A Newton-Type Proximal Gradient Method for Nonlinear Multi-objective Optimization Problems

Abstract: In this paper, a globally convergent Newton-type proximal gradient method is developed for composite multi-objective optimization problems where each objective function can be represented as the sum of a smooth function and a nonsmooth function. The proposed method deals with unconstrained convex multi-objective optimization problems. This method is free from any kind of priori chosen parameters or ordering information of objective functions. At every iteration of the proposed method, a subproblem is solved to find a suitable descent direction. The subproblem uses a quadratic approximation of each smooth function. An Armijo type line search is conducted to find a suitable step length. A sequence is generated using the descent direction and step length. The Global convergence of this method is justified under some mild assumptions. The proposed method is verified and compared with some existing methods using a set of problems.