multiobjective optimization

Problems with modeling
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seydaseyda
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multiobjective optimization

Post by seydaseyda »

Hi everyone!

I am converting a single objective problem to multiobjective problem. I have two conflicting objectives. I am writing them seperately and trying to solve them as model 1 and model 2. Gams gives me two different solution obviously for two different objectives but my aim is finding a compromise solution for these two conflicting objectives. How can i make this happen?

Thanks a lot.
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bussieck
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Re: multiobjective optimization

Post by bussieck »

There are two classical ways: weighted combined objective and hierarchical objective. You can do this directly in GAMS or use a solver that supports MOO, e.g. https://www.gams.com/latest/docs/S_CPLE ... OBJECTIVES. If you get ambitious and want to spec out the Parteo frontier there are some advanced examples in the GAMS model library, e.g. https://www.gams.com/latest/gamslib_ml/ ... epscm.html and obviously the famous Markowitz model trading off risk and return in a portfolio: https://www.gams.com/latest/gamslib_ml/ ... anvar.html.

-Michael
seydaseyda
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Re: multiobjective optimization

Post by seydaseyda »

Thank you for your help.

I tried the pareto optimal front and again it gave me two different solutions for my objective functions. Does it must be like that?
Alireza.soroudi
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Re: multiobjective optimization

Post by Alireza.soroudi »

That's the meaning of the pareto optimal front solutions
you will have more than one solution
seydaseyda
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Re: multiobjective optimization

Post by seydaseyda »

Yes but these two solutions are not suitable for each other. I want a comprimise solution to ensure both objectives in a suitable point. Sorry I am new on this subject so I need more detail.
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