I have multiple objective functions which are related to several parameters. I want to minimise more than one objective functions using several parameters. Is it even possible using BFGS?
When I used L-BFGS to minimise one objective function using several parameters, it worked fine. However, I am unable to minimise multiple objective functions. At the moment, as my functions are just numbers, I've added all of the objective functions and their associated gradients in order to minimise my objective funtion. I'm unsure if that's the best way to approach this situation.
Any help would be much appreciated.