Aggrregate Objecti

O
ive Fun
nctions and Paareto Frrontierss:
Requuired Relation
R
nships and
a Praactical Implica
I
ations
Achille Messac
Cyriaqque Puemii-Sukam
Emanuuel Melachhrinoudis

Corresp
ponding Author
h.D.
Achille Messac, Ph
D
Chair
Distinguuished Proffessor and Department
Mechannical and Aeerospace Enngineering
Syracusse Universitty, 263 Linkk Hall
Syracusse, New York 13244, USA
U
Email: m
messac@syr.eddu
Tel: (3155) 443-2341
Fax: (3155) 443-3099
https://m
messac.expressions.syr.edu/

nformation
n
Biblioggraphical In
Messac, A., E Sukkam, C. P., and Melach
hrinoudis, Aggregate

O
Objective
Functions and Pareto
Frontierrs: Required Relationship
R
ps and Practiccal Implicatiions, Optim
mization and Engineering
E
Journal,
Kluwer Publishers, Vol.
V 1, No. 2,
2 June 2000,, pp. 171-1888.

Optimization and Engineering, 1, 171188, 2000

c 2000 Kluwer Academic Publishers. Manufactured in The Netherlands.

Aggregate Objective Functions and Pareto Frontiers:

Required Relationships and Practical Implications
ACHILLE MESSAC AND CYRIAQUE PUEMI-SUKAM
Rensselaer Polytechnic Institute, Multidisciplinary Design and Optimization Laboratory,
Troy, NY 12190-3590, USA
messac@rpi.edu; puemie@rpi.edu
EMANUEL MELACHRINOUDIS
Northeastern University, Multidisciplinary Design Laboratory, Boston, MA 02115, USA
emelas@coe.neu.edu
Received September 9, 1999; Revised June 15, 2000

Abstract. This paper addresses the problem of capturing Pareto optimal points on non-convex Pareto frontiers,
which are encountered in nonlinear multiobjective optimization problems in computational engineering design
optimization. The emphasis is on the choice of the aggregate objective function (AOF) of the objectives that
is employed to capture Pareto optimal points. A fundamental property of the aggregate objective function, the
admissibility property, is developed and its equivalence to the coordinatewise increasing property is established.
Necessary and sufficient conditions for such an admissible aggregate objective function to capture Pareto optimal
points are derived. Numerical examples illustrate these conditions in the biobjective case. This paper demonstrates
in general terms the limitation of the popular weighted-sum AOF approach, which captures only convex Pareto
frontiers, and helps us understand why some commonly used AOFs cannot capture desirable Pareto optimal points,
and how to avoid this situation in practice. Since nearly all applications of optimization in engineering design
involve the formation of AOFs, this paper is of direct theoretical and practical usefulness.
Keywords: physical programming, Pareto optimality, multiobjective optimization

1.

Introduction

Various problems in practical applications of optimization, particularly in engineering design optimization, can be recast in the form of a nonlinear multiobjective Problem P:

1 (x)
(x)
2

minimize (x) =
.. ,
xD
.

(P)

m (x)
where D = {x R n | h(x) = 0, g(x) 0, x }, h : R n R r , g : R n R s ,
(R {})n , (R {+})n , m is the number of objectives, or criteria, m 2, and
Corresponding

author.

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MESSAC, MELACHRINOUDIS AND SUKAM

r and s the numbers of equality and inequality constraints, respectively. For any decision
vector x = (x1 , . . . , xn ), a criteria vector = (1 , . . . , m ) is defined according to the
function : R n R m . Z = {z R m | z = (x), x D} is the set of images of all points
in D. D is called the feasible region in decision space and Z the feasible region in objective
space; (1 (x), . . . , m (x)) are the coordinates of the image of x in objective space.
For the multiobjective problem P, it is highly improbable to have a single x which
minimizes every i simultaneously; therefore, the solution is defined in terms of Pareto
optimality in the following sense (see Cohon, 1978): a feasible solution to a multiobjective
programming problem is Pareto optimal (noninferior, nondominated) if there exists no
other feasible solution that will yield an improvement in one objective without causing a
degradation in at least one other objective. So, x D is Pareto optimal if there does not
exist y D, whose criteria vector, q = (y), dominates the criteria vector of x, p = (x),
i.e. q p, p 6= q. (For any vectors v and w, v w implies that vi wi i). A point x D
is locally Pareto optimal if there is a neighborhood of that point in D where it is Pareto
optimal. Thus, a point which is (globally) Pareto optimal is also locally Pareto optimal. The
definition of Pareto optimality is extended to criteria vectors as well. So, p Z in the above
definition is Pareto optimal (respectively, locally Pareto optimal) in the objective space.
In engineering applications, the designer is often presented with several Pareto optimal
points, representing alternative designs, from which s/he selects the one that offers the
best trade-off among multiple objectives. Theoretically, the more Pareto optimal points are
available (ideally the whole Pareto set), the better the final choice will be. Alternatively,
and more commonly, Pareto optimal points are instead implicity generated in the natural
course of engineering computational optimization. This optimization generally involves
forming an Aggregate Objective Function (AOF) (or, some functional aggregation of the
many conflicting criteria). Implicit in this process is the assumption that this AOF has the
ability to indeed yield all the potentially useful/desirable design solutions. Unfortunately,
the correctness of this assumption is more the exception than the norm. Since every Pareto
point is of potential usefulness to the designer, any AOF should have the ability to yield all
possible Pareto optimal points. An important set of related question follows: Can a given
AOF yield a given set of Pareto optimal points? If not, why not and what can be done about
it? It is these questions that the substance of this paper addresses.
Unfortunately, it is not easy in practice to form the correct AOF, whether it is for the
purpose of engineering design optimization or for that of generating Pareto optimal points for
a representation of the Pareto frontier. The most common AOF structure is the weighted-sum
approach, which involves forming a linear combination of objectivesminimized subject
to the problem constraints.
The aggregate objective function should have two characteristics. First, it should represent
the designers preferences and objectives. Second, since every Pareto optimal point is of
potential use to the designer, the AOF should therefore be able to capture every such point.
The first characteristic is the subject of previous publications (Messac, 1996; Messac, 2000;
Messac and Chen, 2000; Messac and Wilson, 1998; Messac, 1998). This article deals with
issues related to the second characteristic; previous attempts can be found in publications
(Athan and Papalambros, 1996; Chen et al., 1998; Das and Dennis, 1997; Das and Dennis,
1998; Koski, 1985; Messac et al., 2000; Messac et al., 1999; Osyczka, 1984; Rakowska et al.,
1991). In these publications, the inability of the weighted-sum of the objectives to generate

