Efficient Approximation Methods for Lexicographic Max-Min Optimization

Lexicographic max-min (LMM) optimization is of considerable importance in many fairness-oriented applications. LMM problems can be reformulated in a way that allows to solve them by applying the standard lexicographic maximization algorithm. However, the reformulation introduces a large number of auxiliary variables and linear constraints, making the process computationally complex. In this paper, two approximation schemes for such a reformulation are presented, resulting in problem size reduction and significant performance gains. Their influence on the quality of the solution is shown in a series of computational experiments concerned with the fair network dimensioning and bandwidth allocation problem.