An Interactive Branch-and-Bound Algorithm for Multiple Criteria Optimization

We present a new interactive algorithm for multiple criteria optimization. The algorithm is of the branch-and-bound type, and differs from previous interactive algorithms in several ways. First, the field of application is wider because it applies to two important classes of multiple criteria decision problems: those for which the feasible set is convex and those for which the feasible set is discrete. Secondly, the algorithm does not require a great deal from the decision maker; he is merely required to indicate his preference between two vectors whenever the algorithm so demands.