AGGREGATE OBJECTIVE FUNCTIONS

173

Pareto optimal points that lie on non-convex Pareto frontiers is well documented. What
are then the properties or the mathematical conditions that an aggregate objective function
should satisfy in order to capture Pareto optimal points on a convex or non-convex Pareto
frontier? This article addresses this question directly, first, by developing a fundamental
property (the admissibility property) that enables any AOF to capture points that are at
least locally Pareto optimal. Second, by establishing necessary and sufficient conditions
for the Pareto capturability of such admissible AOFs, on a given Pareto frontier. These
conditions are then reduced to practical first and second order conditions, given reasonable
differentiability requirements. An important practical implication is that an AOF whose
curvature can be increased by using its free parameters (for example objective function
exponents) can be made accordingly more effective at capturing Pareto optimal points, a
property the weighted-sum of the objectives lacks.
The paper is structured as follows: in Section 2, the admissible aggregate objective
function is defined and its equivalence to the coordinatewise increasing function of the
objectives is established; in Section 3, the conditions for the capturability of Pareto optimal
points are presented; numerical examples are given in Section 4. The paper ends with a
conclusion in Section 5.
2.

Admissible aggregate objective functions

Let f () : R m R, be a function that aggregates the objectives into a scalarin a way that
involves using designer-chosen parameters, hereby called free parameters. Such an aggregate objective function is generally constructed for the purpose of performing computational
engineering design optimization, or of generating Pareto optimal points by varying the values of these parameters. For a prescribed set of parameter values, the AOF minimization
Problem in Objective space (APO) is solved to provide a Pareto optimal point:
min{ f () | Z }.

(APO)

The ability of AOFs to generate Pareto optimal points emanates from a fundamental property
of these functions. For utility functions, which are aggregate objective functions studied
extensively in the literature, it is the coordinatewise increasing property. A coordinatewise
increasing utility function implies that all objectives are in maximization form and that
monotonicity holds for each one of them (regardless of the values at which the other
objectives are held constant) (Steuer, 1989). In our multiobjective Problem P, where both
the individual objectives and their aggregate objective function are to be minimized (less is
better than more), the coordinatewise increasing property of f () also implies monotonicity.
In this section, the admissibility property is introduced as the fundamental property of
aggregate objective functions. Unlike the coordinatewise increasing property, the admissibility property is based on the concept of Pareto optimality and thus it is more intuitive and
general, whether the aggregate objective function is maximized or minimized. In addition,
the admissibility property is more revealing of the shape of the aggregate objective contours,
giving them a more insightful interpretation in generating Pareto optimal points. Nonetheless, an equivalence of the two properties is established, i.e., any admissible aggregate
objective function is coordinatewise increasing in the objectives and vice-versa.

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MESSAC, MELACHRINOUDIS AND SUKAM

Let c be a real constant. Using the aggregate objective function, define a set K (c) =
{ R m | f () c} having boundary S(c) = { R m | f () = c}. Having assembled
the tools needed, the definition of admissible aggregate objective function and additional
supporting definitions can be given. We assume in the rest of our work that the set S(c) is
nonempty.
Definition 1. f () is an admissible aggregate objective function if S(c) is the Pareto
optimal set of K (c), where c is any real constant.
Definition 2. Let R m be the set of m-dimensional real numbers. T R m , T 6= , is
called unconnected if there exist open sets O1 , O2 R m with T O1 O2 , O1 T 6=
, O2 T 6= , and T O1 O2 = .
Hence, a set T is called connected if it is not unconnected.
Definition 3. f () is a locally admissible aggregate objective function if there exists a
connected subset T of R m , different from a one-element set, where it is admissible.
Definition 4. f () is a coordinatewise increasing function of the criterion i , i = 1,
. . . , m, if it is a strict monotonically increasing function of each criterion i , i = 1, . . . , m,
regardless of the values at which the other criteria are held constant (Steuer, 1989).
Figure 1 shows the contour of an admissible aggregate objective function in the simple
case of two criteria. Given a criteria vector , its aggregate objective function value f (),
represents the designers overall disutility, cost or penalty for such a solution. The lower
the penalty, the more preferred the solution. A contour f () = c contains criteria vectors
having same preference. Another interpretation of the admissibility property is therefore
that no point of the contour f () = c is dominated by another point of the same contour.
The reason being that a rational decision-maker would not ascribe the same penalty to a
dominated criteria vector and to the criteria vector that dominates it. In figure 1, this means
that for any given point of the contour f () = c, the dominated rectangular cone C( p)
should not contain any other point of the contour.

