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A SQP type method for constrained multiobjective optimization

Joerg Fliege(j.fliege***at***soton.ac.uk)
A. Ismael F. Vaz(aivaz***at***dps.uminho.pt)

Abstract: We propose an SQP type method for constrained nonlinear multiobjective optimization. The proposed algorithm maintains a list of nondominated points that is improved both for spread along the Pareto front and optimality by solving singleobjective constrained optimization problems. Under appropriate differentiability assumptions we discuss convergence to local optimal Pareto points. We provide numerical results for a set of unconstrained and constrained multiobjective optimization problems in the form of performance and data profiles, where several performance metrics are used. The numerical results confirm the superiority of the proposed algorithm against a state-of-the-art multiobjective solver, either in the quality of the approximated Pareto front or in the computational effort necessary to compute the approximation.

Keywords: Sequential Quadratic Programming, constrained multiobjective optimization

Category 1: Other Topics (Multi-Criteria Optimization )

Category 2: Optimization Software and Modeling Systems

Citation:

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Entry Submitted: 05/28/2015
Entry Accepted: 05/28/2015
Entry Last Modified: 05/28/2015

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