achieved by one of these extreme points, by Remark 3.2,
if the tests involving the inequality LB > U B are eliminated from the out-
come-based algorithm, then, for some finite number/~, the algorithm will
terminate in Step/~4 after generating the entire graph of w over L Assume
in the remainder of this proof that the algorithm has been used to generate
this graph. Then, since y2 eL y2 satisfies bj<y2 < bj+ 1 for some integer j > 1.
Therefore, j ~ k.
By Lemma 3.5,

w(/~) = --bug + (a, qX),

for any b e R that satisfies bk<6<bk+l. Therefore, if we choose such a
number b, w'(b)=--Uk. By Theorem 2.3, w is concave on L The latter two
statements imply from Ref. 64 that
w( y2) < w(~) - u~ ( y 2 - 6),
 JOTA: VOL. 88, NO. 1, JANUARY 1996 95

or equivalently,

w(y2) + u~y2 < w(~) + u~. (15)

Suppose that (15) holds with equality. Since by the choice of /~,
[w(b), b]~L~, this implies by Remark 3.2 that
w( y2) + u, y2 = ( a, q~>.
By definition of Lk, Y2 must therefore satisfy b~ <y2 < bk+ j, which is a con-
tradiction. Hence, (15) must hold with strict inequality. Since [w(b), b] eLk
by the choice of/7, and L~_Fkr by the first part of this proof, this implies
that

w(yz) + UkY2 < (a, q~ ). (16)

By definition of w(y2), if (371, y2) ~ Y, then pl < w(y2). Since y~ Y, this implies
that y~ < w(y2). Together with (16), this implies that

Yl + uky2 < (a, qk),

so that yCFkr must hold.

Case 2. y2 < me. From Step 4 of the algorithm, m2 bj. We may thus
=

apply Case 1 to y = [w(b0, bl]e Y to obtain

W(bl) +ukbj < (a, qk ). (17)

By Lemma 3.4, u~ > 0. Since y2 < m2 and m2 = b~, this implies that ugy2 < U~bl.
Furthermore, from the definitions of w, M~ and m2, we obtain that w(bO =
M~. Since y~ Y, this implies by the definition of M~ that y~ < W(bl). There-
fore, from (17) and the fact that ukyz<ukbl, it follows that

yl +uky2 < (a, q~),

SO that yCF~ must hold.
We have thus shown that, if y~ Y and y2 fails to satisfy bk-<__y2-<bk+~,
then yq~F~r. By the contrapositive of this statement, we conclude that, if
y~Fkr, then b~ <Y2 = bk+ 1.
We now show that Fkr~_Lk. Assume that y~F~r. Then b~<=y2<=bk+l
must hold. From Lemma 3.5, this implies that
w(y2) = -uky2 + (a, q~).
Since y ~ F~,

y~ + uky2 = (a, qk).

96 JOTA: VOL. 88, NO. 1, JANUARY 1996

The latter two statements imply that y~ = w(y2). Thus,

yl = w(y2) = -ukyz + (a, q~ ).

Since bk <Yz < bk+ 1, from Remark 3.2 and the definition of Lk, this implies
that yEL~. Therefore, Fgr~_Lk, and the theorem is proven. []

The convergence of the outcome-based algorithm can now be shown.

Theorem 3.2. The outcome-based algorithm is finite and always termi-

nates with an optimal solution to problem (P).

