A Barzilai-Borwein Descent Method for Multiobjective Optimization Problems

Abstract: The steepest descent method proposed by Fliege et al. motivates the research on descent methods for multiobjective optimization, which has received increasing attention in recent years. However, empirical results show that the Armijo line search often gives a very small stepsize along the steepest direction, which decelerates the convergence seriously. This paper points out that the issue is mainly due to the imbalances among objective functions. To address this issue, we propose a Barzilai-Borwein descent method for multiobjective optimization (BBDMO) that dynamically tunes gradient magnitudes using Barzilai-Borwein's rule in direction-finding subproblem. With monotone and nonmonotone line search techniques, it is proved that accumulation points generated by BBDMO are Pareto critical points, respectively. Furthermore, theoretical results indicate the Armijo line search can achieve a better stepsize in BBDMO. Finally, comparative results of numerical experiments are reported to illustrate the efficiency of BBDMO and verify the theoretical results.