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Approximating Pareto Curves using Semidefinite Relaxations

Victor Magron (victor.magron***at***laas.fr)
Didier Henrion (henrion***at***laas.fr)
Jean-Bernard Lasserer (lasserre***at***laas.fr)

Abstract: We consider the problem of constructing an approximation of the Pareto curve associated with the multiobjective optimization problem $\min_{x \in S} \{(f_1(x),f_2(x))\}$, where $f_1$ and $f_2$ are two conflicting positive polynomial criteria and $S \subset R^n$ is a compact basic semialgebraic set. We provide a systematic numerical scheme to approximate the Pareto curve. We start by reducing the initial problem into a scalarized polynomial optimization problem (POP). Three scalarization methods lead to consider different parametric POPs, namely (a) a weighted convex sum approximation, (b) a weighted Chebyshev approximation, and (c) a parametric sublevel set approximation. For each case, we have to solve a semidefinite programming (SDP) hierarchy parametrized by the number of moments or equivalently the degree of a polynomial sums of squares approximation of the Pareto curve. When the degree of the polynomial approximation tends to infinity, we provide guarantees of convergence to the Pareto curve in $L^2$-norm for methods (a) and (b), and $L^1$-norm for method (c).

Keywords: multiobjective optimization; semidefinite programming

Category 1: Other Topics (Multi-Criteria Optimization )

Category 2: Linear, Cone and Semidefinite Programming (Semi-definite Programming )

Citation:

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Entry Submitted: 04/18/2014
Entry Accepted: 04/18/2014
Entry Last Modified: 06/16/2014

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