Universal procedure for constructing a Pareto set (Q2357117)

Considering a multiobjective problem in finite-dimensional spaces with a continuous objective \(w:\mathbb R^s \rightarrow \mathbb R^m\) over a compact feasible set \(X\subset \mathbb R^s\) a general procedure for determining the (weak) Pareto set is theoretically proposed. Points of the Pareto set are approximated (universal procedure in Section 3) by using the scalar Germeier convolution \(f_\lambda\) (see below) with parameters \(\lambda\) in the standard simplex \(\Lambda\) and some fictive interior point method for the related scalar problems. A convergence theorem is given under Lipschitz continuity and coordinate wise \(\omega\) concavity (see below) of \(w\) and convexity of \(X\). There are no examples, no numerical computations and no complexity considerations. \(f:A\rightarrow \mathbb R\), \(A\) convex, is called \(\omega\)-concave with some \(\omega\in [0,1]\) iff \(f(y)\geq f(x)\) for all \(x,y\in A\) and convex combinations \(z\) of \(x,y\) implies \(\|y-x\| f(z)\geq \|y-z\|f(x)+\|z-x\|(\omega f(y)+ (1-\omega) f(x))\). Convexity (quasi convexity) is given for \(\omega = 1 (\omega =0)\). The Germeier convolution \(f_\lambda\) is given by \(f_\lambda (x):=\min_{1\leq k\leq m, \lambda_k>0 } \lambda_k^{-1} w_k(x)\), \(\lambda \in \Lambda\).