Figure 1.

The admissibility property in a simple biobjective case.

AGGREGATE OBJECTIVE FUNCTIONS

175

In the next theorem, the equivalence between admissibility and the coordinatewise increasing property is established. Subsequent theorems therefore are proved using either one
of the two properties, whichever is more convenient to use.
Theorem 1. An aggregate objective function f () is admissible if and only if it is a
coordinatewise increasing function of the criterion i , i = 1, . . . , m.
Proof: (1-1) Assume that f () is a coordinatewise increasing function of the criterion
i , i = 1, . . . , m; we wish to prove that S(c) = { R m | f () = c} is the Pareto optimal
set of K (c) = { R m | f () c} for each real c. By contradiction, consider a real value
c, and assume that S(c) is not the Pareto optimal set of K (c); then there exists p S(c)
which is dominated by a point q, q K (c), i.e. f (q) c. For such a point, q, we have
q p, q 6= p. Since f () is coordinatewise increasing, f (q) < f ( p). Or, p S(c),
so f ( p) = c; we have f (q) c and f (q) < c, which is impossible. Therefore, S(c) is
Pareto optimal for each real constant c and by Definition 1, f () is an admissible aggregate
objective function.
(1-2) Assume that f () is admissible; we wish to prove that it is coordinatewise increasing. By contradiction, suppose that there exist two points a, b R m , b a, b 6= a
and f (b) f (a). Let f (a) = c; since f () is admissible, S(c) is the Pareto optimal
set of K (c) and therefore a is Pareto optimal; we have f (b) f (a), i.e. f (b) c; so,
b K (c), b a, b 6= a and a is Pareto optimal in K (c), which is impossible. Thus, f ()
is coordinatewise increasing.
2
Since the admissibility property can also hold only locally, Corollary 1 follows directly
from the above theorem. Before giving Corollary 1, we have the following definition of
local optimum.
Definition 5. A point Z is a local optimum of APO if there exists a neighborhood V
of in Z where it is an optimum of APO.
The relationship between local optimum and locally admissible aggregate objective function is that if a point Z is a local optimum of APO in a connected neighborhood V
of , V Z , and the function f () is admissible in V , then f () is a locally admissible
aggregate objective function.
Corollary 1. An aggregate objective function f () is locally admissible if and only if it
is a locally coordinatewise increasing function of the criterion i , i = 1, . . . , m.
The aggregate objective function is constructed for the purpose of generating Pareto
optimal points, either through computational optimization, or through explicit generation.
So, its quality is measured by its ability to capture such points. For the sake of the following
development, a formal definition of the term capturable is provided.
Definition 6. A point Z is capturable by an aggregate objective function f () if it
is a local optimum of Problem APO.

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MESSAC, MELACHRINOUDIS AND SUKAM

Suppose an admissible aggregate objective function captured a point. What is the assurance that it is Pareto optimal? The following important theorem asserts that an admissible
aggregate objective function captures points that are at least locally Pareto optimal.
Theorem 2. Given an admissible aggregate objective function f (), if Z is captured
by f (), then is locally Pareto optimal.
Proof: Since is capturable, it is an optimum of APO in a neighborhood V of , V Z .
Let f ( ) = c; therefore f () c for every V , which implies that V K (c). Since
f () is an admissible aggregate objective function, S(c) is the Pareto optimal set of K (c)
and we have S(c). Therefore, is Pareto optimal in K (c). It follows that is Pareto
optimal in V .
2
The next step is to prove the converse of Theorem 2, which is done in Theorem 3. The
latter provides the assurance that any Pareto optimal point can be captured if we have the
appropriate aggregate objective function. Given a Pareto optimal point in a multicriteria
maximization problem, Soland (1979) proved that there exists a coordinatewise increasing
utility function, which can capture this point when the utility function is being maximized
subject to the problem constraints. For a multicriteria minimization problem, the same
result can be proved, but the same proof cannot be used. This is because the negative of
the admissible aggregate objective function used for the maximization problem cannot be
taken since it will not be coordinatewise increasing. The following theorem deals with
minimization of the aggregate objective function. So, without any restriction on convexity
and continuity we have:
Theorem 3. If Z is locally Pareto optimal, then there exists a locally admissible
aggregate objective function that can capture .
Proof: Since Z is locally Pareto optimal, there exists a neighborhood V of , V
Z where it is Pareto optimal. Without loss of generality, we assume that V is connected
and open; therefore, there exists a positive real constant such that for each V , having
coordinates (1 , . . . , m ), we have |k k | < for k = 1, . . . , m, or equivalently
for each k = 1, . . . , m. Consider the aggregate objective function
< k k < P
defined as f () = m
k=1 f k (k ), where

k k

if k k
f k (k ) =
m

1 exp(k k ) if k > k
We wish to prove that f () is coordinatewise increasing in V . Let 1 and 2 V , have
coordinates (1 , . . . , k1 , 1k , k+1 , . . . , m ) and (1 , . . . , k1 , 2k , k+1 , . . . , m ), respectively, such that 1k < 2k ; we have f (1 ) f (2 ) = f k (1k ) f k (2k ). Further let
0 = f k (1k ) f k (2k ). We wish to prove that 0 0. The five cases to examine are:
1k < 2k < k , 1k < k < 2k , k < 1k < 2k , 1k = k and 2k = k

