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On the convergence of the projected gradient method for vector optimization

Ellen H. Fukuda (ellen***at***ime.usp.br)
L. M. Graña Drummond (bolsigeno***at***gmail.com)

Abstract: In 2004, Graña Drummond and Iusem proposed an extension of the projected gradient method for constrained vector optimization problems. In that method, an Armijo-like rule, implemented with a backtracking procedure, was used in order to determine the steplengths. The authors just showed stationarity of all cluster points and, for another version of the algorithm (with exogenous steplengths), under some additional assumptions, they proved convergence to weakly efficient solutions. In this work, first we correct a slight mistake in the proof of a certain continuity result on that 2004 article, and then we extend its convergence analysis. Indeed, under some reasonable hypotheses, for convex objective functions with respect to the ordering cone, we establish full convergence to optimal points of any sequence produced by the projected gradient method with an Armijo-like rule, no matter how poor the initial guesses may be.

Keywords: Vector optimization, weak efficiency, projected gradient method, convexity with respect to cones, quasi-Féjer convergence

Category 1: Other Topics (Multi-Criteria Optimization )

Category 2: Nonlinear Optimization (Constrained Nonlinear Optimization )

Citation: Optimization 60(8-9), p.1009-1021, 2011.

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Entry Submitted: 09/30/2009
Entry Accepted: 09/30/2009
Entry Last Modified: 12/08/2011

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