We consider problems with multiple linear objectives and linear constraintsand use Adjustable Robust Optimization and Polynomial Optimization as tools toapproximate the Pareto set with polynomials of arbitrarily large degree. Themain difference with existing techniques is that we optimize a single(extended) optimization problem that provides a polynomial approximationwhereas existing methods iteratively construct a piecewise linearapproximation. One of the advantages of the proposed method is that it is moreuseful for visualizing the Pareto set.
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