Computation of Ideal and Nadir Values and Implications

European Journal of Operational Research 151 (2003) 119–139
www.elsevier.com/locate/dsw
Decision Aiding
Computation of ideal and Nadir values and implications

for their use in MCDM methods
a,* b
Matthias Ehrgott , Dagmar Tenfelde-Podehl
a
Department of Engineering Science, University of Auckland, Private Bag 92019, Auckland, New Zealand
b
Fachbereich Mathematik, Universit€at Kaiserslautern, Postfach 3049, 67653 Kaiserslautern, Germany
Received 7 March 2000; accepted 26 June 2002
Abstract
In this paper we investigate the problem of finding the Nadir point for multicriteria optimization problems (MOP).
The Nadir point is characterized by the componentwise maximal values of efficient points for MOP. It can be easily
computed in the bicriteria case. However, in general this problem is very difficult. We review some existing methods and
heuristics and also discuss some new ones. We propose a general method to compute Nadir values based on theoretical
results on Pareto optimal solutions of subproblems with fewer criteria. The general scheme is valid for any number of
criteria and practical for the case of three objectives. We also investigate the use of the Nadir point for compromise
programming, when the goal is to be as far away as possible from the worst outcomes. We prove some results about
(weak) Pareto optimality of the resulting solutions and present examples, which show the limitations of this idea, and
therefore limitations of multicriteria methods using this type of problems.
2002 Elsevier B.V. All rights reserved.
Keywords: Multicriteria optimization; Nadir points; Compromise programming
1. Introduction
In this paper we consider optimization problems with multiple criteria, i.e.
min ðf 1 ðxÞ; . . . ; f Q ðxÞÞ

ðMOPÞ
subject to x 2 X:
We investigate the determination of the ideal and anti-ideal or Nadir point for (MOP). These points are
characterized by the minimal (respectively maximal) objective values attained for Pareto optimal solutions
of (MOP).
*
Corresponding author. Fax: +64-9-373-7468.
E-mail addresses: m.ehrgott@auckland.ac.nz (M. Ehrgott), tenfelde@mathematik.uni-kl.de (D. Tenfelde-Podehl).
0377-2217/$ - see front matter 2002 Elsevier B.V. All rights reserved.
doi:10.1016/S0377-2217(02)00595-7
120 M. Ehrgott, D. Tenfelde-Podehl / European Journal of Operational Research 151 (2003) 119–139
1.1. Definitions
Definition 1. A feasible solution x of (MOP) is called Pareto optimal if there does not exist another feasible
solution x which is at least as good as x with respect to all criteria and strictly better for at least one
objective i.e. if there is no x 2 X such that
f q ðxÞ 6 f q ðx Þ for all q ¼ 1; . . . ; Q and f ðxÞ 6¼ f ðx Þ:
We write f ðxÞ < f ðyÞ if f q ðxÞ 6 f q ðyÞ; q ¼ 1; . . . ; Q and f ðxÞ 6¼ f ðyÞ. Let XPar be the set of all Pareto optimal
solutions. If x is Pareto optimal, f ðx Þ is called efficient. The set of efficient points is denoted by
Yeff :¼ f ðXPar Þ.
Definition 2. A feasible solution x of (MOP) is called weakly Pareto optimal if there does not exist another
feasible solution x which is strictly better with respect to all criteria i.e. if there is no x 2 X such that
f q ðxÞ < f q ðx Þ; q ¼ 1; . . . ; Q:
We write f ðxÞ f ðyÞ if f q ðxÞ < f q ðyÞ; q ¼ 1; . . . ; Q.
Using Definition 1, we can formally define the Nadir and ideal point.
Definition 3. Assume that at least one Pareto optimal solution exists, i.e. XPar 6¼ ;. Then the Nadir point
y N 2 RQ is characterized by the componentwise supremum of all efficient points:
yqN :¼ sup f q ðxÞ; q ¼ 1; . . . ; Q:
x2XPar
The ideal point is defined to be the vector of the componentwise infima of all efficient solutions:
yqI :¼ inf f q ðxÞ; q ¼ 1; . . . ; Q:
x2XPar
Throughout the paper we will assume that the efficient set Yeff is nonempty and externally stable in the
sense of [32, p. 60], i.e. each nonefficient point y 2 f ðX Þ is dominated by an efficient point y ¼ f ðx Þ, where
x 2 XPar . In particular, for the following investigations we assume that XPar is a compact set such that the
supremum and the infimum will be attained. We refer to [32] for results about existence, stability and other
properties of the Pareto set and the efficient set. We also assume that the ideal point is not itself an efficient
point. This would imply that the objectives are not conflicting and induce a trivial case from the multi-
criteria perspective. From our assumption the Nadir point and ideal point can be computed as
yqN ¼ max f q ðxÞ; q ¼ 1; . . . ; Q;
x2XPar
yqI ¼ min f q ðxÞ; q ¼ 1; . . . ; Q:

x2XPar
The Nadir and ideal point provide important information about a multicriteria optimization problem
(MOP). For a decision maker facing a multicriteria problem they show the possible range of the objective
values of all his criteria over the Pareto set: They are exact upper respectively lower bounds for the set of
efficient points. But also in terms of methodology and solution algorithms knowing y N and y I is useful, as
we shall explain now.
1.2. Ideal points and compromise programming
First note that determination of the ideal point for any number of criteria involves only the solution of Q
single objective problems
M. Ehrgott, D. Tenfelde-Podehl / European Journal of Operational Research 151 (2003) 119–139 121
min f q ðxÞ
ðPq Þ
subject to x2X
over the whole feasible set X. The following well known result implies that solving (Pq ) yields yqI .
Lemma 1. At least one optimal solution of problem (Pq ) is Pareto optimal.
Ideal points y I and utopian points y U defined by yiU :¼ yiI , > 0 are an essential component of
compromise programming, see [42]. The idea is to find a feasible solution of (MOP) which is as close as
possible to the ideal (or utopian) point
min jjf ðxÞ y 0 jj; ð1Þ

x2X
where y 0 2 fy I ; y U g and jj jj is a norm on RQ . Whether an optimal solution of (1) is a Pareto optimal

solution depends on properties of the norm.
Definition 4
i(i) A norm k k : RQ ! Rþ is called monotone, if for a; b 2 RQ jai j 6 jbi j; i ¼ 1; . . . ; Q then kak 6 kbk holds,
and jai j < jbi j; i ¼ 1; . . . ; Q then kak < kbk holds.
(ii) k k is called strictly monotone, if jai j 6 jbi j; i ¼ 1; . . . ; Q and jak j 6¼ jbk j for some k then kak < kbk holds.
We obtain the following results:
Theorem 1. Let x^ be an optimal solution of (1). Then the following hold:
(i) If k k is monotone then x^ is weakly Pareto optimal. If x^ is a unique optimal solution of (1) then x^ 2 XPar .
(ii) If k k is strictly monotone then x^ is Pareto optimal.
Proof
i(i) Suppose x^ solves (1) and x^ is not weakly Pareto optimal. Then there is an x 2 X such that
f i ðxÞ < f i ð^
xÞ; i ¼ 1; . . . ; Q;
) 0 6 f ðxÞ yi0 < f i ð^
i
xÞ yi0 ; i ¼ 1; . . . ; Q;
0 0
) kf ðxÞ y k < kf ð^
xÞ y k
contradicting optimality of x^.

