Handling soft constraints via composite concave programming

Abstract

In this discussion we propose a method for handling soft constraints in situations where the decision-maker can associate a cost function with the ‘right-hand side’ values of these constraints that satisfies the usual economies of scale property of decreasing marginal costs. The method constitutes a natural application of composite concave programming, and seems to be particularly suited for situations where the underlying problem is of the linear/quadratic programming type. © 1998 Operational Research Society Ltd. All Rights reserved.