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Article Dans Une Revue Optimization Letters Année : 2021

Complexity iteration analysis for strongly convex multi-objective optimization using a Newton path-following procedure

Résumé

In this note, we consider the iteration complexity of solving strongly convex multi-objective optimization problems. We discuss the precise meaning of this problem, noting that its definition is ambiguous, and focus on the most natural notion of finding a set of Pareto optimal points across a grid of scalarized problems. We prove that, in most cases, performing sensitivity based path-following after obtaining one solution is the optimal strategy for this task in terms of iteration complexity.
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hal-03285165 , version 1 (13-07-2021)

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El-Houcine Bergou, Youssef Diouane, Vyacheslav Kungurtsev. Complexity iteration analysis for strongly convex multi-objective optimization using a Newton path-following procedure. Optimization Letters, 2021, 15 (4), pp.1215-1227. ⟨10.1007/s11590-020-01623-x⟩. ⟨hal-03285165⟩
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