Now suppose x^ is a unique optimal solution, but x^ 62 XPar . Then due to external stability there is an
x 2 X s.t. f i ðxÞ 6 f i ð^ xÞ; i ¼ 1; . . . ; Q and there is some k s.t. f k ðxÞ < f k ð^
xÞ. Therefore 0 6 f i ðxÞ
0 i 0 0 0
yi 6 f ð^ xÞ yi with strict inequality for i ¼ k. Thus kf ðxÞ y k 6 kf ð^ xÞ y k and from optimality of x^
we obtain that equality holds, contradicting the uniqueness of x^.
(ii) Suppose x^ solves (1) and x^ 62 XPar . Then there are x 2 X and k such that f i ðxÞ 6 f i ð^ xÞ; i ¼ 1; . . . ; Q and
f k ðxÞ < f k ð^
xÞ. Therefore
0 6 f i ðxÞ yi0 6 f i ð^
xÞ yi ; i ¼ 1; . . . ; Q and
0 6 f k ðxÞ yk0 < f k ð^
xÞ yk0 ; i:e:
kf ðxÞ y 0 k < kf ð^
xÞ y 0 k
contradicting optimality of x^ for (1).
Examples for strictly monotone norms are lp norms

!1=p
XQ
p
jjyjjp ¼ jyi j
i¼1
for 1 6 p < 1. The Chebychev norm is monotone, but not strictly monotone. Nevertheless compromise
programming problems (1) are often formulated using a (weighted) Chebychev norm:
min max wi jf i ðxÞ yi0 j; ð2Þ

x2X i¼1;...;Q
where wi > 0; i ¼ 1; . . . ; Q.
From Theorem 1 it follows that an optimal solution of (2) is weakly Pareto optimal and Pareto optimal
if it is unique. It is easily seen that (2) has at least one optimal solution which is Pareto optimal, under our
assumptions.
In addition to the general result above, we obtain a stronger characterization of (weakly) Pareto optimal
solutions from (2), if y 0 ¼ y U is chosen, see [8].
Theorem 2. A feasible point x^ 2 X is weakly Pareto optimal if and only if there exist wi > 0; i ¼ 1; . . . ; Q such
that x^ is an optimal solution of (2).
For a more detailed analysis of compromise programming we refer e.g. to [32,42].
1.3. The Nadir point in MCDM methodology
Instead of using the ideal point, one could also think of using the Nadir point as a reference point in
compromise programming. In this case the problem to be solved will be
max jjf ðxÞ y N jj ð3Þ
x2X
with additional constraints to guarantee that f ðxÞ is indeed ‘‘below’’ the Nadir point. Results in [41] in-
dicate that a complete characterization of Pareto optimal solutions is impossible in this way. We will discuss
this observation in detail in Section 3.
Besides the use of ideal and utopian points in compromise programming, important information is
carried by y I and y N . In algorithms to find the Pareto set of an (MOP), or an approximation thereof, the
search area in the objective space is restricted to a rectangular parallelepiped. This property is strongly
exploited in one well known approach for the bicriteria (Q ¼ 2) case. There y I and y N define a rectangle in
criterion space, where the left upper and right lower corner are defined by solutions that minimize f 1 and
f 2 , respectively (actually, these are lexicographically optimal solutions, see Section 2.4). Starting from one
of these two solutions one can now proceed to explore the efficient set. To do so, the -constraint method [7]
can be used in general. Other possibilities are parametric programming methods for linear problems [34], or
ranking methods for combinatorial problems [9].
The third area in which knowledge of y N is also often assumed is that of interactive methods such as
STEM, see [1] and [26]. It can be used as a reference point in many others, see [29]. The GUESS method [6]
requires the repeated solution of problems of the type
max min wi jf i ðxÞ yiN j:
x2S i¼1;...;Q
In Section 2.4 we show that in the bicriteria case y N can be computed almost as easily as y I , and therefore
its use for determining XPar and in interactive methods is justified. Our results in Section 3, however, in-
dicate that the practicality of doing so in the general case must be questioned, even with an efficient method
to compute y N at hand.
2. Existing exact and heuristic methods
In Lemma 1 we have seen that for computing y I solving Q single objective problems is enough. Finding
the Nadir point, however, is much harder. We will discuss several existing exact as well as heuristic methods
in this section. To illustrate these methods we will use the following example:
Example 1. Consider the spanning tree problem with three objectives on the graph of Fig. 1: To
simplify verification of examples in later sections we list all spanning trees and their objective value
vectors.
Tree 1 2 3 4
Edges ½1; 2; ½1; 3; ½1; 4 ½1; 2; ½1; 3; ½2; 4 ½1; 2; ½1; 3; ½3; 4 ½1; 2; ½1; 4; ½2; 3
Weight ð5; 6; 6Þ ð9; 6; 5Þ ð6; 8; 3Þ ð7; 3; 7Þ
Tree 5 6 7 8
Edges ½1; 2; ½1; 4; ½3; 4 ½1; 2; ½2; 3; ½2; 4 ½1; 2; ½2; 3; ½3; 4 ½1; 2; ½2; 4; ½3; 4
Weight ð4; 7; 7Þ ð11; 3; 6Þ ð8; 5; 4Þ ð8; 7; 6Þ
Tree 9 10 11 12
Edges ½1; 3; ½1; 4; ½2; 3 ½1; 3; ½1; 4; ½2; 4 ½1; 3; ½2; 3; ½2; 4 ½1; 3; ½2; 3; ½3; 4
Weight ð6; 5; 5Þ ð6; 7; 7Þ ð10; 5; 4Þ ð7; 7; 2Þ
Tree 13 14 15 16
Edges ½1; 3; ½2; 4; ½3; 4 ½1; 4; ½2; 3; ½2; 4 ½1; 4; ½2; 3; ½3; 4 ½1; 4; ½2; 4; ½3; 4
Weight ð7; 9; 4Þ ð8; 4; 8Þ ð5; 6; 6Þ ð5; 9; 4Þ
One can easily check that the nine trees 1, 3, 4, 5, 6, 7, 9, 12, and 15 are Pareto optimal. They have eight
different weight vectors from which the Nadir point is computed as y N ¼ ð11; 8; 7Þ from trees 6, 3, and 4,
respectively.
Fig. 1. Graph G ¼ ðV ; EÞ with edge weights wij 2 Z3 .

