Multi-objective optimization

Duncan Murdoch wrote:
  

Is there any package to do multi-objective optimization? For instance,
consider the following problem:

maximize f(x,y) in order to x

and

maximize g(x,y) in order to y,

simultaneously, with x and y being the same both for f and g. Can R do
it numerically?
      

I don't think the problem is well posed.  For example, what's the 
solution if f(x,y) = -(x-y)^2 and g(x,y) = -(x-2)^2-(y-1)^2?  The 
first is maximized at x=y, the second at x=2, y=1, so in order to 
choose a solution you need to specify what sort of tradeoff to use 
to combine the two objectives.

    

I guess the problem was not well _defined_.

I "interpreted" it as:

maximize f(x,y) in order to x %means%
(1) for every y, find x = f1(y) such that f(x,y) is max

maximize g(x,y) in order to y %means%
(2) for every x, find y = g1(x) such that g(x,y) is max

simultaneously %means%
(3) x = f1(y) and y = g1(x).

So, for your example, we would have:
(1) => x = y
(2) => y = 1
(3) => x = y = 1