177

AGGREGATE OBJECTIVE FUNCTIONS

1. 1k < 2k < k ; 0 =

1k 2k
m
1k k
m

2. 1k < k < 2k ; 0 =
(1 exp(k 2k ))

1
2

3. k < k < k ; 0 = exp(k kk2 ) exp(k 1k )

4. 1k = k ; 0 = (1 exp(k 2k ))
5. 2k = k ; 0 =

1k k
m

So in all the cases the condition 0 0 is verified, and f () is coordinatewise increasing

in V and by Corollary 1 locally admissible.
We will now prove that is an optimum of Problem APO in V . Without loss of generality,
we assume that:
k < k
k = k
k > k

for k {1, . . . , r },
for k {r + 1, . . . , s},
for k {s + 1, . . . , m}.

If r = m or s = m, then is feasible and dominates , which contradicts the Pareto

optimality of . So m > s, i.e. m 1 s; thus m s 1. We have m r , so 1 mr and
it follows that m s mr , i.e. m (s + mr ) 0. Therefore:
f () f ( )

r
s
m
X
X
X
k k
+
() +
(1 exp(k k )) (m).
=
m
k=1
k=r +1
k=s+1
Considering < k k < , k = 1, 2, . . . , m, we have:

f () f ( )

r
m

r (s r ) +

m
X

(1 exp(k k

+ (m),

k=s+1

or equivalently,

m
X
r
(1 exp(k k )).
+
f () f ( ) m s +
m
k=s+1
Since m (s + mr ) 0, and for each k {s + 1, . . . , m}, (1 exp(k k )) 0, we
have f () f ( ) 0 and therefore f () f ( ). Note that the case was
not included above because f () is coordinatewise increasing. Thus is an optimum of
Problem APO in V and by Definition 6 capturable by f (). Hence, there exists a locally
2
admissible aggregate objective function that can capture .

178
3.

MESSAC, MELACHRINOUDIS AND SUKAM

Pareto capturability of admissible aggregate objective functions

In the previous section, the concept of admissibility property of aggregate objective functions
was introduced and its equivalence to the coordinatewise increasing property established.
The proof that such functions capture points that are at least locally Pareto optimal has also
been provided. Although admissibility is a necessary property of the aggregate objective
function, it is not sufficient for capturing Pareto optimal points. In this section, necessary and
sufficient conditions of an admissible aggregate objective function to capture a given Pareto
optimal point are derived. These conditions provide the tools for designing appropriate
aggregate objective functions, which play a pivotal role in the process of computational
engineering design optimization.
Considering the optimization problem P, the first interest is in the Pareto optimal decision
vectors. So, in the rest of this paper, it is assumed that each i , i = 1, . . . , m, is defined
from D, the feasible region in the decision space. Let us introduce next the notion of an
open transformation (see Marlow, 1978), which is used in the remainder of the paper.
Definition 7. Let X and Y be two spaces; an open transformation h from X to Y maps
open sets of X into open sets of Y .
An open transformation is equivalent to mapping each neighborhood of a point e of X
into a neighborhood of its image h(e) in Y .
It is assumed that each i , i = 1, . . . , m, is an open and continuous transformation. Let
g : D R be the function defined by g(x) = f (1 (x), . . . , m (x)) = f ((x)), for each
x R n , and APD be the Problem that minimizes g(x) in Decision space:
min{g(x) | x D},

(APD).

Definition 8. a D is decision-space capturable by an aggregate objective function g(x)

if it is a local optimum of Problem APD.
The following proposition establishes the equivalence of decision-space capturability, enabled by g(x), and (objective-space) capturability, enabled by f ().
Proposition 1. Given an aggregate objective function f (), a D is decision-space
capturable by g(x), if and only if p = (a) is capturable by f ().
Proof: (1-1) Assume that a D is decision-space capturable by g(x); we wish to prove
that p = (a) is capturable by f (). Since a is decision-space capturable by g(x), it is an
optimum of Problem APD in a neighborhood V of a, V D; so (V ) = {(x) | x V } is
a neighborhood of (a) in the objective space. We have V D, then (V ) Z . For each
x V , g(a) g(x); therefore f ((a)) f ((x)). So f ( p) f (q) for each q (V );
thus p is an optimum of [APO] in (V ), and by Definition 6 capturable by f ().
(1-2) Assume that p = (a) is capturable by f (); we wish to prove that a is decisionspace capturable by g(x). Since p = (a) is capturable by f (), it is an optimum of [APO]
in a neighborhood W of p, W Z . Since is continuous, 1 (W ) = {x D | (x) W }
is a neighborhood of a in D; we wish to prove that a = arg min{g(x) | x 1 (W )}, i.e.

