Exact Extension of the DIRECT Algorithm to Multiple Objectives

The DIRECT algorithm has been recognized as an efficient global optimization method which has few requirements of regularity and has proven to be globally convergent in general cases. DIRECT has been an inspiration or has been used as a component for many multiobjective optimization algorithms. We propose an exact and as genuine as possible extension of the DIRECT method for multiple objectives, providing a proof of global convergence (i.e., a guarantee that in an infinite time the algorithm becomes everywhere dense). We test the efficiency of the algorithm on a nonlinear and nonconvex vector function.