Proof. If xReXe is detected in Step 1, then from xREXE and the defini-
tion of problem (PR), v > f ( x R ) > v . In this case then, v = f ( x R) and the
algorithm appropriately terminates with the optimal solution x R to problem
(P).
If x R~XE, then as explained at the beginning of Section 3.1, either Y
is completely efficient, Ye is a singleton, or YE consists of one or more edges
of Y. We deal with these three cases separately.
When Y is completely efficient, as explained in Section 3.1, Step 1 of
the algorithm detects this case, and the algorithm computes the optimal
solution x R to problem (P) and terminates. If YE consists of a singleton,
then it follows from Theorem 2.2 that m2 = M2 and that Ye = {(M~, M2)r}.
From Steps 2 through 5 of the algorithm, in this case, if the algorithm does
not terminate in Step 3, then it detects that YE is a singleton, finds a point
in X that minimizes f over all x e X such that Cx equals this singleton, and
terminates. It is easy to see that (M1, M2)re Y~x, so that {(Mr, M2)} is a
face of Y. By Theorem 2.1, the latter two statements imply that, when Ye
is a singleton and the algorithm does not terminate in Step 3, it finds an
optimal solution to problem (P) in the initialization step.
If the algorithm terminates in Step 3, then from the values of LB and
UB in that step, it follows that f ( x c) _<f(x~), where x ~ and x R are optimal
solutions to the linear programs (Q) and (PR), respectively. It is easy to see
that this implies that x~eXe and that f ( x R) =<v. Therefore, when the algo-
rithm terminates in Step 3,
v <_f(x c) <_f(x R) ~ v.

From the previous two statements, if the algorithm terminates in Step 3,

then v = f (xC), and the point x c found by the algorithm is an optimal solution
for problem (P). Notice that this holds regardless of whether Ye is a singleton
or not.
 JOTA: VOL. 88, NO. 1, JANUARY 1996 97

Assume now that Y# YE, that Ye is not a singleton, and that the
algorithm does not terminate in Step 3. These assumptions and the argu-
ments given so far in this proof imply that the algorithm proceeds beyond
the initialization step. Thus, either the algorithm terminates during some
iteration/~> 1 by detecting that LB > UB is satisfied, or it does not terminate
in this way.
Suppose first that the algorithm does not terminate by detecting that
LB ___UB is satisfied. Then, since the algorithm proceeds beyond the initiali-
zation step, Theorem 3.1 and its proof imply that, in each iteration k > 1
that is executed, a distinct efficient face F~r of Y of the form (2) is generated.
By Theorem 2.1, it follows that, for each such k, the point x k found in Step
k2 of the algorithm minimizes f over the efficient face F~. of X that consists
of all x ~ X such that C x e F k r . Since Y is polyhedral, it has a finite number
of efficient faces (Ref. 11). From Theorem 2.2 and Step k4, since the algo-
rithm does not terminate by detecting LB>UB, it follows that, after some
finite number of iterations/~, the algorithm will terminate in Step k4 after
identifying all of the efficient faces of YE. At that point, x c will minimize f
over XE.
Now, suppose that, during some iteration, the algorithm detects that
LB > UB is satisfied. Then, by using arguments similar to those used for the
case where the algorithm temfinates in Step 3, it is easy to show that, at the
point of termination, x c will be an optimal solution for problem (P). []

4. Examples

Notice that the computational accuracy and effort involved in executing

the outcome-based algorithm are determined largely by the types, numbers,
and sizes of the optimization problems that must be solved. An examination
of these problems reveals that, except for problems (PR), (P0, (Fk), and
( P R b ) , all of these problems are linear programs. The remaining problems
each involve minimizing f over a compact polyhedron. A number of quite
accurate and relatively efficient algorithms for minimizing various types of
lower semicontinuous functions f over compact polyhedra exist. Included
among these, for example, are algorithms for cases where f is linear, quad-
ratic, convex, concave and quasiconcave (cf. Refs. 30-32, 64). Therefore,
the outcome-based algorithm can be expected to efficiently find exact or
approximate optimal solutions to problem (P) for a wide variety of lower-
semicontinuous functions f
The number of iterations and subproblem optimizations required by
the algorithm to solve a given problem (P) depends upon the objective
function f and the number of efficient edges, if any, that exist in Ye. These
98 JOTA: VOL, 88, NO. 1, JANUARY 1996

factors determine the iteration, if any, in which the fathoming criterion

LB > UB is satisfied. As we have explained, by searching edges of YE rather
than faces of Xe and by including the fathoming test, it is expected that
significant numbers of iterations and suboptimizations will often be avoided.
The following two examples help illustrate these points.

