On continuation methods for non-linear bi-objective optimization: towards a certified interval-based approach

Abstract

The global resolution of constrained non-linear bi-objective optimization problems (NLBOO) aims at covering their Pareto-optimal front which is in general a one-manifold in $$\mathbb {R}^2$$R2. Continuation methods can help in this context as they can follow a continuous component of this front once an initial point on it is provided. They constitute somehow a generalization of the classical scalarization framework which transforms the bi-objective problem into a parametric single-objective problem. Recent works have shown that they can play a key role in global algorithms dedicated to bi-objective problems, e.g. population based algorithms, where they allow discovering large portions of locally Pareto optimal vectors, which turns out to strongly support diversification. The contribution of this paper is twofold: we first provide a survey on continuation techniques in global optimization methods for NLBOO, identifying relations between several work and usual limitations, among which the ability to handle inequality constraints. We then propose a rigorous active set management strategy on top of a continuation method based on interval analysis, certified with respect to feasibility, local optimality and connectivity. This allows overcoming the latter limitation as illustrated on a representative bi-objective problem.