^{}Department of Applied Mathematics, Faculty of Mathematics and Computer, Shahid Bahonar University of Kerman, Kerman, Iran.

Abstract

Here, we aim to develop a new algorithm for solving a multiobjective linear programming problem. The algorithm is to obtain a solution which approximately meets the decision maker's preferences. It is proved that the proposed algorithm always converges to a weak efficient solution and at times converges to an efficient solution. Numerical examples and a simulation study are used to illustrate the performance of the proposed algorithm.

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