Pareto optimum sensitivity analysis in multicriteria optimization

Multicriteria optimization problems are addressed in this paper. The gradient projection method originally used as a sort of feasible direction method is further developed and extended to the Pareto optimum sensitivity analysis. It is shown that the projected search direction defines the tangent direction of the Pareto optimum curve in the objective space. Since this method is able to identify automatically the variation of the active constraint set due to the perturbation, discontinuous derivative cases can be efficiently dealt with. To validate the method, numerical examples are solved. A comparison of the results with those obtained by the finite difference method and tangent method shows good agreement.