Multi-Objective Trust-Region Filter Method for Nonlinear Constraints using Inexact Gradients

Abstract: In this article, we build on previous work to present an optimization algorithm for nonlinearly constrained multi-objective optimization problems. The algorithm combines a surrogate-assisted derivative-free trust-region approach with the filter method known from single-objective optimization. Instead of the true objective and constraint functions, so-called fully linear models are employed, and we show how to deal with the gradient inexactness in the composite step setting, adapted from single-objective optimization as well. Under standard assumptions, we prove convergence of a subset of iterates to a quasi-stationary point and if constraint qualifications hold, then the limit point is also a KKT-point of the multi-objective problem.