Efficiently Constructing Convex Approximation Sets in Multiobjective Optimization Problems

Convex approximation sets for multiobjective optimization problems are a well-studied relaxation of the common notion of approximation sets. Instead of approximating each image of a feasible solution by the image of some solution in the approximation set up to a multiplicative factor in each component, a convex approximation set only requires this multiplicative approximation to be achieved by some convex combination of finitely many images of solutions in the set. This makes convex approximation sets efficiently computable for a wide range of multiobjective problems: even for many problems for which (classic) approximations sets are hard to compute. In this article, we propose a polynomial-time algorithm to compute convex approximation sets that builds on an exact or approximate algorithm for the weighted sum scalarization and is therefore applicable to a large variety of multiobjective optimization problems. The provided convex approximation quality is arbitrarily close to the approximation quality of the underlying algorithm for the weighted sum scalarization. In essence, our algorithm can be interpreted as an approximate version of the dual variant of Benson’s outer approximation algorithm. Thus, in contrast to existing convex approximation algorithms from the literature, information on solutions obtained during the approximation process is utilized to significantly reduce both the practical running time and the cardinality of the returned solution sets while still guaranteeing the same worst-case approximation quality. We underpin these advantages by the first comparison of all existing convex approximation algorithms on several instances of the triobjective knapsack problem and the triobjective symmetric metric traveling salesman problem. History: Accepted by Andrea Lodi, Area Editor for Design & Analysis of Algorithms–Discrete. Funding: This research was supported by the German Research Foundation [Project 398572517]. Supplemental Material: The software that supports the findings of this study is available within the paper and its Supplemental Information ( https://pubsonline.informs.org/doi/suppl/10.1287/ijoc.2023.0220 ) as well as from the IJOC GitHub software repository ( https://github.com/INFORMSJoC/2023.0220 ). The complete IJOC Software and Data Repository is available at https://informsjoc.github.io/ .