2.1. Optimization over the Pareto set
One could think of determining the components yqN of the Nadir point in a similar way to the com-
putation of the components yqI of the ideal point:
yqN ¼ max f q ðxÞ ¼ max yq : ð4Þ

x2XPar y2Yeff
Unfortunately it is not possible to replace XPar by X in the maximization, as this would possibly lead to an
overestimation of of yqN .
Lemma 2. For all q ¼ 1; . . . ; Q : maxx2X f q ðxÞ P yqN holds.
Example 2. Denoting the estimate of Lemma 2 by y~max , i.e. y~qmax ¼ maxx2X f q ðxÞ, we check Example 1 and
get y~max ¼ ð11; 9; 8ÞT from trees 6, 16, and 14.
Problem (4) is a problem of optimization over the Pareto set. There are some papers published con-
cerning this kind of problems, see [2–5,11,13,36]. Most are restricted to the linear case, i.e. the optimization
of a linear function over the Pareto optimal set of an (MOP). Let XPar be the Pareto optimal set of the
(MOP). Then the methods proposed in these articles solve the problem
min dx
subject to x 2 XPar :
If we assume that the objective functions of (MOP) are linear, f q ðxÞ ¼ cq x, then it is immediately clear how
to apply the methods of these articles to our problem: For all q ¼ 1; . . . ; Q solve the problem
max cq x
subject to x 2 XPar :
This kind of problems is hard to solve since the efficient set of a multicriteria optimization problem is in
general nonconvex, even if the (MOP) itself is linear. Hence in all of the papers mentioned above there are
rather complex algorithms (or ideas of how to construct such algorithms) and most of them make use of
global optimization techniques. Work related to this has been done by a couple of authors, see e.g.
[12,24,23] or [35], where the goal is to maximize not only linear but more general functions over the efficient
set.
2.2. Multiple objective linear programming
A special case in multicriteria programming is the situation, where all objective functions and all con-
straints are linear, i.e.
max cq x q ¼ 1; . . . ; Q
subject to x 2 S ¼ fx 2 Rn : Ax 6 b; x P 0g:
For this case [25] proposed three deterministic approaches to compute y N , where the first two are more or
less theoretical investigations. The first approach consists of determining all efficient solutions and then
using (4) to compute y N . The second idea is to solve a large primal–dual feasible program and the difficulty
is on one hand the size of this program (roughly twice as many rows and twice as many columns as the
original one) and on the other hand a set of highly nonlinear constraints. As a third approach the authors
present a simplex-based procedure using the fact that the efficient extreme points are connected by efficient
edges. Although better than the first and second approach this third idea is also not especially economical.
2.3. Pay-off tables and other heuristics
Due to the difficulty of computing y N , some authors propose heuristics to compute the Nadir point. The
most popular are dealing with the so called pay-off table, e.g. [31] and references therein. We will present
this approach, which provides the decision maker only with estimates (see e.g. [40]), briefly here.
The tables are computed by solving a single criterion optimization problem (Pq ) for each objective to find
the minimal value. The optimal solutions xq are then evaluated for all criteria and the pay-off table is a
matrix given by P ¼ ðpqi Þ :¼ ðf i ðxq ÞÞ. The Nadir value is estimated by
y~iPT :¼ max pqi ¼ maxff i ðxq Þ : q ¼ 1; . . . ; Qg:
q¼1;...;Q
Note that the entries on the diagonal of P determine y I .
Example 3. In Example 1 the pay-off table looks as follows:
Tree f 1 ðxq Þ f 2 ðxq Þ f 3 ðxq Þ

1
x1 2 argminff ðxÞ : x 2 Xg 5 4 7 7
x2 2 argminff 2 ðxÞ : x 2 Xg 6 11 3 6
4 7 3 7
x3 2 argminff 2 ðxÞ : x 2 Xg 12 7 7 2
Hence the Nadir point y N ¼ ð11; 8; 7Þ would be estimated by y~PT ¼ ð11; 7; 7Þ or by y~PT ¼ ð7; 7; 7Þ (depending
on the solution x2 chosen in the minimization of f 2 ), underestimating the exact values. Using pay-off tables
an overestimation is also possible if a weakly Pareto optimal solution happens to be chosen in the mini-
mization of (Pq ), see e.g. [27].
Lemma 3. If the solution of (Pq ) is unique for all q ¼ 1; . . . ; Q then y~PT from the pay-off table will never
overestimate the Nadir point y N .
Proof. If the solution of (Pq ) is unique for all q ¼ 1; . . . ; Q then these solutions xq are never just weakly
Pareto optimal, but always Pareto optimal. Using yqN ¼ maxx2XPar f q ðxÞ the assertion follows.
To achieve the situation of Lemma 3 one could, instead of solving problem (Pq ), think of solving
P Q
min f q ðxÞ þ i f i ðxÞ
i6¼q ðPq ðÞÞ
subject to x 2 X
for each q, where i P 0, i 6¼ q are small numbers, e.g. i ¼ 1=Qp for some p > 1 (or solve lexicographic
problems, see also Section 2.4). Note that for i ¼ 0, i 6¼ q we again get the ordinary pay-off table. Solving
these kind of problems for i > 0 we are sure to obtain a Pareto optimal solution, hence never an over-
estimation of y N .
Eskandari et al. [19] suggested to solve a second single criterion optimization problem for each objective
as a maximization problem, as in Lemma 2. As pointed out in Example 2, in our Example 1 this would yield
the vector y~max ¼ ð11; 9; 8Þ, which now overestimates the correct value.
Yet another approach one could expect to work is to determine the Nadir point in all ðQ 1Þ-criteria
subproblems MOP(i) (see Definition 6 below). Then letting Y N be the set of all Nadir points of these
subproblems, choose
y~qQ 1 :¼ maxfyqN : y N 2 Y N g:
Example 4. In Example 1 again, y~Q 1 does not give the correct result.
Nadir point for

Objectives ðf 1 ; f 2 Þ ðf 1 ; f 3 Þ ðf 2 ; f 3 Þ Max
Trees 4, 5 5, 12 12, 6
0 1
7 0 1 0 1 0 1
f1 B7C 7 7
f2 B C @ A @7A @7A
@ A
f3 7 6 7
Again there is a big difference between y N ¼ ð11; 8; 7Þ and y~Q 1 ¼ ð7; 7; 7Þ. The reason for this is that tree 6,
which determines yiN ¼ 11 is not Pareto optimal in the two subproblems involving f 1 .
Concluding this short presentation of simple heuristics we can ascertain that none of them produced the
right result, some of them overestimating, some of them underestimating the Nadir point.
With pay-off table heuristics the over- or underestimation of the Nadir point can be even arbitrarily
large, see [27] for an example. In that article another heuristic is given based on the use of reference di-
rections.
2.4. Lexicographic optimization
Let us consider bicriteria problems first. In this case the determination of the Nadir point is much easier.
In order to explain it, we have to introduce lexicographic optimality.
Definition 5. Let y and z 2 RQ be two vectors. Then y <lex z if there is a q 2 f1; . . . ; Q 1g such that yk ¼ zk
for all k ¼ 1; . . . ; q and yqþ1 < zqþ1 . If y <lex z or y ¼ z then this will be denoted by y 6 lex z.
Let p be a permutation of f1; . . . ; Qg. A feasible solution xp of (MOP) is called lexicographically optimal
with respect to p if fp ðxp Þ 6 lex fp ðxÞ for all feasible x 2 X, where fp ðxÞ ¼ ðf pð1Þ ðxÞ; . . . ; f pðQÞ ðxÞÞ.
Finally, x is a global lexicographically optimal solution if there exists a permutation p of f1; . . . ; Qg
such that x is lexicographically optimal with respect to p. The set of all such solutions is denoted by
Xlex .
A basic result is the following, see e.g. [17].
Lemma 4. Let x be a global lexicographically optimal solution of (MOP). Then x 2 XPar .
In the bicriteria case, global lexicographically optimal solutions are all we need to determine y I
and y N .
Lemma 5. Consider an (MOP) with Q ¼ 2 criteria and let x1;2 and x2;1 be two lexicographically optimal so-
lutions with respect to permutations p1 ¼ ð1; 2Þ and p2 ¼ ð2; 1Þ, respectively. Then
1. y I ¼ ðf 1 ðx1;2 Þ; f 2 ðx2;1 ÞÞ.

