Multiple objective linear programming over the probability simplex
arXiv:2412.19598
Abstract
This paper considers the problem of maximizing multiple linear functions over the probability simplex. A classification of feasible points is indicated. A necessary and sufficient condition for a member of each class to be an efficient solution is stated. This characterization yields a computational procedure for ascertaining whether a feasible point is efficient. The procedure does not require that candidates for efficiency be extreme points. An illustration of the procedure is offered.