Piecewise Linear Multicriteria Programs: The Continuous Case and Its Discontinuous Generalization

In this paper we study piecewise linear multicriteria programs, that is, multicriteria programs with either a continuous or discontinuous piecewise linear objective function and a polyhedron set constraint. We obtain an algebraic representation of a semi-closed polyhedron and apply it to show that the image of a semi-closed polyhedron under a continuous linear function is always one semi-closed polyhedron. We establish that the (weak) Pareto solution/point set of a piecewise linear multicriteria program is the union of finitely many semi-closed polyhedra. We propose an algorithm for finding the Pareto point set of a continuous piecewise linear bi-criteria program and generalize it to the discontinuous case. We apply our algorithm to solve the discontinuous bi-criteria portfolio selection problem with an l_∞ risk measure and transaction costs and show that this algorithm can be improved by using an ideal point strategy.