Operations Research topics: SAS/OR,
SAS Optimization, and SAS Simulation Studio

Multi-Objective Optimization

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Multi-Objective Optimization

I had a question about multi-objective optimizations. I am more familiar with GAMS, but have gained increasing familiarity with the Optmodel language in SAS. I have a large LP with multiple objectives. Rather than following the classical weighted composite objective function, I wish to minimize or maximize an isolated objective, then use the objective as a constraint in the next level of optimization.

In GAMS, I would solve for the objective, then fix the upper/lower bound of the objective variable, and continue to the next level. I understand that Optmodel handles things somewhat differently (objectives do not appear to be regular variables per se, and cannot be fixed). As such, how would I go about a multi-level optimization model rather than a simultaneous composition of objectives into a less tractable weighted objective function? The only references I see to multi-objective optimizations are in the Genetic Algorithm literature, which is something I do not need to pursue currently.

Thanks in advance.
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