An Active-Set Trust-Region Algorithm for Solving Constrained Multi-Objective Optimization Problem

In this paper, the multi-objective optimization problem with equality and inequality constraints is solved by using interactive sequential optimization technique (I-SHOT) which convert the constrained multi-objective optimization problem to a single objective optimization problem with equality and inequality constraints. A trust-region algorithm for solving a single objective optimization problem with equality and inequality constraints is used. In this algorithm, an active set strategy is used together with a reduced Hessian technique is used to convert the computation of the trial step to two easy trust-region subproblems and the conjugate-gradient method is used to compute the trial step. A Matlab implementation of our algorithm was used in solving one case studies and the result are reported