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arXiv · 2507.05501

MultiObjectiveAlgorithms.jl: a Julia package for solving multi-objective optimization problems

Oscar Dowson·Xavier Gandibleux·Gökhan Kof
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Abstract

We present MultiObjectiveAlgorithms.jl, an open-source Julia library for solving multi-objective optimization problems written in JuMP. MultiObjectiveAlgorithms.jl implements a number of different solution algorithms, which all rely on an iterative scalarization of the problem from a multi-objective optimization problem to a sequence of single-objective subproblems. As part of this work, we extended JuMP to support vector-valued objective functions. Because it is based on JuMP, MultiObjectiveAlgorithms.jl can use a wide variety of commercial and open-source solvers to solve the single-objective subproblems, and it supports problem classes ranging from linear, to conic, semi-definite, and general nonlinear. MultiObjectiveAlgorithms.jl is available at https://github.com/jump-dev/MultiObjectiveAlgorithms.jl under a MPL-2 license.

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Oscar Dowson, Xavier Gandibleux, Gökhan Kof. 2025-07-07. MultiObjectiveAlgorithms.jl: a Julia package for solving multi-objective optimization problems. https://arxiv.org/abs/2507.05501

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