Suggest edit — multicriterion optimization

Title

Name

Note

---
title: "multicriterion optimization"
source: https://www.jemoka.com/posts/kbhmulticriterion_optimization/
---

multicriterion optimization
\begin{align} \min_{x}\quad &amp; f_{0}\qty(x) = \qty(F_{1}\qty(x), \dots, F_{q}\qty(x)) \\ \textrm{s.t.} \quad &amp; f_{i}\qty(x) \leq 0, i = 1 \dots m, Ax = b \end{align}
objective is the vector \(f_{0}\qty(x) \in \mathbb{R}^{q}\), essentially brings together \(q\) different objectives \(F_{i}, &hellip;, F_{q}\).
models of optimality for the set of achievable points:
\begin{equation} O = \qty {f_{0}\qty(x) \mid x \text{ feasible}} \end{equation}
feasible \(x\) is optimal if \(f_{0}\qty(x)\) is the minimum value of \(O\) feasible \(x\) is Pareto optimal if \(f_{0}\qty(x)\) is a minimal value of \(O\) non-competing optimality \(x^{*}\) optimal means \(f_{0}\qty(x^{*}) \preceq f_{0} \qty(y^{* })\) for all feasible \(y^{*}\). \(x^{*}\) simultaneously minimizes each \(F_{i}\), which means the objectives are non-competing.
Pareto Optimality At a pareto optimal point, increasing one objective value decreases another. that is, a pareto optimal point is not dominated.
A point is Pareto Optimal if its not dominated by any feasible point.
dominate one point \(x\) dominates another \(x&rsquo;\) if:
\begin{align} f_{i}(x) \leq f_{i}(x&rsquo;) \forall i \\ f_{i}(x) &lt; f_{i}(x&rsquo;)\ \text{for some}\ i \end{align}
scalarization Choose \(\lambda \succ 0\) which are your weights, then you can find pareto optimal points based on:
\begin{align} \min_{x}\quad &amp; \lambda^{T}f_{0}\qty(x) \\ \textrm{s.t.} \quad &amp; f_{i}\qty(x)\leq 0, i= 1\dots m, h_{i}\qty(x) = 0, i = 1 \dots p \end{align}
you can then find one particular Pareto optimal point based on your choices. For a convex problem, you can find (almost) all Pareto optimal points by varying \(\lambda \succ 0\). The only points you can&rsquo;t get is things where \(\lambda_{j} = \infty\) because its on the edge of a pareto set.