AGGREGATE OBJECTIVE FUNCTIONS

179

g(a) = min{g(x) | x 1 (W )}. By contradiction, suppose that there exists b 1 (W ),

with g(b) < g(a). Since b 1 (W ), then (b) W ; and since g(b) < g(a), f ((b)) <
f ((a)), i.e., f ((b)) < f ( p), which contradicts the fact that p = arg min{ f (), W }.
i.e. f ( p) = min{ f (), W }. So, for each x 1 (W ), we have g(a) g(x); and
therefore a is a minimum of Problem APD in 1 (W ), and by Definition 8 decision-space
capturable by g(x).
2
Lets assume that the Pareto hypersurface and the AOF hypersurface verify the theorem
of implicit functions (see Greenberg, 1998; Marlow, 1978). That is, these hypersurfaces
satisfy the hypothesis of the theorem of implicit functions, which can therefore be applied.
Since the Pareto hypersurface can in general be represented by (1 , . . . , m ) = 0, it can
be rewritten in the form i if (i ), where i = (1 , . . . , i1 , i+1 , . . . , m ). Let
a D and p = (a) be Pareto optimal; the AOF hypersurface at point p is represented
by f () = f ( p) and can be rewritten in the form i i0 (i ). So, at p the Pareto
hypersurface and the AOF hypersurface have the same value in terms of their ith coordinates,
i.e. i0 (i ) = if (i ). Let 0(i ) = if (i ) i0 (i ). We have 0( p ) = 0. The
following theorem gives the necessary and sufficient condition for a point in the decision
space to be captured by a coordinatewise increasing function.
Theorem 4. Assume that f () is a coordinatewise increasing function of ; a is decisionspace capturable by g(x) if and only if there exists a neighborhood of p = (a) in the
objective space Z where the function 0(i ) is nonnegative.
Proof: (4-1) Assume that a is decision-space capturable by g(x); therefore it is an optimum of Problem APD in a neighborhood V of a, V D; (V ) is a neighborhood of
p = (a) in the objective space and according to Proposition 1, p is an optimum of
Problem APO in (V ). We wish to prove that 0(i ) 0 in (V ), i.e. if i0 in
(V ). By contradiction, assume that there exists a point q such that if (q ) < i0 (q )
with q (V ), where q and q have coordinates (q1 , . . . , qi1 , qi , qi+1 , . . . , qm ) and
(q1 , . . . , qi1 , qi+1 , . . . , qm ), respectively. Let us consider the points q1 and q2 whose coordinates are (q1 , . . . , qi1 , if (q ), qi+1 , . . . , qm ) and (q1 , . . . , qi1 , i0 (q ), qi+1 , . . . , qm ),
respectively. The point q2 is on the aggregate objective hypersurface whose equation is
f () = f ( p), so we have f (q2 ) = f ( p); and the point q1 is on the Pareto hypersurface. Since q is in (V ), q1 is in (V ), and since p = arg min{ f (), (V )}, i.e.
f ( p) = min{ f (), (V )}, we have f (q1 ) f ( p). So, f (q1 ) f (q2 ). But if (q ) <
i0 (q ) implies that q1 q2 , q1 6= q2 . Since f () is coordinatewise increasing, so f (q1 ) <
f (q2 ). We have f (q1 ) f (q2 ) and f (q1 ) < f (q2 ), which is impossible. So, for each
q (V ), if (q ) i0 (q ) and it follows that if i0 in (V ).
(4-2) Assume that there exists a neighborhood W of p in objective space where if i0 .
We note that 1 (W ) = {x D | (x) W } is a neighborhood of a in D. We wish to prove
that a is an optimum of Problem APD in 1 (W ). By contradiction, suppose that there exists
b 1 (W ), with g(b) < g(a), (or, (i)). Since b 1 (W ), we have (b) W . Let s =
(b), therefore s and s have coordinates (1 (b), . . . , i1 (b), i (b), i+1 (b), . . . , m (b))
and (1 (b), . . . , i1 (b), i+1 (b), . . . , m (b)), respectively. Consider the points s1 and s2
whose coordinates are (1 (b), . . . , i1 (b), if (s ), i+1 (b), . . . , m (b)) and (1 (b), . . . ,

180

MESSAC, MELACHRINOUDIS AND SUKAM

i1 (b), i0 (s ), i+1 (b), . . . , m (b)), respectively. Then s1 lies on the Pareto hypersurface and s2 lies on the AOF hypersurface whose equation is f () = f ( p); so, f (s2 ) = f ( p).
By hypothesis, if i0 in W ; hence, if (s ) i0 (s ), and it follows that s1 s2 .
Since f () is coordinatewise increasing, we have f (s1 ) f (s2 ), i.e. f (s1 ) f ( p), (or,
(ii)). Since b is a feasible point in decision space, s = (b) is feasible in objective space.
We note that s and s1 have coordinates (1 (b), . . . , i1 (b), i (b), i+1 (b), . . . , m (b))
and (1 (b), . . . , i1 (b), if (s ), i+1 (b), . . . , m (b)), respectively. If we assume that
i (b) < if (s ), then s s1 , s 6= s1 , which implies that s dominates s1 , which is impossible because s1 is Pareto optimal. So i (b) if (s ) and s s1 . Since f () is
coordinatewise increasing, therefore f (s) f (s1 ), (or, (iii)). Statements (ii) and (iii) imply
f (s) f (s1 ) f ( p). But from (i), we have g(a) > g(b), thus f ((a)) > f ((b)), i.e.
f ( p) > f (s). Hence, we have f ( p) > f (s) f (s1 ) f ( p), which is impossible. Therefore, for each point b 1 (W ), we have g(b) g(a). It follows that a is an optimum of
Problem APD in 1 (W ), and by Definition 8 decision-space capturable by g(x).
2
Proposition 1 and Theorem 4 link the decision space and the objective space. Geometrically, in the case when m = 2, it follows from Theorem 4 that at a capturable point, the
curves representing the Pareto frontier and the aggregate objective function are tangent and
there is a neighborhood of the point where the Pareto frontier is above the aggregate contour.
The following remarks and corollaries can be derived from Theorem 4.
Remark 1. Applying Proposition 1, a is decision-space capturable by g(x) in Theorem 4
can be replaced by p = (a) is capturable by f (); it follows from Theorem 1 that f ()
is a coordinatewise increasing function of in Theorem 4 can be replaced by f () is an
admissible aggregate objective function.
Corollary 2. Assume that f () is a locally coordinatewise increasing function of in
O and p = (a) is locally Pareto in a neighborhood E, with E O. The point p is
capturable by f () if and only if there exists T1 , a neighborhood of p, with T1 E and
0(i ) is nonnegative in T1 .
Proof:

In Theorem 4, consider only E in place of the objective space Z .

