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Stochastic Zeroth-Order Multi-Gradient Algorithm for Multi-Objective Optimization

Author

Listed:
  • Zhihao Li

    (School of Information Engineering, Henan University of Science and Technology, Luoyang 471023, China)

  • Qingtao Wu

    (School of Information Engineering, Henan University of Science and Technology, Luoyang 471023, China
    Intelligent System Science and Technology Innovation Center, Longmen Laboratory, Luoyang 471023, China)

  • Moli Zhang

    (School of Information Engineering, Henan University of Science and Technology, Luoyang 471023, China)

  • Lin Wang

    (School of Information Engineering, Henan University of Science and Technology, Luoyang 471023, China
    Intelligent System Science and Technology Innovation Center, Longmen Laboratory, Luoyang 471023, China)

  • Youming Ge

    (School of Information Engineering, Henan University of Science and Technology, Luoyang 471023, China)

  • Guoyong Wang

    (School of Computer and Information Engineering, Luoyang Institute of Science and Technology, Luoyang 471023, China)

Abstract

Multi-objective optimization (MOO) has become an important method in machine learning, which involves solving multiple competing objective problems simultaneously. Nowadays, many MOO algorithms assume that gradient information is easily available and use this information to optimize functions. However, when encountering situations where gradients are not available, such as black-box functions or non-differentiable functions, these algorithms become ineffective. In this paper, we propose a zeroth-order MOO algorithm named SZMG (stochastic zeroth-order multi-gradient algorithm), which approximates the gradient of functions by finite difference methods. Meanwhile, to avoid conflicting gradients between functions and reduce stochastic multi-gradient direction bias caused by stochastic gradients, an SGD-type method is adopted to acquire weight parameters. Under the non-convex setting and mild assumptions, the convergence rate is established for the SZMG algorithm. Simulation results demonstrate the effectiveness of the SZMG algorithm.

Suggested Citation

  • Zhihao Li & Qingtao Wu & Moli Zhang & Lin Wang & Youming Ge & Guoyong Wang, 2025. "Stochastic Zeroth-Order Multi-Gradient Algorithm for Multi-Objective Optimization," Mathematics, MDPI, vol. 13(4), pages 1-31, February.
  • Handle: RePEc:gam:jmathe:v:13:y:2025:i:4:p:627-:d:1591536
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    References listed on IDEAS

    as
    1. Mercier, Quentin & Poirion, Fabrice & Désidéri, Jean-Antoine, 2018. "A stochastic multiple gradient descent algorithm," European Journal of Operational Research, Elsevier, vol. 271(3), pages 808-817.
    2. S. Liu & L. N. Vicente, 2024. "The stochastic multi-gradient algorithm for multi-objective optimization and its application to supervised machine learning," Annals of Operations Research, Springer, vol. 339(3), pages 1119-1148, August.
    3. Jörg Fliege & Benar Fux Svaiter, 2000. "Steepest descent methods for multicriteria optimization," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 51(3), pages 479-494, August.
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