Improved Front Steepest Descent for Multi-objective Optimization

Abstract: In this paper, we deal with the Front Steepest Descent algorithm for multi-objective optimization. We point out that the algorithm from the literature is often incapable, by design, of spanning large portions of the Pareto front. We thus introduce some modifications within the algorithm aimed to overcome this significant limitation. We prove that the asymptotic convergence properties of the algorithm are preserved and numerically show that the proposed method significantly outperforms the original one.