Journal
JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS
Volume 114, Issue 1, Pages 209-222Publisher
KLUWER ACADEMIC/PLENUM PUBL
DOI: 10.1023/A:1015472306888
Keywords
vector optimization problems; curves of dominated points; Brownian motion; stochastic differential equations
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We propose a new stochastic algorithm for the solution of unconstrained vector optimization problems, which is based on a special class of stochastic differential equations. An efficient algorithm for the numerical solution of the stochastic differential equation is developed. Interesting properties of the algorithm enable the treatment of problems with a large number of variables. Numerical results are given.
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