Corollary 2 gives us necessary and sufficient conditions for a locally Pareto point to be
captured. However, these conditions are not readily used to establish Pareto point capturability. Assuming that the aggregate objective function and the Pareto optimal frontier satisfy
certain differentiability requirements, these general conditions can be converted into more
useful conditions in the following Corollary 3. These are first and second order capturability
conditions, which provide clear insights for designing suitable aggregate objective functions.
Corollary 3. Assume that f () is locally coordinatewise increasing for the criteria in
O, that p = (a) is locally Pareto optimal in a neighborhood E, E O and that the
functions corresponding to the Pareto hypersurface and the aggregate hypersurface are
twice differentiable. Under these assumptions:
(a) If p is capturable, then 2 0(i )| p is positive semidefinite.
(b) If 0(i )| p = 0 and 2 0(i )| p is positive semidefinite, then p is capturable.

AGGREGATE OBJECTIVE FUNCTIONS

181

Proof:
(a) Assume that p is capturable; we wish to prove that 2 0(i )| p is positive semidefinite.
We have 0( p ) = 0, and since p is capturable, by Corollary 2, there exists T1 , a
neighborhood of p, with T1 E and 0(i ) 0 in T1 . The expansion of 0 in T1 about
p yields:
T
1
0(i ) 0( p ) + 0(i ) p (i p ) + (i p )T
2
2 0(i ) | p (i p ).
We can prescribe the free parameters of the objective function such that 0(i )| p = 0.
Therefore:
0(i )

1
(i p )T 2 0(i ) | p (i p ).
2

Since 0(i ) 0 in T1 , it follows that 2 0(i )| p is positive semidefinite.

(b) Assume that 0(i )| p = 0 and 2 0(i )| p is positive semidefinite. We wish to
prove that p is capturable. The expansion of 0 in E about p yields:
0(i ) 0( p ) + 0(i ) |Tp (i p )
1
+ (i p )T 2 0(i ) | p (i p ).
2
Since 0( p ) = 0 and 0(i )| p = 0, we have:
0(i )

1
(i p )T 2 0(i ) | p (i p ).
2

Because 2 0(i )| p is positive semidefinite, it follows that 0(i ) 0 in E, and by

Corollary 2, p is capturable.
2
Remark 2. If 0(i )| p = 0 and 2 0(i )| p = 0, then in the neighborhood of p
considered for the expansion, we have 0(i ) = 0; and therefore all the points of that
neighborhood which lie on the Pareto hypersurface are capturable.
Our attention is now turned to the most
Pmof aggregate objective functions,
Pm popular form
wi i with i=1
wi = 1. This linear aggregate
the weighted-sum form, e.g. f () = i=1
objective function is clearly globally admissible. Its simplicity makes it very effective in
generating Pareto optimal solutions in linear multiobjective problems. However, as shown
in the following corollary, it has significant limitations in capturing Pareto optimal solutions
in nonlinear multiobjective problems, which present a significant deficiency in the case of
engineering design optimization.
Corollary 4. Assuming that the aggregate objective function is the weighted-sum of the
objectives, p is capturable if and only if it lies on a convex part of the Pareto hypersurface.

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MESSAC, MELACHRINOUDIS AND SUKAM

Proof: (4-1) Assume that p is capturable, we wish to prove that it lies on a convex part of
the Pareto hypersurface. We have 2 0(i )| p = 2 if (i )| p 2 i0 (i )| p ; since the
aggregate objective function is of the weighted-sum kind, 2 i0 (i ) = 0. By Corollary
3(a), 2 0(i )| p is positive semidefinite, i.e. 2 if (i )| p is positive semidefinite, and it
follows that p lies on a convex part of the Pareto hypersurface.
(4-2) Assume that p lies on a convex part of the Pareto hypersurface; we wish to prove
that p is capturable. Since the aggregate objective function is of the weighted-sum kind,
2 i0 (i ) = 0. In addition we can prescribe the weights such that 0(i )| p = 0.
Therefore we have 0(i )| p = 0 and 2 0(i )| p is positive semidefinite. It follows
from Corollary 3(b) that p is capturable.
2
Corollary 3 states that the Hessian of the function defined as the difference between
the Pareto hypersurface and the AOF hypersurface is positive semidefinite at capturable
points. This means that, in a neighborhood of a capturable point, that function is convex.
Corollary 4 defines limitations of the weighted-sum approach as capturing only points on
convex parts of the Pareto frontier. An important practical implication is that an objective
function whose curvature can be increased by adjusting its free parameters (e.g. exponents)
can be made accordingly more effective at capturing Pareto optimal points, which is not the
case with the weighted-sum AOF approach. Also, by continually increasing the curvature
of an AOF, we are able to capture more and more pointsand in the limit, all Pareto points.
This is illustrated in the following section.

