# multi-objective optimization

I am currently encounterring a optimization problem. The goal is optimize an objective function A and B at the same time. But the problem is that optmizing A will almost always tradoff with B, such that maximize A will somewhat minimize B and wise-versa. So that both A and B can't be optimize both at the same time.

I have browsed around the web, one good solution to my current situation is to do "weighted optmization", such that introudcing an additional parameter $$w$$.

The optimization problem now becomes weighted importance of the two. So now, the new objective function is :

$$w*A+(1-w)*B$$

With this, the goal now is the maximize above.

But I found the above equation is extremely difficult to solve.(Running CAD tool for several hours and it can't give anything, and I try other method , and still nothing works). I am wondering if there is better "weighted optimization" format (for example, above is the sum of the two), so that I can try and see if I can get something?

Update: sorry, I know this is a very general problem. But I am new to this area. If you guys can just give me a keyword to google, or point me to the right direction, that is good enough.

Update:

Below is the image of the problem: as you can see A is parabolic, B is like a staight line. I am plotting the case when the weighting factor $$w=0.7$$

• Can you provide (or at least sketch) what your $A$ and $B$ are in your question? Jul 22, 2014 at 4:14
• ok, posted. please see the update
– kou
Jul 22, 2014 at 4:26
• Can you state your optimization problem explicitly? How many unknowns are there? For the function in the given image, which is a function of a single variable, a maximizer could be found extremely quickly using gradient descent or Newton's method. Jul 22, 2014 at 4:29
• Ah I see. Can you evaluate the derivative or the second derivative of the function you're maximizing? Jul 22, 2014 at 4:34
• You could try either the gradient ascent iteration $x_{n+1} = x_n + t f'(x_n)$ (where $t$ is some fixed step size you choose yourself), or the Newton's method iteration $x_{n+1} = x_n - f'(x_n)/f''(x_n)$. You have to choose a starting point $x_0$ yourself. I think some simple method like that might converge extremely quickly, based on the picture shown. You could probably maximize with respect to all five variables simultaneously if you wanted to. If you can evaluate $f'$ and $f''$, I'd try Newton's method. Jul 22, 2014 at 4:45

Do A and B have the same unit, like monetary unit, manpower or volume ? If it is like this, then you can just optimize $f(\vec x)=A(\vec x)+B( \vec x)$.