Fully piecewise linear vector optimization problem

Abstract: We distinguish two kinds of piecewise linear functions and provide an interesting representation for a piecewise linear function between two normed spaces. Based on such a representation, we study a fully piecewise linear vector optimization (PLP) with the objective and constraint functions being piecewise linear. We divide (PLP) into some linear subproblems and structure a finite dimensional reduction method to solve (PLP). Under some mild assumptions, we prove that the Pareto (resp. weak Pareto) solution set of (PLP) is the union of finitely many generalized polyhedra (resp. polyhedra), each of which is contained in a Pareto (resp. weak Pareto) face of some linear subproblem. Our main results are even new in the linear case and further generalize Arrow, Barankin and Blackwell's classical results on linear vector optimization problems in the framework of finite dimensional spaces.