SMOP is a stochastic trust region method for multi-objective problems that uses probabilistic fully linear models for each objective, forms a composite max-based model for the scalarized function, and proves almost sure convergence to Pareto critical points with numerical tests on ML and irregular-P
& Soubeyran, A, (2014) A Trust-Region Method for Unconstrained Multiobjective Problems with Applications in Satisficing Processes, J Optim Theory Appl 160, 865–889
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SMOP: Stochastic trust region method for multi-objective problems
SMOP is a stochastic trust region method for multi-objective problems that uses probabilistic fully linear models for each objective, forms a composite max-based model for the scalarized function, and proves almost sure convergence to Pareto critical points with numerical tests on ML and irregular-P