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An infeasible-path-following algorithm for nonlinear multiobjective optimisation problems

Naegele, Philipp Alexander (2010)
Ph.D. thesis, University of Birmingham.

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The subject area of multiobjective optimisation deals with the investigation of optimisation problems that possess more than one objective function. Usually, there does not exist a single solution that optimises all functions simultaneously, quite the contrary, in general the set of so-called efficient points, these are solutions to multiobjective optimisation problems, is large. Since it is important for the decision maker to obtain as much information as possible about this set, our research objective is to determine a well-defined and meaningful approximation of the solution set for nonlinear multiobjective optimisation problems. In order to achieve this target we develop an algorithm that employs the optimality conditions introduced by Karush, Kuhn and Tucker for a scalarised objective function and computes solutions to the corresponding system of equations via a modified Newton method. In particular, we utilise an infeasible interior-point technique which determines solutions in the neighbourhood of a central path and therefore, constitutes a path-following approach. We proof the convergence of our algorithm under certain assumptions and develop a warm-start strategy to compute different solutions for varying weighting parameters. Furthermore we examine our numerical implementation in MATLAB and present the results we obtained for several suites of test problems from the literature.

Type of Work:Ph.D. thesis.
Supervisor(s):Nemeth, Sandor Zoltan
School/Faculty:Colleges (2008 onwards) > College of Engineering & Physical Sciences
Subjects:QA Mathematics
Institution:University of Birmingham
ID Code:813
This unpublished thesis/dissertation is copyright of the author and/or third parties. The intellectual property rights of the author or third parties in respect of this work are as defined by The Copyright Designs and Patents Act 1988 or as modified by any successor legislation. Any use made of information contained in this thesis/dissertation must be in accordance with that legislation and must be properly acknowledged. Further distribution or reproduction in any format is prohibited without the permission of the copyright holder.
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