A face search heuristic algorithm for optimizing over the efficient set

The problem of optimizing a linear function over the efficient set of a multiple objective linear program is an important but difficult problem in multiple criteria decision making. In this article we present a flexible face search heuristic algorithm for the problem. Preliminary computational experiments indicate that the algorithm gives very good estimates of the global optimum with relatively little computational effort. © 1993 John Wiley & Sons, Inc.