I would like to write a multi objective function for optimizing several variables. However, I would like only certain objective functions effect certain optimization variables. For example, for a multi objective function of F = [f1 f2 f3] and optimization variables x = [x1 x2 x3], I would like x1 to be effected by f1 but not f2 or f3 etc. Optimization of all the variables should be performed together and I cannot assume that x2 and x3 for example are constant while I optimize for x1 . Is there an optimization algorithm that can handle this problem?
Thanks,
Dear Chaitanya,
I suggest for you alinks and attached files in topics.
-Linear Optimization - University of Baltimore Home Page web services
home.ubalt.edu/ntsbarsh/opre640a/partviii.htm
- 4. Fitting a Model to Data - Data Science for Business [Book] - Safari
https://www.safaribooksonline.com/library/view/data.../ch04.html
Best regards
I am answering this question with respect to linear optimization.
Multi objective functions will take more than one objective functions. Let us say we want to maximize contribution (to profit) and maximize volume (in no of units) for a multiple product company. So it is necessary to use something like giving goal so that I can know how much weights we want to give each goal. So in a multi- objective framework it is necessary to assign right weights to the goals.
The slope of some of the variables, I understand that it is the coefficients will be different.
Let us say objective function is = w1(f1(X) + w2(f2(X)
= w1(C11X1+ C12 X2+...+C1nXn) + w2 (C21X1+....+C2nXn)
Given this , only requirement is how to assign the w1 and w2 and not C vector for
Here we must understand that
1) Should we solve for one goal or more than one goal . Optimal Solution for profit maximization will not be same for solution for utilization maximization
2) Optimal Solution for profit maximization will be different from that of cost minimization.
In my opinion finding the weights (W1 and W2) are more important that finding the
3) The coefficients are generally provided are parameters.
I hope it helps
Goutam Dutta
Thank you for all the useful suggestions. I will implement some of these algorithms and post the results. Thanks again!
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