2. y N ¼ ðf 1 ðx2;1 Þ; f 2 ðx1;2 ÞÞ.
Proof. From Lemma 4 we know that x1;2 and x2;1 are Pareto optimal. Hence
yiN ¼ max f i ðxÞ P f i ðx1;2 Þ;
x2XPar
yiN ¼ max f i ðxÞ P f i ðx2;1 Þ;

x2XPar
yiI ¼ min f i ðxÞ 6 f i ðx1;2 Þ;

x2XPar
yiI ¼ min f i ðxÞ 6 f i ðx2;1 Þ:

x2XPar
Assume now there is some x 2 XPar for which there holds f 1 ðx Þ ¼ y1N > f 1 ðx2;1 Þ. Since x 2 XPar ,
f 2 ðx Þ 6 f 2 ðx2;1 Þ. On the other hand x2;1 2 Xlex implies f 2 ðx Þ ¼ f 2 ðx2;1 Þ. Hence x is dominated by x2;1 . The
rest is analogous.
Lemma 5 is important because it allows to compute y N without knowing XPar . In fact, it can then be used
to determine the Pareto optimal set, as explained in Section 1.3. In Section 4.1 we will prove a proper
generalization of Lemma 5 as basis for our new algorithm. The determination of x1;2 (or x2;1 ) basically
involves solving two single objective problems: First minimize f 1 over X, and second, minimize f 2 over X
under the additional constraint, that the optimal value of f 1 computed before is retained. If (MOP) is
linear, these are two LPs. In combinatorial optimization the same algorithms that solve single objective
problems can often be easily adapted to solve lexicographic problems, too. Given that the single objective
problem is solvable in polynomial time, the same is then true for computation of Xlex . Thus considerable
gain over solving restricted problems, which are often NP-hard [20] is achieved. Recall that combinatorial
(MOP) are usually NP-hard even in the bicriteria case [16].
Now we try a direct application of Lemma 5 for more than two objectives. Can we determine Nadir values,
using global lexicographic optimality? Then we could compute the Nadir point from y~lex defined as follows:
y~qlex :¼ max f q ðxÞ:
x2Xlex
The answer is no, as can be seen from Example 5.
Example 5. We continue Example 1. Xlex consists of trees 6 (optimal for permutation p ¼ ð2; 3; 1Þ), 12
(optimal for p ¼ ð3; 1; 2Þ and p ¼ ð3; 2; 1Þ), 4 (optimal for p ¼ ð2; 1; 3Þ), and 5 (optimal for p ¼ ð1; 2; 3Þ and
p ¼ ð1; 3; 2Þ). The image of all global lexicographically optimal spanning trees is
8 0 1 0 1 0 1 0 19
< 11 7 7 4 =
f ðXlex Þ ¼ @ 3 A; @ 7 A; @ 3 A; @ 7 A :
: ;
6 2 7 7
Hence the vector of all maximal entries found using these solutions only is y~lex ¼ ð11; 7; 7Þ, and y~2lex < y2N .
However, Lemma 4 implies that using lexicographic optimization we can never overestimate Nadir values.
Lemma 6. For all q ¼ 1; . . . ; Q it holds that y~lex 6 yqN .
Furthermore, global lexicographically optimal solutions determine the ideal point.
Lemma 7. The ideal point y I is given by yqI ¼ minx2Xlex f q ðxÞ.
Thus, by lexicographic optimization and solving Q single objective (maximization) problems we obtain
y I as well as a lower and a (poor) upper bound on y N .
To complete this subsection, we address the question of computing Xlex . It is interesting to note that––
even though an exponential number of permutations has to be considered––Xlex can often be computed
efficiently. This is true for problems with a finite set of alternatives, such as in multiattribute decision
making, see [14], or when the set of Pareto optimal solutions can be restricted to a finite set of candidates,
e.g. in network location problems, see [21].
3. Problems using the Nadir point in MCDM methods
Let us now come back to the discussion at the end of Section 1.3. We already mentioned, that knowledge
of the Nadir point is assumed in many MCDM methods, such as STEM [1] and in particular in the GUESS
method [6]. In order to understand the consequences of these assumptions for the methods in consideration
we shall first study compromise programming with the Nadir Point as reference point. As pointed out in
Section 1.3 this amounts to solving problems of the type
max jjf ðxÞ y N jj

x2X ð5Þ
subject to f i ðxÞ 6 yiN ; i ¼ 1; . . . ; Q:
The additional constraints are needed in order to guarantee to consider only solution which yield ob-
jective values below the Nadir value. The use of the Nadir point reflects a more conservative point of view
as compared to the use of the ideal point, because one tries to avoid the worst instead of striving to achieve
the best.
As observed in [41], it is not possible to completely characterize the Pareto set using this approach. We
will investigate this in detail, and proof conditions for (weak) Pareto optimality of solutions of (5). These
are basically positive results, that may be expected from the similarity of (3) and (5). We then present
examples which show the limitations.
Proposition 1. An optimal solution of (5) is weakly Pareto optimal if the norm jj jj is monotone, and Pareto
optimal, if the norm is strictly monotone.
Proof. Suppose x solves (5) and is not weakly Pareto optimal. Then there is some x 2 X such that
f i ðxÞ < f i ðx Þ 6 yiN for all i ¼ 1; . . . ; Q. Therefore 0 < yiN f i ðxÞ < yiN f i ðx Þ, i ¼ 1; . . . ; Q and jjf ðxÞ
y N jj < jjf ðx Þ y N jj, due to monotonicity of jj jj.
Now suppose jj jj is strictly monotone and x is an optimal solution of (5). If x is not Pareto optimal
there is some x 2 X such that f i ðxÞ 6 f i ðx Þ; i ¼ 1; . . . ; Q with strict inequality for at least one
i 2 f1; . . . ; Qg. Strict monotonicity now implies jjf ðxÞ y N jj < jjf ðx Þ y N jj, contradicting the choice of
x .
Despite this result and the fact that yiI 6 f i ðxÞ 6 yiN , the optimal solution of (5) will likely be such that
f i ðx Þ ¼ yiI for some i, i.e. on the extremity of the efficient set.
Lemma 8. Consider Q ¼ 2 and the Chebychev norm. Then choosing x1;2 and x2;1 from Lemma 5 (the lexi-
cographically optimal solutions), we have that x1;2 or x2;1 solves (5).
Proof. We know that x1;2 and x2;1 are Pareto optimal and y I ¼ ðf 1 ðx1;2 Þ; f 2 ðx2;1 ÞÞ and y N ¼ ðf 1 ðx2;1 Þ; f 2 ðx1;2 ÞÞ.
Therefore if jy1I y1N j 6 jy2I y2N j we have for all x feasible in (5):
jf 1 ðxÞ y1N j 6 jy1I y1N j 6 jy2I y2N j ¼ jf 2 ðx2;1 Þ y2N j:

Since also jf 2 ðxÞ y2N j 6 jy2I y2N j ¼ jf 2 ðx2;1 Þ y2N j for all x feasible for (5), x2;1 solves the problem. The case
for x1;2 is analogous.
Therefore, to avoid these extreme cases, which are not likely candidates for a compromise among the
conflicting objectives, an alternative option for (5) with the Chebychev norm is
max min wi jf i ðxÞ yiN j
x2X i¼1;...;Q ð6Þ
subject to f i ðxÞ 6 yiN ; i ¼ 1; . . . ; Q;
where wi > 0, i ¼ 1; . . . ; Q. Note that this is not a special case of (5) with the Chebychev norm, but note also
the analogy to (2). The subproblems that have to be solved repeatedly in the GUESS method are exactly of
the type (6). For (6) we have the following result, the proof of which can be found in [29, p. 171].
Proposition 2. An optimal solution of (6) is weakly Pareto optimal.
However, an optimal solution of (6) is not necessarily Pareto optimal.
Example 6. Consider a bicriteria problem where Y ¼ f ðXÞ is as shown in Fig. 2. The efficient set consists of
two curve segments. For all efficient points left of y the minimal distance to y N is vertical and less than 1.
For all efficient points below y the minimal distance is horizontal and less than or equal to 2. Thus y , for
which y1N y1 ¼ y2N y2 ¼ 2 is optimal.
Of course, the reason for the behaviour shown in Example 6 is the nonconvexity of the efficient set. And
indeed, for Q ¼ 2 objectives and under convexity assumptions we can prove the stronger Theorem 3.
Theorem 3. Consider the bicriteria (MOP) and assume that the objective functions f 1 and f 2 of (MOP) are
convex and the image of X under ðf 1 ; f 2 Þ is a convex set. Then any optimal solution of
max min fwq jf q ðxÞ yqN j; f q ðxÞ 6 yqN ; q ¼ 1; 2g ð7Þ
x2X q¼1;2
with w1 , w2 > 0 is a Pareto optimal solution of (MOP).
Fig. 2. Bicriteria problem.

Proof. The proof is based on the fact that the optimal solution values of
max k
T
subject to ðf 1 ðxÞ; f 2 ðxÞÞ 6 y N kw;
ð8Þ
x 2 X;
k P 0;
where w ¼ ð1=w1 ; 1=w2 Þ > 0 is the vector of the inverse of the weights, and of (7) are the same. Let ðk ; x Þ
be an optimal solution of (8). Hence we have to show that x is a Pareto solution of (MOP).
Assume now the opposite, i.e. assume that x is dominated. We have to investigate two cases: either x is
weakly Pareto optimal or x is not even weakly Pareto optimal.
Case 1: x is not weakly Pareto optimal. Then there exists a Pareto solution x^ such that f q ð^xÞ < f q ðx Þ,

q ¼ 1; 2. But this contradicts the fact that k is maximal.
Case 2: x is weakly Pareto optimal. Then there exists a Pareto optimal solution x^ dominating x such that
the solution vectors of x and x^ coincide in at least one component. Without loss of generality as-
sume
xÞ ¼ f 1 ðx Þ 6 y1N ;
f 1 ð^ ð9Þ
xÞ < f 2 ðx Þ 6 y2N :

f 2 ð^ ð10Þ
If f 2 ðx Þ ¼ y2N then maxx minq jf q ðxÞ yqN j ¼ minq jf q ðx Þ yqN j ¼ k ¼ 0. Due to the convexity of
X this implies jXPar j ¼ 1 and fy N g ¼ XPar ¼ f^ xg, thus f 2 ð^xÞ ¼ f 2 ðx Þ, which is a contradiction to
(10).
Hence let f 2 ðx Þ < y2N . Due to Lemmas 4 and 5 there is a Pareto optimal solution x such that
f 2 ðxÞ ¼ y2N > f 2 ðx Þ > f 2 ð^

xÞ: ð11Þ
We need to find a point ~x such that f q ð~xÞ < f q ðx Þ; q ¼ 1; 2, but inequalities (11) imply
xÞ ¼ f 1 ðx Þ:
f 1 ðxÞ < f 1 ð^
Consider now the line between f ðxÞ and f ð^ xÞ, l :¼ fy 2 R2 : y ¼ ð1 lÞf ðxÞ þ lf ð^
xÞ; l 2 ð0; 1Þg.
Then l X (again due to convexity) and f 1 ðzÞ < f 1 ðx Þ for all z 2 l. Because of (10) there exists
~x 2 l : f 2 ð~xÞ < f 2 ðx Þ, hence k is not maximal.
Unfortunately, this is the end of the story for positive results. And of course the result of Theorem 3 is
not very useful in itself. For the case of bicriteria convex problems, it is much easier to generate the Pareto
solutions by applying a weighted sum approach. It can be shown by an example (the example is available
from the authors upon request) that Theorem 3 does no longer hold for Q P 3, even if we further restrict the
problem to be linear. Therefore the only conclusion we can draw for more than two criteria is that any
solution of (7) is weakly Pareto (Proposition 2).
These results illustrate that, given the difficulty of computing the Nadir point, there is probably no
benefit in using the Nadir point rather than the ideal or utopian points in compromise programming. This
conclusion immediately casts shadows on the practicability of any MCDM methodology that requires
exactly this to be done, in particular the GUESS method [6].
However, the Nadir point provides important information about a multicriteria optimization because
together with the ideal point it defines the range of values in the efficient set. Methods for finding the Nadir
point are therefore important. In the following section we present a new method.
4. A new algorithm
In Section 2 we have seen that for bicriteria optimization problems the determination of the Nadir point
is easy using lexicographic optimization. For Q strictly greater than 2 we will encounter big difficulties since
the knowledge of one objective function value does not give us the possibility of controlling the others.
Hence the lexicographic approach is no longer useful. In this Section we present the general outline of an
algorithm which yields the exact values for the Nadir point and which is practical for Q ¼ 3 objectives,
using algorithms for determining the Pareto optimal solutions of bicriteria optimization problems. Before
we formulate the algorithm (Section 4.2) we will present some theory which gives the background and the
motivation for our method (Section 4.1).
4.1. Theoretical results
For the rest of the paper subproblems of (MOP) with Q 1 criteria will be essential. We define them as
follows:
Definition 6. Given a Q-criteria (MOP), we consider Q related (MOP) with Q 1 objectives