4.

Numerical examples

In the previous section, the conditions for capturing a Pareto optimal point in objective space
were given. In practical applications, the designer may wish to obtain a Pareto optimal point
in decision space. Proposition 1 establishes the equivalence between decision-space capturability and (objective-space) capturability. For the purpose of illustration, the following
three examples deal with the simple case of two criteria 1 and 2 in objective space.
Example 1.

Minimize
Subject to

1
=
2

22
1
9
41 + 42 16
21 +

31
+ 32 1
27
0 1 2.9
0 2 2.9

183

AGGREGATE OBJECTIVE FUNCTIONS

Here we have i = 1 ; the gradient and the Hessian become the first and the second
derivatives, 0 0 (1 ) and 0 00 (1 ), respectively. As shown in figure 2(a), the feasible region
in objective space is bounded by the arcs AB, BC, CD and the line segments AE, ED,
where A(0.256, 2.9), B(0.743, 1.990), C(1.980, 0.893); D(2.9, 0.459) and E(2.9, 2.9) are
the corner points. As an aggregate objective function, the weighted-compromise function
is used,
J = s1 + bs2 ,
with parameters b > 0 and s, a positive integer. This aggregate objective function is chosen
because it offers the required flexibility to change its curvature and orientation by adjusting
the free parameters for capturing Pareto optimal points; in addition, it is locally admissible
in the first quadrant and globally admissible for s odd. The parameters s and b are varied and
the software Matlab (1984) is used to capture Pareto optimal points by solving the problem
that minimizes the aggregate objective function, subject to the above constraints. Captured
points are depicted by asterisks in figure 2(b)(e).
For s = 1, the aggregate objective function becomes the weighted-sum of the objectives,
and only the Pareto optimal corner points A, B, C, D are captured (see figure 2(b)). Other
Pareto optimal corner points lie on the concave part of the Pareto frontier and could not be
captured, according to Corollary 4.
For s = 2, the corner points A, B, C, D, are captured as in the previous case. In addition,
all the Pareto optimal points between A and B are captured; this is done with the value
of 1/9 for the parameter b, a degenerate case (see figure 2(c)). For the arc AB, 0 0 (1 ) =
; 0 0 (1 ) = 0 yields b = 1/9. For this value of b, 0 00 (1 ) = 0 and therefore
1 1+9b
b2
Corollary 3(b) is satisfied. 0 00 (1 ) = 0 also indicates that the curvature of the constantAOF contour is the same as that of the Pareto hypersurface, thus all points of the Pareto
hypersurface are captured, according to Remark 2. No point of the arc BC is captured; this
22 +21 b
is because (for2that part of the Pareto frontier) we have 0 0 (1 ) = 1 b
; 0 0 (1 ) = 0
3
2
2
2
4
4
2
00
implies b = 2 ; therefore 0 (1 ) = 7 (1 + 2 )1 , which is negative for all points of
1
2
the arc BC. So, even though the gradient condition is satisfied, the Hessian is not positive
semidefinite, thus violating Corollary 3(b). The same holds true for Pareto optimal points of
272
1
2 b1b
; 0 0 (1 ) = 0 implies b = 271 2 , and it follows
the arc CD, where 0 0 (1 ) = 27
2
2
3
3
+27
1
1 1 s 2 , thus 0 00 (1 ) < 0.
that 0 00 (1 ) = 729
2
For s = 3, corner Pareto optimal points A, B, C, D are captured. All points on the arcs
AB and CD are captured. The points captured for different ranges of the parameter b are
depicted in Table 1, and provided approximately (see figure 2(d)).
1 2
;
No interior point of arc BC is captured; this is because, 4for 4this arc, 0 0 (1 ) = 21 bb
3
2
2
2 1 +2
0
00
00
0 (1 ) = 0 implies b = 1 and hence 0 (1 ) = 1 7 ; 0 (1 ) < 0 and Corollary 3
(b) is not satisfied.
For s = 4, all the Pareto optimal points are captured and we have the Table 2:
The following useful observations shall be understood in terms of Corollary 3(b). (1) For
2
92 +2
2 9b2
arc AB, 0 0 (1 ) = 1 1 b3 2 ; 0 0 (1 ) = 0 yields b = 912 , and therefore 0 00 (1 ) = 18 13 2 ,
2

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MESSAC, MELACHRINOUDIS AND SUKAM

Figure 2. Manipulating the aggregate objective function to capture Pareto points: (a) feasible region; (b) partial
capture of Pareto points for s = 1; (c) partial capture of Pareto points for s = 2; (d) partial capture of Pareto points
for s = 3; (e) full capture of Pareto points for s = 4.

185

AGGREGATE OBJECTIVE FUNCTIONS

Table 1.

Points captured for s = 3 in figure 2(d).

b

Table 2.

Points/range captured

(0, 1]

A, B and arc AB

[1, 3]

B and C

[3, 26]

[26, 28]

C, D and arc CD

[28, )

Points captured for s = 4 in figure 2(e).

b

Points/range captured

(0, 0.9]

A, B and arc AB

[0.9, 1.1]

B, C and arc BC

[1.1, 59]

[59, 171]

C, D and arc CD

[171, )

thus 0 00 (1 ) 0. (2) For arc BC, 0 0 (1 ) = 31 b1

; 0 0 (1 ) = 0 implies b = 1 and thus
b3
00

3645 1

31 +2732

1 2 b2 +271

; 0 0 (1 )
27 1
b32
hence 0 00 (1 ) 0.

