Lexicographic max-min optimization

Optimization method

Lexicographic max-min optimization is a kind of multi-objective optimization. In general, multi-objective optimization deals with optimization problems with two or more objective functions to be optimized simultaneously. Lexmaxmin optimization presumes that the decision-maker would like the smallest objective value to be as high as possible; subject to this, the second-smallest objective should be as high as possible; and so on. In other words, the decision-maker ranks the possible solutions according to a leximin order of their objective function values.

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