Global convergence of a BFGS-type algorithm for nonconvex multiobjective optimization problems

L. F. Prudente () and D. R. Souza ()
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L. F. Prudente: Universidade Federal de Goiás
D. R. Souza: Universidade Federal de Goiás

Computational Optimization and Applications, 2024, vol. 88, issue 3, No 1, 719-757

Abstract: Abstract We propose a modified BFGS algorithm for multiobjective optimization problems with global convergence, even in the absence of convexity assumptions on the objective functions. Furthermore, we establish a local superlinear rate of convergence of the method under usual conditions. Our approach employs Wolfe step sizes and ensures that the Hessian approximations are updated and corrected at each iteration to address the lack of convexity assumption. Numerical results shows that the introduced modifications preserve the practical efficiency of the BFGS method.

Keywords: Multiobjective optimization; Pareto optimality; Quasi-Newton methods; BFGS; Wolfe line search; Global convergence; Rate of convergence; 49M15; 65K05; 90C29; 90C30; 90C53 (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1007/s10589-024-00571-x

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