Decomposition-Invariant Pairwise Frank-Wolfe Algorithm for Constrained Multiobjective Optimization

Abstract

Recently the away-step Frank-Wolfe algoritm for constrained multiobjective optimization has been shown linear convergence rate over a polytope which is generated by finite points set. In this paper we design a decomposition-invariant pairwise frank-wolfe algorithm for multiobjective optimization that the feasible region is an arbitrary bounded polytope. We prove it has linear convergence rate of the whole sequence to a pareto optimal solution under strongly convexity without other assumptions.

10 pages, 2 figures