A cutting-plane method to nonsmooth multiobjective optimization problems
| Autor: | Douglas A. G. Vieira, Adriano C. Lisboa |
|---|---|
| Rok vydání: | 2019 |
| Předmět: |
050210 logistics & transportation
Mathematical optimization 021103 operations research Information Systems and Management General Computer Science Computer science 05 social sciences 0211 other engineering and technologies 02 engineering and technology Function (mathematics) Extension (predicate logic) Management Science and Operations Research Multi-objective optimization Industrial and Manufacturing Engineering Set (abstract data type) Modeling and Simulation 0502 economics and business Point (geometry) Subgradient method Cutting-plane method |
| Zdroj: | European Journal of Operational Research. 275:822-829 |
| ISSN: | 0377-2217 |
| Popis: | The cutting-plane optimization methods rely on the idea that any subgradient of the objective function or the active/violated constraints defines a halfspace to be excluded from a set that contains an optimal solution: the localizing set. This algorithm converges towards a global minimum of any pseudoconvex subdifferentiable function. A naive extension for multiobjective optimization would be using simultaneously some subgradients of all objective functions for a given feasible point. However, as demonstrated in this paper, this approach can lead to a convergence towards non-optimal points. This paper introduces an optimization strategy for cutting-plane methods to cope with multiobjective problems without any scalarization procedure. The proposed strategy guarantees that its optimal solution is a Pareto Optimal solution of the original problem, which is also no worse than the starting point, and that any Pareto Optimal solution can be sampled. Moreover, the auxiliary problem is infeasible only if the original problem is also infeasible. The new strategy inherits the original theoretical guarantees of cutting planes methods and it can be applied to build other strategies. |
| Databáze: | OpenAIRE |
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