min ðf 1 ðxÞ; . . . ; f i 1 ðxÞ; f iþ1 ðxÞ; . . . ; f Q ðxÞÞ
ðMOPðiÞÞ
subject to x 2 X:
Beside Pareto optimal solutions for the Q-criteria (MOP) we are dealing with Pareto optimal solutions
for the ðQ 1Þ-criteria problems MOP(i).
Definition 7. A point x 2 X is called Q-Pareto, if x is Pareto optimal for (MOP). x is called ðQ 1Þ-
Pareto, if there exists an index i 2 f1; . . . ; Qg such that x is Pareto optimal for MOP(i).
These ðQ 1Þ-Pareto solutions are also very interesting for the original problem because of the following
observation.
Remark 1. Given an (MOP) with Q criteria assume that x is ðQ 1Þ-Pareto. Then it holds
• either x is Q-Pareto
• or f ðxÞ is dominated by f ðyÞ, where y is Q-Pareto such that there is a unique index j with f j ðyÞ < f j ðxÞ
and f i ðxÞ ¼ f i ðyÞ for all i 6¼ j.
Before we state the result which is fundamental for our algorithm, we introduce a notation.
Notation 1. We denote the set of all ðQ 1Þ-Pareto solutions, where the dominated solutions are removed,
by OptQ 1 , hence:
OptQ 1 ¼ fx : x is ðQ 1Þ-Pareto and there is no x 2 OptQ 1 with f ðxÞ < f ðxÞg:
Theorem 4. Assume a multicriteria optimization problem as given in (MOP). Then the set OptQ 1 of all
ðQ 1Þ-Pareto solutions contains
1. a set of solutions such that in every component the maximal entry of any Q-Pareto solution is found, i.e. the
Nadir point is
yqN ¼ maxff q ðxÞ : x 2 OptQ 1 g;
2. the set Xlex of all global lexicographically optimal solutions of (MOP), i.e. the ideal point is
yqI ¼ minff q ðxÞ : x 2 OptQ 1 g:
Proof
1. Assume there exists a Q-Pareto solution x which is not ðQ 1Þ-Pareto but for which exists an in-
dex m 2 f1; . . . ; Qg such that f m ðxÞ > f m ðxÞ for all x 2 OptQ 1 . Consider now the problem MOPðmÞ.
Then
• x is not Pareto optimal for (MOPðmÞ). Therefore there exists x 2 OptQ 1 such that f i ðx Þ 6 f i ðxÞ for
all i 2 f1; . . . ; Qg n fmg and f j ðx Þ < f j ðxÞ for some j 2 f1; . . . ; Qg n fmg.
• f m ðxÞ > f m ðx Þ. Thus f 1 ðx Þ 6 f 1 ðxÞ; . . . ; f m ðx Þ < f m ðxÞ; . . . ; f Q ðx Þ 6 f Q ðxÞ and x is not Q-Pareto, a
contradiction.
Thus yqN 6 maxff q ðxÞ : x 2 OptQ 1 g, but from Remark 1 and the definition of OptQ 1 we
know that OptQ 1 XPar hence yqN P maxff q ðxÞ : x 2 OptQ 1 g and then first part of the theorem is
proven.
2. From Lemma 4 we know that for (MOP) Xlex XPar . Hence if we find all ðQ 1Þ-Pareto solutions x
then all global lexicographically optimal solutions for all Q 1-criteria problems (MOP(i)),
i ¼ 1; . . . ; Q are found.
We will show that if x 2 Xlex is a global lexicographically optimal solution of (MOP) then there
exists a subproblem (MOP(i)) such that x is a global lexicographically optimal solution of
(MOP(i)).
Since x is global lexicographically optimal for (MOP) there exists a permutation p of f1; . . . ; Qg such
that fp ðx Þ 6 lex fp ðxÞ for all x 2 X. For all x for which fp ðx Þ ¼ fp ðxÞ there holds also f pðqÞ ðx Þ ¼ f pðqÞ ðxÞ;
q 2 f1; . . . ; Qg n fig for all ðQ 1Þ-criteria problems (MOP(i)).
Thus we can restrict our attention to those feasible x for which fp ðx Þ <lex fp ðxÞ. We define
K :¼ max fk : f pðqÞ ðx Þ ¼ f pðqÞ ðxÞ; q ¼ 1; . . . ; k and f pðkþ1Þ ðx Þ < f pðkþ1Þ ðxÞg:
x2X
Then K is the largest index for which a feasible x exists such that fp ðx Þ and fp ðxÞ are identical in the first
K positions.
If K ¼ Q 1 (i.e. there is at least one x for which the first difference between fp ðx Þ and fp ðxÞ occurs in
the Qth component) then consider the problem (MOPðQÞ). Either f pðQÞ ðx Þ ¼ f pðQÞ ðxÞ or
f pðQÞ ðx Þ < f pðQÞ ðxÞ.
If K < Q 1 then consider MOPðK þ 2Þ. For this problem it must hold that
f pðKþ1Þ ðx Þ < f pðKþ1Þ ðxÞ
for all x under consideration.

Hence in either case we found a problem (MOP(i)) for which x is lexicographically optimal with respect
to the permutation p restricted to f1; . . . ; Qg n p 1 ðiÞ. This implies that Xlex OptQ 1 .
Note that in the bicriteria case Q ¼ 2, Theorem 4 yields Lemma 5 as a special case. Hence, it is a proper
generalization of that well known result.
4.2. The algorithm
We now present a procedure based on the first statement of Theorem 4 to find the Nadir point of an
(MOP). In this procedure we assume that an algorithm to compute the Pareto optimal solutions for MOP(i)
is given. We call this algorithm PARETOQ 1 . Then we can state the algorithm for computing the Nadir
point. It also provides us with the ideal point without further efforts.
Nadir and ideal point algorithm

Input: Instance of a MOP.
Output: The corresponding Nadir point y N .
The corresponding ideal point y I .
Step 1: for i ¼ 1; . . . ; Q do
Apply PARETOQ 1 to compute the ðQ 1Þ-Pareto-solutions of MOP(i), complete the solutions
by their adequate ith component.
Step 2: Remove all dominated solutions and let OptQ 1 be defined as in Theorem 4.
Step 3: for i ¼ 1; . . . ; Q do
yiN ¼ maxff i ðxÞ : x 2 OptQ 1 g,
yiI ¼ minff i ðxÞ : x 2 OptQ 1 g.
We now discuss details of the algorithm and distinguish two cases. First we shall show, that with existing
methodology the algorithm can be applied for three-criteria problems. Then we outline necessary devel-
opments needed to achieve a practical procedure for more than three criteria.
4.3. Application for three criteria
When we have three criteria all we need to generate OptQ 1 is the solution of three bicriteria problems.
We shall describe in some more detail how these solution sets might be represented for linear and com-
binatorial problems.
Let us consider the linear case first. It is well known that for bicriteria problems the Pareto set is given by
the optimal solution of parametric LPs
min kc1 x þ ð1 kÞc2 x:

x2X
for all 0 < k < 1 subject to the original constraints. These problems can easily be solved by a parametric
version of the Simplex algorithm. In addition, this algorithm will identify the critical values of k, where
the optimal basic solution will change. The result is a finite set of values of k, and a set of optimal basic
feasible solutions for each. Furthermore, the set of optimal solutions for any fixed k is a face of the
feasible set X. Thus XPar for any of the three (MOP(i)) is the union of faces of X. Thus we have a
collection of faces of X, identified by their extreme points (basic feasible solutions). To obtain OptQ 1 we
have to eliminate solutions which are dominated in the Q-criteria problem from this collection. To achieve
this, we only have to check one point in the interior of each of these faces if we use the basic result of
multiobjective linear programming, that a face is Pareto optimal, if and only if it contains a Pareto
optimal point in its interior. For larger problems this check can be done by solving an LP. Note also that
in objective space the three sets of Pareto optimal solutions of the two criteria subproblems are convex,
pointwise linear curves. The results used here can be found in the literature on multiobjective linear
programming, e.g. [34,43].
Example 7. In this example we consider a linear programming problem with three criteria and three
constraints.
min x1 2x2
min x1 þ2x3
min x1 x3
subject to x1 þx2 6 1
x1 x2 þx3 6 4
xi P 0; i ¼ 1; 2; 3:
The feasible set X of this problem (with the Pareto set indicated by bold lines) is shown in Fig. 3.
It turns out that
XPar ¼ convðð0; 1; 0Þ; ð1; 0; 0ÞÞ [ convðð0; 1; 0Þ; ð0; 1; 5ÞÞ
and
Yeff ¼ convðð 2; 0; 0Þ; ð 1; 1; 1ÞÞ [ convðð 2; 0; 0Þ; ð 2; 10; 5ÞÞ:
Thus the Nadir point is y N ¼ ð 1; 10; 1Þ.
Solving the three possible subproblems MOP(i) we get the following Pareto optimal and efficient sets,
represented as the union of faces of the feasible set in decision and objective space, respectively.
MOP(1): XPar ¼ convðð0; 0; 0Þ; ð0; 1; 0ÞÞ [ convðð0; 1; 0Þ; ð0; 1; 5ÞÞ
Yeff ¼ convðð0; 0Þ; ð10; 5ÞÞ
MOP(2): XPar ¼ ð0; 1; 5Þ
Yeff ¼ ð 2; 5Þ
MOP(3): XPar ¼ convðð1; 0; 0Þ; ð0; 1; 0ÞÞ
Yeff ¼ convðð 1; 1Þ; ð 2; 0ÞÞ
Fig. 3. Feasible set X and Pareto set XPar for Example 7.

