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A proximal gradient method with an explicit line search for multiobjective optimization

Author

Listed:
  • Y. Bello-Cruz

    (Northern Illinois University)

  • J. G. Melo

    (Federal University of Goias)

  • L. F. Prudente

    (Federal University of Goias)

  • R. V. G. Serra

    (Federal University of Piauí)

Abstract

We present a proximal gradient method for solving convex multiobjective optimization problems, where each objective function is the sum of two convex functions, one of which is assumed to be continuously differentiable. The algorithm incorporates a backtracking line search procedure that requires solving only one proximal subproblem per iteration, and is exclusively applied to the differentiable part of the objective functions. Under mild assumptions, we show that the sequence generated by the method converges to a weakly Pareto optimal point of the problem. Additionally, we establish an iteration complexity bound by proving that the method finds an $$\varepsilon$$ -approximate weakly Pareto point in at most $${{{\mathcal {O}}}}(1/\varepsilon )$$ iterations. Numerical experiments illustrating the practical behavior of the method are presented.

Suggested Citation

  • Y. Bello-Cruz & J. G. Melo & L. F. Prudente & R. V. G. Serra, 2025. "A proximal gradient method with an explicit line search for multiobjective optimization," Computational Optimization and Applications, Springer, vol. 92(2), pages 437-469, November.
    • Handle: RePEc:spr:coopap:v:92:y:2025:i:2:d:10.1007_s10589-025-00711-x
    DOI: 10.1007/s10589-025-00711-x
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