Example 4.1. Let m = 10 and n=20, and let A be given by

A = [IIo i II0],
where I10 denotes the 10 • 10 identity matrix. Let a~R 1~be the vector whose
entries each equal 1.0. For notational convenience, to define C, first let
djER2,j = 1, 2, 3, be given by
d, = [ - i:~] ' dZ=[ 0.6671 -0.75~
-0.333J' d3=[ 0.25J'
and let d4~R 2 be the vector of zeroes. Then, let the first four columns of
C equal d 1, the next four equal d 2, the next two equal d 3, and the last 10
equal d 4.
Notice that, if we view xj, = 11, 1 2 , . . . , 20, as slack variables, then the
feasible region X of problem (BX) in this example is a hypercube in R 1~ It
is not difficult to show that this hypercube has 34 efficient extreme points, 68
efficient edges, one two-dimensional efficient face, and two four-dimensional
efficient faces. In contrast, the polyhedral image Y= CX of X under C is a
two-dimensional polyhedron with only four efficient extreme points and
three efficient edges. Therefore, for any objective function f: R2~ that
can be minimized over Xe by the outcome-based algorithm, at most three
iterations of the algorithm will be required.
Let f : R2~ be defined for each x~R 2~by
f(x) = (d, x),
where de R 2~ is given by
1.0, j = 1, 2,4, 6, 8, 10,
d j = ~ - 1.0, j = 3 , 5,7,9,
( 0.0, j = l l , 12. . . . . 20.
In this case, as we have seen, since f is linear, problem (P) will have an
optimal solution that is an extreme point of X. Furthermore, all subproblems
that must be solved when applying the outcome-based algorithm to this
problem will be linear programming problems. What follows is a brief sum-
mary of the computations and conclusions that result by applying the algo-
rithm to this example. All points in X are given with their slack variable
values omitted.
 JOTA: VOL. 88, NO. 1, JANUARY 1996 99

Initialization Step. In this step, the algorithm detects that t > 0, so that
problem (BX) is not completely efficient. It calculates LB = - 4 . 0 0 as the
initial lower bound for v, and detects that the optimal solution x R to problem
(PR) which provides this lower bound does not satisfy xReXe. Therefore,
the minimum o f f over X equals - 4.00, o ~ - 4.00, and the algorithm must
continue. It next finds that Mj = 2.667, M2 =4.500, and that

(xC)T=(0, 0, 0, 0, 1, 1, 1, 1,0,0).

It then sets

m2 = (c2, xC) = -1.333, UB = f ( x c) = 0.00.

Since LB < UB and m2 < M2, the algorithm must proceed to iteration 1 with

bl = -1.333, a~ =2.667,

because it has detected that Y has at least one efficient edge to be identified.
Iteration 1. In this iteration, the algorithm finds a minimizer x ~ o f f
over the efficient face of X consisting of all x ~ X such that Cx is an element
of the efficient edge F lr of Y given by

F l = {Y~ YI Yl +Y2 = 1.33}.

It finds the vector x j given by

(x~)r= (0, 0, 1,0, 1, 1, 1, 1, 0, 0),

with f (x ~) = - 1.0. Since f (x 1) < UB, the incumbent solution x c is set equal
to x 1, and UB is set equal to -1.0. Since LB < UB,

b2 = 2.667, a2 = - 1.333

are calculated. Since b2 < M2, Y has at least one more efficient edge to be
potentially identified. Before proceeding to iteration 2 to do so, however,
the algorithm checks to see if LB can now perhaps be increased. To do so,
it calculates (c2, xR) and finds that (c2, x R) < b2. Therefore, LB can now
perhaps be increased. The algorithm then solves the linear program (PRb)
with b = b2 for an optimal solution x R. Using x R, it sets LB = f (x R) = -1.917.
Although this increases the value of LB as compared to its previous value,
LB < UB still holds, so that the search must continue.
Iteration 2. In this iteration, the algorithm finds a minimizer x 2 o f f
over the efficient face of X consisting of all x E X such that Cx is an element
of the efficient edge F ~ of Y given by

F 2= (y~ Yly~ + 2.00y2 =4.00}.

