Scaled-PAKKT sequential optimality condition for multiobjective problems and its application to an Augmented Lagrangian method

Based on the recently introduced Scaled Positive Approximate Karush–Kuhn–Tucker condition for single objective problems, we derive a sequential necessary optimality condition for multiobjective problems with equality and inequality constraints as well as additional abstract set constraints. These ne...

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Veröffentlicht in:Computational optimization and applications Jg. 89; H. 3; S. 769 - 803
Hauptverfasser: Carrizo, G. A., Fazzio, N. S., Sánchez, M. D., Schuverdt, M. L.
Format: Journal Article
Sprache:Englisch
Veröffentlicht: New York Springer US 01.12.2024
Schlagworte:
Convex and Discrete Geometry
Management Science
Mathematics
Mathematics and Statistics
Operations Research
Operations Research/Decision Theory
Optimization
Statistics
Augmented Lagrangian methods
Global convergence
Nonlinear programming
Sequential optimality conditions
ISSN:0926-6003, 1573-2894
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Zusammenfassung:Based on the recently introduced Scaled Positive Approximate Karush–Kuhn–Tucker condition for single objective problems, we derive a sequential necessary optimality condition for multiobjective problems with equality and inequality constraints as well as additional abstract set constraints. These necessary sequential optimality conditions for multiobjective problems are subject to the same requirements as ordinary (pointwise) optimization conditions: we show that the updated Scaled Positive Approximate Karush–Kuhn–Tucker condition is necessary for a local weak Pareto point to the problem. Furthermore, we propose a variant of the classical Augmented Lagrangian method for multiobjective problems. Our theoretical framework does not require any scalarization. We also discuss the convergence properties of our algorithm with regard to feasibility and global optimality without any convexity assumption. Finally, some numerical results are given to illustrate the practical viability of the method.
ISSN:0926-6003
1573-2894
DOI:10.1007/s10589-024-00605-4