Geometry-Aware Multi-Objective Optimization: Norm-Constrained Oracles with Entropic Weight Updates

El Mahdi Chayti, Alireza Mirrokni, Martin Jaggi

Multiple-gradient descent is typically formulated in Euclidean geometry, whereas matrix-aware optimizers use directions induced by other norms. We analyze a single-loop multi-objective method combining a norm-constrained linear minimization oracle with entropic updates of task weights. For any finite-dimensional norm pair, we establish an $O(T^{-1/2})$ ergodic stationarity rate in the deterministic setting, deriving the required trajectory gradient bound from smoothness and lower-boundedness in the unregularized case. With stochastic gradients and a bounded-gradient assumption, one persistent blended-gradient momentum buffer yields an $O(T^{-1/4})$ rate whose leading term has no explicit dependence on the number of tasks. We also establish static regret for the inner weighting objective on arbitrary bounded gradient sequences and, with entropy regularization and a weight floor, iteration-wise inner-gap control after burn-in while retaining ergodic stationarity, conditional on a trajectory gradient bound. The optimal blended gradient can be nonunique in spectral and sign geometries, motivating a selection-independent inner gap. Our analysis extends the spectral construction…