Singular Continuation: Generating Piecewise Linear Approximations to Pareto Sets via Global Analysis

We propose a strategy for approximating Pareto optimal sets based on the global analysis framework proposed by Smale [Global analysis and economics. I. Pareto optimum and a generalization of Morse theory, in Dynamical Systems, Academic Press, New York, 1973, pp. 531–544]. The method highlights and exploits the underlying manifold structure of the Pareto sets, approximating Pareto optima by means of simplicial complexes. The method distinguishes the hierarchy between singular set, Pareto critical set, and stable Pareto critical set, and it can handle the problem of superposition of local Pareto fronts, occurring in the general nonconvex case. Furthermore, a quadratic convergence result in a suitable setwise sense is proven and tested in a number of numerical examples.