Global convergence of a BFGS-type algorithm for nonconvex multiobjective optimization problems (2307.08429v2)

Abstract: We propose a modified BFGS algorithm for multiobjective optimization problems with global convergence, even in the absence of convexity assumptions on the objective functions. Furthermore, we establish the superlinear convergence of the method under usual conditions. Our approach employs Wolfe step sizes and ensures that the Hessian approximations are updated and corrected at each iteration to address the lack of convexity assumption. Numerical results shows that the introduced modifications preserve the practical efficiency of the BFGS method.