0 00 (1 ) = 0; for arc CD, 0 0 (1 ) =

= 0 implies b =

271
,
2

and

,
therefore 0 (1 ) =
2
For s 5, all Pareto optimal points are captured.
So, by increasing the value of s, the curvature of the aggregate objective function is
increased, which enables it to capture different Pareto optimal arcs. For a fixed value of
s, by varying b, the orientation of the aggregate objective contour is changed to capture
different Pareto optimal points on a given arc. 0 00 (1 ) = 0 is a special case where a single
value of b can be used to capture all Pareto optimal points of an arc. Dominated points are
not captured since the chosen aggregate objective function is admissible. This is illustrated
in figure 2 where no point of the arcs AE, ED and no interior points are captured.
In the weighted-sum approach, by varying the criteria weights, only the orientation of the
aggregate objective contour is changed, but not its curvature. It is for this reason that such an
aggregate objective function cannot capture points on concave parts of the Pareto frontier.
The second example illustrates this fact; that is, the curvature of the aggregate objective
function must be increased in order to capture Pareto optimal points.
Example 2.

1
2

Minimize

Subject to

(1 1)4 + (2 3)4 16
1.6 1 2.9798
3.8933 2 6

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MESSAC, MELACHRINOUDIS AND SUKAM

Figure 3. Increasing the curvature of the aggregate objective function to capture Pareto points: (a) Pareto points
captured for s = 1, . . . , 6; (b) Pareto points captured for s = 7.

The feasible region in the objective space is shown in figure 3(a). The Pareto frontier
is the feasible part of the boundary of the first constraint. The same aggregate objective
function, J = s1 + bs2 , is used in this example. For s = 1, . . . , 6, only corner points that
are Pareto optimal are captured. This is because the Hessian 2 0(i ) is negative definite
for these cases, thus violating Corollary 3(b). For s = 7, only points around the center of
the arc are captured (see figure 3(b)). For the points on the left part of the curve, numerical
conditioning issues become important, as the curve is nearly horizontal; in these cases, the
form of the AOF may help or exacerbate the difficulties. For the point on the right part of
the curve, the curvature of the aggregate objective function is not large enough to capture
the Pareto optimal points. As s increases, the curvature of the aggregate objective function
increases, which enables it to capture more and more points on the Pareto frontier. For
s 13 the entire Pareto frontier is captured.
The next example deals with a truss optimization problem; a more complete definition
of this truss problem can be obtained in Koski (1985).
Example 3. The dynamic behavior of the two-bar truss shown in figure 4(a) is considered
in this example. Its structural behavior is simple to analyze and only two criteria are included
to enable a graphic presentation in the objective space; the first criterion is the square of
the fundamental frequency and the second criterion is the volume of the structure. The only
constraints are on member areas. The optimization problem has the form:

1
Minimize =
2
i = 1, 2
Subject to A Ai A,
The structure is idealized by concentrating half of the mass of boththe members on the
free node, as shown in figure 4(a). Note that we have m = L2 (A1 + 2A2 ), L = 100 cm,
= 7850 kg/m3 , E = 200 Gpa, A = 1.0 cm2 , A = 2.0 cm2 .

AGGREGATE OBJECTIVE FUNCTIONS

Figure 4.

187

Two-bar truss biobjective optimization: (a) structure; (b) objective space.

The feasible region in the objective space is presented in figure 4(b); the same aggregate
objective function, J = s1 + bs2 , is used for this example. The Pareto frontier is the arc
BCA, which is non-convex. The line AB was drawn purposely in figure 4(b) to highlight
the concavity of the arc BCA. Thus, only the end-points A and B of this frontier are
obtained by the weighted-sum method. For s = 2, in addition to the points A and B, the
arc BC is captured; as s increases, points on arc CA are captured and the entire Pareto
frontier is obtained with s 11. It is important to note that this nearly trivial case requires
an aggregate objective function (with s 11) that is almost never used in practice. The
failure to recognize this requirement has serious practical consequences. Namely, a severely
suboptimal design may result from the optimization process.

5.

Conclusion

In this paper, the problem of capturing Pareto optimal points in nonlinear optimization
problems is addressed by studying the properties of the aggregate objective functions. A
fundamental property of an aggregate objective function, the admissibility property, is developed, and its equivalence to the coordinatewise increasing property is proved. First and
second order conditions for admissible aggregate objective functions to capture Pareto optimal points are presented. These conditions are obtained by assuming that the objective
functions are open transformations, the Pareto and aggregate objective function hypersurfaces are implicit functions at least twice differentiable, conditions which generally occur
in practice (at least in the computational sense, and locally). This paper provides us important insights in developing suitable aggregate objective functions for the capture of Pareto
optimal points in the process of design optimization. Aggregate Objective Functions must
allow the flexibility of changing their curvature, in order to be effective in practice.
Although this paper makes an important contribution in the construction of appropriate
aggregate objective functions (i.e., to capture Pareto optimal points in nonlinear optimization
problems), research work should continue to investigate the case of Pareto optimal corner
points where the differentiability conditions are not satisfied.

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MESSAC, MELACHRINOUDIS AND SUKAM

Acknowledgments
This research was partially supported by the National Science Foundation CAREER Grant
number DMI 9702248 for Dr. Achille Messac.
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