A Levenberg-Marquardt algorithm for unconstrained multicriteria optimization

Authors:
Andreas Fischer;Pradyumn K. Shukla
Affiliations:
Institute of Numerical Mathematics, Department of Mathematics, Technische Universität Dresden, Dresden, D-01062, Germany;Institute of Numerical Mathematics, Department of Mathematics, Technische Universität Dresden, Dresden, D-01062, Germany
Venue:
Operations Research Letters
Year:
2008

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Abstract

To compute one of the nonisolated Pareto-critical points of an unconstrained multicriteria optimization problem a Levenberg-Marquardt algorithm is applied. Sufficient conditions for an error bound are provided to prove its fast local convergence. A globalized version is shown to converge to a Pareto-optimal point under convexity assumptions.