Alternative formulations for the ordered weighted averaging objective

The ordered weighted averaging objective (OWA) is an aggregate function over multiple optimization criteria which received increasing attention by the research community over the last decade. Different to the ordered weighted sum, weights are attached to ordered objective functions (i.e., a weight for the largest value, a weight for the second-largest value and so on). As this contains max-min or worst-case optimization as a special case, OWA can also be considered as an alternative approach to robust optimization. For linear programs with OWA objective, compact reformulations exist, which result in extended linear programs. We present new such reformulation models with reduced size. A computational comparison indicates that these formulations improve solution times.