Comparison of x ¼ ð0; 0:5; 0Þ and x ¼ ð0; 1; 0Þ reveals that the face convðð0; 0; 0Þ; ð0; 1; 0ÞÞ is dominated, all
others turn out to be Pareto optimal for (MOP), too. After removal of the dominated face the efficient set of
the original (MOP) coincides with the image of Opt2 , thus the Nadir point is found. We also note that
computing Xlex would have been sufficient here. Xlex ¼ fð0; 1; 0Þ; ð0; 1; 5Þ; ð1; 0; 0Þg contains all points
needed to compute y N . However, as we have seen in Example 5, this is not true in general.
Next, we consider combinatorial problems. The algorithm requires the solution of three bicriteria
combinatorial problems. These tend to be hard in terms of computational complexity, see [16]. However,
there are a range of problem specific algorithms to solve bicriteria problems, e.g. for the spanning tree [10],
or the shortest path [22] problem. In recent years a procedure called the 2-phases algorithm has been
successfully applied to solve a number of bicriteria combinatorial problems. We mention [15,28] for net-
work flow, [37,39] for knapsack, [38] for assignment, and [30] for spanning tree problems and refer to [18]
for a comprehensive survey. These algorithms allow us a representation of OptQ 1 as a complete list of 2-
Pareto solutions. The check for dominance is by pairwise comparison.
Example 8. We will again consider a spanning tree problem with three objectives. The edge weights cor-
responding to objective one are the same as in Example 1, objectives two and three change as depicted in
Fig. 4.
Tree 1 2 3 4
Edges ½1; 2; ½1; 3; ½1; 4 ½1; 2; ½1; 3; ½2; 4 ½1; 2; ½1; 3; ½3; 4 ½1; 2; ½1; 4; ½2; 3
Weight ð5; 10; 5Þ ð9; 9; 4Þ ð6; 11; 2Þ ð7; 9; 6Þ
Tree 5 6 7 8
Edges ½1; 2; ½1; 4; ½3; 4 ½1; 2; ½2; 3; ½2; 4 ½1; 2; ½2; 3; ½3; 4 ½1; 2; ½2; 4; ½3; 4
Weight ð4; 9; 6Þ ð11; 8; 5Þ ð8; 10; 3Þ ð8; 8; 5Þ
Tree 9 10 11 12
Edges ½1; 3; ½1; 4; ½2; 3 ½1; 3; ½1; 4; ½2; 4 ½1; 3; ½2; 3; ½2; 4 ½1; 3; ½2; 3; ½3; 4
Weight ð6; 9; 5Þ ð6; 7; 7Þ ð10; 8; 4Þ ð7; 10; 2Þ
Tree 13 14 15 16
Edges ½1; 3; ½2; 4; ½3; 4 ½1; 4; ½2; 3; ½2; 4 ½1; 4; ½2; 3; ½3; 4 ½1; 4; ½2; 4; ½3; 4
Weight ð7; 8; 4Þ ð8; 6; 8Þ ð5; 8; 6Þ ð5; 6; 8Þ
Fig. 4. Graph G ¼ ðV ; EÞ with edge weights wij 2 Z3 .

There are nine Pareto optimal solutions: 1, 3, 5, 9, 10, 12, 13, 15, and 16. Hence the Nadir point is
y N ¼ ð7; 11; 8Þ and the ideal point is y I ¼ ð4; 6; 2Þ.
In this example the algorithm behaves as follows:
Step 1: i ¼ 1: Searching the 2-Pareto optimal solutions for (MOPð1Þ) yields the efficient vectors

