An Interactive Multiple Objective Linear Programming Method for a Class of Underlying Nonlinear Utility Functions

This paper develops a method for interactive multiple objective linear programming assuming an unknown pseudo concave utility function satisfying certain general properties. The method is an extension of our earlier method published in this journal (Zionts, S., Wallenius, J. 1976. An interactive programming method for solving the multiple criteria problem. Management Sci. 22 (6) 652--663.). Various technical problems present in predecessor versions have been resolved. In addition to presenting the supporting theory and algorithm, we discuss certain options in implementation and summarize our practical experience with several versions of the method.