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

E. Bergou; Y. Diouane; V. Kungurtsev

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arXiv · 2004.02979

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

E. Bergou·Y. Diouane·V. Kungurtsev

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Abstract

In this note we consider the iteration complexity of solving strongly convex multi objective optimization. We discuss the precise meaning of this problem, and indicate it is loosely defined, but the most natural notion is to find a set of Pareto optimal points across a grid of scalarized problems. We derive 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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E. Bergou, Y. Diouane, V. Kungurtsev. 2020-04-06. Complexity iteration analysis for strongly convex multi-objective optimization using a Newton path-following procedure. https://arxiv.org/abs/2004.02979

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