A First-Order Multi-Gradient Algorithm for Multi-Objective Bi-Level Optimization

In this paper, we study the Multi-Objective Bi-Level Optimization (MOBLO) problem, where the upper-level subproblem is a multi-objective optimization problem and the lower-level subproblem is for scalar optimization. Existing gradient-based MOBLO algorithms need to compute the Hessian matrix, causing the computational inefficient problem. To address this, we propose an efficient first-order multi-gradient method for MOBLO, called FORUM. Specifically, we reformulate MOBLO problems as a constrained multi-objective optimization (MOO) problem via the value-function approach. Then we propose a novel multi-gradient aggregation method to solve the challenging constrained MOO problem. Theoretically, we provide the complexity analysis to show the efficiency of the proposed method and a non-asymptotic convergence result. Empirically, extensive experiments demonstrate the effectiveness and efficiency of the proposed FORUM method in different learning problems. In particular, it achieves state-of-the-art performance on three multi-task learning benchmark datasets. The code is available at https: //github. com/Baijiong-Lin/FORUM.

Authors

• Feiyang Ye 0001
• Baijiong Lin
• Xiaofeng Cao 0002
• Yu Zhang 0006
• Ivor W. Tsang

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