Improved front steepest descent for multi-objective optimization

DOI10.1016/J.ORL.2023.03.001MaRDI QIDQ6106527zbMATH OpenOpenAlexFDO

Authors Matteo Lapucci, Pierluigi Mansueto

Publication date 3 July 2023

Published in Operations Research Letters (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2301.03310

zbMATH Keywords

multi-objective optimizationPareto frontsteepest descent

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Multi-objective and goal programming (90C29) Methods of reduced gradient type (90C52)

Abstract: In this paper, we deal with the Front Steepest Descent algorithm for multi-objective optimization. We point out that the algorithm from the literature is often incapable, by design, of spanning large portions of the Pareto front. We thus introduce some modifications within the algorithm aimed to overcome this significant limitation. We prove that the asymptotic convergence properties of the algorithm are preserved and numerically show that the proposed method significantly outperforms the original one.

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Cited in

(8)

• On necessary optimality conditions for sets of points in multiobjective optimization
• On the convergence of conditional gradient method for unbounded multiobjective optimization problems
• Effective front-descent algorithms with convergence guarantees
• On the computation of the efficient frontier in advanced sparse portfolio optimization
• Steepest descent method for multiobjective optimization problems of interval-valued maps
• Objective-function free multi-objective optimization: rate of convergence and performance of an Adagrad-like algorithm
• A nonmonotone front descent method for bound-constrained multi-objective optimization
• On the convergence of steepest descent methods for multiobjective optimization

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