Optimality conditions for set optimization using a directional derivative based on generalized Steiner sets

Abstract

ABSTRACT Set-optimization has attracted increasing interest in the last years, as for instance uncertain multiobjective optimization problems lead to such problems with a set-valued objective function. Thereby, from a practical point of view, most of all the so-called set approach is of interest. However, optimality conditions for these problems, for instance using directional derivatives, are still very limited. The key aspect for a useful directional derivative is the definition of a useful set difference for the evaluation of the numerator in the difference quotient. We present here a new set difference which avoids the use of a convex hull and which applies to arbitrary convex sets, and not to strictly convex sets only. The new set difference is based on the new concept of generalized Steiner sets. We introduce the Banach space of generalized Steiner sets as well as an embedding of convex sets in this space using Steiner points. In this Banach space we can easily define a difference and a directional derivative. We use the latter for new optimality conditions for set optimization. Numerical examples illustrate the new concepts.