The purpose of this paper is to present an efficient algorithm to solve multi‐objective linear programming (MOLP) problem.
This new approach consists to convert the constrained multicriteria problem into an unconstrained global optimization problem. Then, the Alienor method coupled to the optimization preserving operators* (OPO*) technique is used to solve the transformed problem.
A determinist algorithm for solving general MOLP problem contributes to research in the decision‐makers area.
Some improvements could probably be obtained. In future work, other scalarized functions will be used and this algorithm's complexity will be studied.
The new algorithm can be advantageously compared with other methods To illustrate this new approach, an example is studied.
A new algorithm is given which guarantees all efficient solutions are easily obtained in most cases.
