Benders decomposition for multiobjective programs with cone inclusions (Q5957419)

The author shows a generalization of the Benders decomposition method for multiobjective programs which contain cone inclusions as constraints. This paper presents a frame of algorithm to give an optimal solution in the sense of Pareto optimality. A Farkas' theorem for cones is used to formulate the master problem which have a linearized objective function obtained by the epigraph trick. The algorithm has to be completed by inserting a subroutine solving cone problems exactly in finite steps. A numerical example is shown.