10 6 8 6 7 8
; ; ; ; ;
2 8 4 8 7 4
Adequate completion:
0 1 0 1 0 1 0 1 0 1 0 1
7 5 10 8 6 7
@ 10 A; @ 6 A; @ 8 A; @ 6 A; @ 7 A; @ 8 A
2 8 4 8 7 4
5 4 6
i ¼ 2: Searching the 2-Pareto optimal solutions for (MOPð2Þ) yields the efficient vectors ; ;
5 6 2
0 1 0 1 0 1
5 4 6
@ 10 A; @ 9 A; @ 11 A
5 6 2
5 4
i ¼ 3: Searching the 2-Pareto optimal solutions for (MOPð3Þ) yields the efficient vectors ;
6 9
0 1 0 1
5 4
@ 6 A; @ 9 A
8 6
Step 2: After removing all dominated solutions we get the set of 2-efficient solutions:
80 1 0 1 0 1 0 1 0 1 0 1 0 1 9
< 5 7 5 4 6 7 6 =
f ðOpt2 Þ ¼ @ 10 A; @ 10 A; @ 6 A; @ 9 A; @ 7 A; @ 8 A; @ 11 A
: ;
5 2 8 6 7 4 2
Step 3: Calculating the maximum respectively minimum of the set
0 1 0 1
7 4
ff q ðxÞ : x 2 Opt2 g yields y N ¼ @ 11 A; y I ¼ @ 6 A
8 2
Finally, if we consider general (nonconvex) nonlinear problems, we must note that the parametric
programming approach fails, and state that very little is known about efficient ways of computing XPar even
in the bicriteria case. The authors are not aware of the existence of a nonlinear multiobjective optimization
procedure.
4.4. The general case of Q objectives
In order to apply the algorithm in the general Q-objective case we need an algorithm PARETOQ 1 to
compute OptQ 1 . This is the major drawback at this time, as it is still a general multicriteria problem (i.e.
Q 1 > 2). Apart from linear problems, where Simplex type algorithms (see e.g. [34]) are available, general
algorithms to compute the Pareto set of an (MOP) with more than two objectives are rare. Some of those
for combinatorial problems are described in [18] and references therein. Some of the difficulties encountered
when generalizing a method from two to more objectives are discussed in [33].
Note also, that a version of Remark 1 in which Q 1 is replaced by 2 and Q remains general is not true,
as the following example shows.
Example 9. Consider the spanning tree problem as given in Fig. 5. Each edge of the undirected graph has
four rational weights and it is obvious that all four spanning trees are Pareto optimal (see Fig. 6).
The Nadir point is given by y N ¼ ð8; 9; 9; 5Þ. Observe that each of the efficient solutions determines one
component to the Nadir point hence all four efficient solutions are necessary and have to be found by the
procedure.
Now elaborate all pairs of criteria. Denoting the set of efficient points with respect to criteria i and j by
Yeff ði; jÞ we get
Yeff ð1; 2Þ ¼ fð5; 8; 9; 3Þg;
Yeff ð1; 3Þ ¼ fð6; 8; 7; 5Þ; ð5; 8; 9; 3Þg;
Yeff ð1; 4Þ ¼ fð6; 8; 7; 5Þ; ð5; 8; 9; 3Þg;
Yeff ð2; 3Þ ¼ fð6; 8; 7; 5Þ; ð8; 8; 7; 3Þg;
Yeff ð2; 4Þ ¼ fð8; 8; 7; 3Þ; ð5; 8; 9; 3Þg;
Yeff ð3; 4Þ ¼ fð8; 8; 7; 3Þg:
We recognize that only three efficient vectors out of four are found and hence a procedure based on this
idea would be just another heuristic.
On the other hand, Theorem 4 seems to suggest a recursive procedure. Q-Pareto solutions can be
computed by solving all Q 1 criteria subproblems (MOP(i)), deleting solutions that are dominated in
Fig. 5. Spanning tree problem with four criteria.
Fig. 6. Pareto optimal solutions of the four criteria spanning tree problem.
Q-criteria to obtain OptQ 1 . Then all x 2 XPar n OptQ 1 need to be found, to complete XPar . Q 1-Pareto
solutions can be generated in the same way from Q 2-Pareto solutions and so on. The difficult part of this
approach is the generation of XPar n OptQ 1 . This is a topic currently under investigation, and beyond the
scope of this paper.
5. Conclusions
In this paper we discussed the computation of Nadir and ideal objective values in multicriteria opti-
mization problems. We first reviewed some literature concerning the determination of Nadir points by exact
and heuristic methods. We observed that exact methods are often very hard global optimization problems,
that require the (implicit) knowledge of the efficient set. On the other hand, the heuristic methods either
over- or underestimated correct Nadir values. We investigated the use of the Nadir point in MCDM
methodology, in particular in compromise programming. After obtaining some positive results we pointed
out that the approach is severely limited in its capacity to generate solutions which are provably Pareto
optimal. These results, and the fact that the computation of y N remains a difficult problem indicate that any
methods based on the use of y N to generate compromise solutions (interactive methods in particular) might
be limited in their practicality.
We then gave some theoretical background to justify our approach, before we presented our general
scheme to solve the problem of finding the Nadir point. This new method in principal works for general
continuous as well as combinatorial multicriteria problems. We gave some details on how the method with
existing techniques can be effectively applied for problems with three criteria in both linear and combi-
natorial problems. We also outlined the developments needed to obtain an effective tool in the general case.
A topic of future research is to extend the theoretical results presented as a basis of our algorithm in
order to develop recursive algorithms to solve multicriteria problems. These could then also be used to
compute Nadir values in the general case of Q criteria.
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Computation of Ideal and Nadir Values and Implications

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Computation of Ideal and Nadir Values and Implications

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European Journal of Operational Research 151 (2003) 119–139

Computation of ideal and Nadir values and implications

Keywords: Multicriteria optimization; Nadir points; Compromise programming

In this paper we consider optimization problems with multiple criteria, i.e.

min ðf 1 ðxÞ; . . . ; f Q ðxÞÞ

yqI ¼ min f q ðxÞ; q ¼ 1; . . . ; Q:

1.2. Ideal points and compromise programming

Lemma 1. At least one optimal solution of problem (Pq ) is Pareto optimal.

min jjf ðxÞ y 0 jj; ð1Þ

where y 0 2 fy I ; y U g and jj jj is a norm on RQ . Whether an optimal solution of (1) is a Pareto optimal

We obtain the following results:

Theorem 1. Let x^ be an optimal solution of (1). Then the following hold:

contradicting optimality of x^.

Examples for strictly monotone norms are lp norms

min max wi jf i ðxÞ yi0 j; ð2Þ

For a more detailed analysis of compromise programming we refer e.g. to [32,42].

1.3. The Nadir point in MCDM methodology

2. Existing exact and heuristic methods

Fig. 1. Graph G ¼ ðV ; EÞ with edge weights wij 2 Z3 .

2.1. Optimization over the Pareto set

yqN ¼ max f q ðxÞ ¼ max yq : ð4Þ

Lemma 2. For all q ¼ 1; . . . ; Q : maxx2X f q ðxÞ P yqN holds.

2.2. Multiple objective linear programming

2.3. Pay-oﬀ tables and other heuristics

Note that the entries on the diagonal of P determine y I .

Example 3. In Example 1 the pay-oﬀ table looks as follows:

Tree f 1 ðxq Þ f 2 ðxq Þ f 3 ðxq Þ

Nadir point for

2.4. Lexicographic optimization

A basic result is the following, see e.g. [17].

Lemma 4. Let x be a global lexicographically optimal solution of (MOP). Then x 2 XPar .

1. y I ¼ ðf 1 ðx1;2 Þ; f 2 ðx2;1 ÞÞ.

yiN ¼ max f i ðxÞ P f i ðx2;1 Þ;

yiI ¼ min f i ðxÞ 6 f i ðx1;2 Þ;

yiI ¼ min f i ðxÞ 6 f i ðx2;1 Þ:

The answer is no, as can be seen from Example 5.

Lemma 6. For all q ¼ 1; . . . ; Q it holds that y~lex 6 yqN .

Furthermore, global lexicographically optimal solutions determine the ideal point.

Lemma 7. The ideal point y I is given by yqI ¼ minx2Xlex f q ðxÞ.

3. Problems using the Nadir point in MCDM methods

max jjf ðxÞ y N jj

jf 1 ðxÞ y1N j 6 jy1I y1N j 6 jy2I y2N j ¼ jf 2 ðx2;1 Þ y2N j:

Proposition 2. An optimal solution of (6) is weakly Pareto optimal.

However, an optimal solution of (6) is not necessarily Pareto optimal.

with w1 , w2 > 0 is a Pareto optimal solution of (MOP).

Fig. 2. Bicriteria problem.

xÞ < f 2 ðx Þ 6 y2N :

f 2 ðxÞ ¼ y2N > f 2 ðx Þ > f 2 ð^

4.1. Theoretical results

Deﬁnition 6. Given a Q-criteria (MOP), we consider Q related (MOP) with Q 1 objectives

yqI ¼ minff q ðxÞ : x 2 OptQ 1 g:

f pðKþ1Þ ðx Þ < f pðKþ1Þ ðxÞ

for all x under consideration.

4.2. The algorithm

Nadir and ideal point algorithm

4.3. Application for three criteria

min kc1 x þ ð1 kÞc2 x:

Fig. 3. Feasible set X and Pareto set XPar for Example 7.

Fig. 4. Graph G ¼ ðV ; EÞ with edge weights wij 2 Z3 .

4.4. The general case of Q objectives

Fig. 5. Spanning tree problem with four criteria.

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f 2 ðxÞ ¼ y2N > f 2 ðx Þ > f 2 ð^