Convex Optimization · Problem 4.52

Duality — Boyd & Vandenberghe

Mathematics — Optimization · pareto-optimal-points-boundary-achievable-values

Problem

Pareto optimal points and the boundary of the set of achievable values. Consider a vector optimization problem with cone KK. Let P\mathcal{P} denote the set of Pareto optimal values, and let O\mathcal{O} denote the set of achievable objective values. Show that P⊆O∩bd O\mathcal{P} \subseteq \mathcal{O} \cap \mathbf{bd}\, \mathcal{O}, i.e., every Pareto optimal value is an achievable objective value that lies in the boundary of the set of achievable objective values.

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