BENSON S ALGORITHM FOR NONCONVEX MULTIOBJECTIVE PROBLEMS VIA NONSMOOTH WOLFE DUALITY

In this paper, we propose an algorithm to obtain an approximation set of the (weakly) nondominated points of nonsmooth multiobjective optimization problems with equality and inequality constraints. We use an extension of the Wolfe duality to construct the separating hyperplane in Benson’s outer algorithm for multiobjective programming problems with subdifferentiable functions. We also formulate an infinitive approximation set of the (weakly) nondominated points of biobjective optimization problems. Moreover, we provide some numerical examples to illustrate the advantage of our algorithm.