Abstract:

In this paper, we study the Pareto efficiency of robust solutions to general optimization problems under uncertainty. Firstly, we prove that the set of Pareto robust solutions is the Pareto efficient set of the robust solution set, by which to obtain Pareto robust solutions reduces to find Pareto efficient elements of the robust solution set. Then on the basis of an extension of epsilon-constraint method, we get two ways of generating Pareto robust solutions.

Key words: robust optimization, Pareto efficiency, Pareto robust solution, epsilon-constraint method