Trust-region algorithm based local search for multi-objective optimization

In this paper, a new algorithm is proposed to solve multi-objective optimization problems (MOOPs) through applying the trust-region (TR) method based local search (LS) techniques; where the MOOP converting to a single objective optimization problem (SOOP) by using reference point method. In the proposed algorithm, for each reference point the TR algorithm for solving a SOOP is used to obtain a point on the Pareto frontier. In addition a LS method is used, in order to find more points on the Pareto frontier. The algorithm is coded in MATLAB 7.2 and the simulations are run on a Pentium 4 CPU 900 MHz with 512 MB memory capacity. The numerical results show that the proposed method is feasible, and illustrate the ability of finding an approximation of Pareto optimal set.