MONOTONICITY FOR MULTIOBJECTIVE ACCELERATED PROXIMAL GRADIENT METHODS

DOI10.15807/JORSJ.67.1MaRDI QIDQ6196941zbMATH OpenOpenAlexWikidataFDO

Authors Yuki Nishimura, Ellen H. Fukuda, Nobuo Yamashita

Publication date 15 March 2024

Published in Journal of the Operations Research Society of Japan (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2206.04412

zbMATH Keywords

accelerated methodsfirst-order methodsmultiobjective descent methodsnonlinear programmingPareto optimalityproximal gradient methods

Mathematics Subject Classification ID

Mathematical programming (90Cxx)

Abstract: Accelerated proximal gradient methods, which are also called fast iterative shrinkage-thresholding algorithms (FISTA) are known to be efficient for many applications. Recently, Tanabe et al. proposed an extension of FISTA for multiobjective optimization problems. However, similarly to the single-objective minimization case, the objective functions values may increase in some iterations, and inexact computations of subproblems can also lead to divergence. Motivated by this, here we propose a variant of the FISTA for multiobjective optimization, that imposes some monotonicity of the objective functions values. In the single-objective case, we retrieve the so-called MFISTA, proposed by Beck and Teboulle. We also prove that our method has global convergence with rate $O(1/k^2)$, where $k$ is the number of iterations, and show some numerical advantages in requiring monotonicity.

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Cited in

(5)

• An away-step Frank-Wolfe algorithm for constrained multiobjective optimization
• A proximal gradient method with an explicit line search for multiobjective optimization
• Generalized conditional gradient methods for multiobjective composite optimization problems with Hölder condition
• Adaptive generalized conditional gradient method for multiobjective optimization
• Complexity bounds for smooth multiobjective optimization

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