A modification of the Geoffrion/Dyer/Feinberg algorithm for finite multi-objective systems

Abstract This paper extends the work of Geoffrion et al. from a compact convex action set X to a finite set X . The essential difference is that the line search step in their algorithm is no longer applicable and has to be replaced by a different search procedure. Finite convergence to an optimal solution is guaranteed. Termination decisions and error analysis is also included.