100 JOTA: VOL. 88, NO. 1, JANUARY 1996

It finds the vector X2 given by

(xZ)r= (1, 1, 1, 1, 0, 0, 1, 0, 0, 0),
with f ( x 2) = 1. Since f ( x 2) > U B , the algorithm calculates
b3 = 4.00, a 3= -4.00
in preparation for identifying a third efficient edge of Y in iteration 3. It
detects that b3 < M2, so that such an edge does indeed exist. Before proceed-
ing to iteration 3, however, it detects that (c2, x R) ~r Therefore, it solves
the linear program (PRb) with b = b 3 . The value of LB is thereby increased
to LB = 0.25. Since now LB = 0.25 > UB = - 1.0, no additional efficient edges
of Y need to be identified and the algorithm stops, having found the optimal
solution x c = x ~ with f (x c) = UB = v = - 1.0.
In this example, the algorithm required solving 14 linear programming
problems to find an optimal solution to problem (P). Notice in the example
that, although X contains over 100 efficient faces, the outcome-based algo-
rithm needed to identify only five efficient faces of Y (three efficient extreme
points and two efficient edges) to solve the problem. Also notice that,
although Y contains a fourth efficient extreme point and a third efficient
edge, the satisfaction of the fathoming test LB > UB in iteration 2 precluded
the need to identify this point and edge. Furthermore, as proven in Section
3, since complete efficiency does not hold in this example, the algorithm
found faces of YE of dimension at most one, even though XE contains faces
of significantly-higher dimension.

Example 4.2. Consider the same data as in Example 4.1, except let
f : R2~ be the convex quadratic function defined for each x e R 2~ by
10
f ( x ) = Z (11-j)(x2-0.25) 2.
j=l

Since the only difference between Example 4.1 and this example is in the
definition off, Xe and YE are unchanged. In particular, as in Example 4.1,
since Y~ consists of exactly three edges of Y, the outcome-based algorithm
will require at most three iterations to solve problem (P). However, since f
is now a convex function, problem (P) need not have an extreme point
optimal solution. Furthermore, while most of the subproblems that must
be solved when applying the outcome-based algorithm will again be linear
programming problems, a minority of these problems will be convex quad-
ratic programs.
In this case, as in Example 4.1, the outcome-based algorithm solves
problem (P) in two iterations. In particular, it searches the same two edges
 JOTA: VOL. 88, NO. 1, JANUARY 1996 101

of Ye as it did in Example 4.1, and it fathoms the third efficient edge in

iteration 2. The optimal point x* ~XE that it finds is given by
(x*) r = (0.25, 0.25, 0.25, 0.25, 1, I, 1, 1, 0, 0),
with v = f ( x * ) = 10.3125, where the slack variables of x* have been omitted.
Notice that x* is not an extreme point of X and that, in contrast to v =
10.3125, the minimum value o f f over X is 0. To find x*, the algorithm
solves nine linear programs and five convex quadratic programs.

5. Conclusions

The problem (P) of optimizing a lower semicontinuous function over

the efficient set of a bicriteria linear programming problem lies in a class of
problems with important uses in multiple criteria decision making. Mathe-
matically, the problems in this class are generally difficult global optimization
problems requiring computationally-burdensome methods for their solution.
In this article, by concentrating on the outcome set, rather than on the
decision set, of the underlying bicriteria linear program, we have developed
an efficient search algorithm for solving problem (P) that is organized
according to the efficient edges of the outcome set. This approach, in com-
parison to decision set-based approaches, can reduce markedly the number
of efficient faces that need to be identified to solve the problem. Furthermore,
it always reduces the dimensions of the efficient faces that need to be identi-
fied to at most one.

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