Interactive Decomposition Multi-Objective Optimization via Progressively Learned Value Functions

Decomposition has become an increasingly popular technique for evolutionary multi-objective optimization (EMO). A decomposition-based EMO algorithm is usually designed to approximate a whole Pareto-optimal front (PF). However, in practice, the decision maker (DM) might only be interested in her/his region of interest (ROI), i.e., a part of the PF. Solutions outside that might be useless or even noisy to the decision-making procedure. Furthermore, there is no guarantee to find the preferred solutions when tackling many-objective problems. This paper develops an interactive framework for the decomposition-based EMO algorithm to lead a DM to the preferred solutions of her/his choice. It consists of three modules, i.e., consultation, preference elicitation and optimization. Specifically, after every several generations, the DM is asked to score a few candidate solutions in a consultation session. Thereafter, an approximated value function, which models the DM's preference information, is progressively learned from the DM's behavior. In the preference elicitation session, the preference information learned in the consultation module is translated into the form that can be used in a decomposition-based EMO algorithm, i.e., a set of reference points that are biased toward to the ROI. The optimization module, which can be any decomposition-based EMO algorithm in principle, utilizes the biased reference points to direct its search process. Extensive experiments on benchmark problems with three to ten objectives fully demonstrate the effectiveness of our proposed method for finding the DM's preferred solutions.Comment: 25 pages, 18 figures, 3 table

Hidden Preference-based Multi-objective Evolutionary Algorithm Based on Chebyshev Distance

As an important branch of multi-objective optimization,preference-based multi-objective evolutionary algorithms have been widely used in scientific researches and engineering practices,which have important research significance.In order to obtain the extreme solutions and the knee solution with the most compromised performance over each optimization objective in multi-objective optimization problems,a definition of knee solution based on Chebyshev distance and its geometric interpretation is presented.Based on the definition,a multi-objective evolutionary algorithm HP-NSGA-II aiming to search for the extreme solutions and the knee solution is proposed.The regional dynamic updating strategy of the proposed algorithm updates the target regions dynamically in each iteration,and finally converges to the target regions.The strategy of maintaining the balance between regions ensures the balance of the number of individuals in each region,so that the individuals could be distributed evenly in each region.Based on widely used test functions,sufficient experimental verification is carried out,and the experimental results indicate that HP-NSGA-II algorithm can achieve better performance in terms of convergence,regional balance and regional controllability in two-dimensional and three-dimensional test problems,and can accurately obtain the extreme solutions and knee solution

Tri-Criterion Model for Constructing Low-Carbon Mutual Fund Portfolios: A Preference-Based Multi-Objective Genetic Algorithm Approach

[EN] Sustainable finance, which integrates environmental, social and governance criteria on financial decisions rests on the fact that money should be used for good purposes. Thus, the financial sector is also expected to play a more important role to decarbonise the global economy. To align financial flows with a pathway towards a low-carbon economy, investors should be able to integrate into their financial decisions additional criteria beyond return and risk to manage climate risk. We propose a tri-criterion portfolio selection model to extend the classical Markowitz's mean-variance approach to include investor's preferences on the portfolio carbon risk exposure as an additional criterion. To approximate the 3D Pareto front we apply an efficient multi-objective genetic algorithm called ev-MOGA which is based on the concept of epsilon-dominance. Furthermore, we introduce a-posteriori approach to incorporate the investor's preferences into the solution process regarding their climate-change related preferences measured by the carbon risk exposure and their loss-adverse attitude. We test the performance of the proposed algorithm in a cross-section of European socially responsible investments open-end funds to assess the extent to which climate-related risk could be embedded in the portfolio according to the investor's preferences.Hilario Caballero, A.; Garcia-Bernabeu, A.; Salcedo-Romero-De-Ávila, J.; Vercher, M. (2020). Tri-Criterion Model for Constructing Low-Carbon Mutual Fund Portfolios: A Preference-Based Multi-Objective Genetic Algorithm Approach. International Journal of Environmental research and Public Health. 17(17):1-15. https://doi.org/10.3390/ijerph17176324S1151717Morningstar Low Carbon Designationhttps://bit.ly/2SfAFUAKrueger, P., Sautner, Z., & Starks, L. T. (2020). 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Markowitz-based portfolio selection with minimum transaction lots, cardinality constraints and regarding sector capitalization using genetic algorithm. Expert Systems with Applications, 36(3), 5058-5063. doi:10.1016/j.eswa.2008.06.007Anagnostopoulos, K. P., & Mamanis, G. (2011). The mean–variance cardinality constrained portfolio optimization problem: An experimental evaluation of five multiobjective evolutionary algorithms. Expert Systems with Applications. doi:10.1016/j.eswa.2011.04.233Woodside-Oriakhi, M., Lucas, C., & Beasley, J. E. (2011). Heuristic algorithms for the cardinality constrained efficient frontier. European Journal of Operational Research, 213(3), 538-550. doi:10.1016/j.ejor.2011.03.030Meghwani, S. S., & Thakur, M. (2017). Multi-criteria algorithms for portfolio optimization under practical constraints. Swarm and Evolutionary Computation, 37, 104-125. doi:10.1016/j.swevo.2017.06.005Liagkouras, K., & Metaxiotis, K. (2016). 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Performance comparison of generational and steady-state asynchronous multi-objective evolutionary algorithms for computationally-intensive problems.

In the last two decades, multi-objective evolutionary algorithms (MOEAs) have become ever more used in scientific and industrial decision support and decision making contexts the require an a posteriori articulation of preference. The present work is focused on a comparative analysis of the performance of two master–slave parallelization (MSP) methods, the canonical generational scheme and the steady-state asynchronous scheme. Both can be used to improve the convergence speed of multi-objective evolutionary algorithms that must use computationally-intensive fitness evaluation functions. Both previous and present experiments show that a correct choice for one or the other parallelization method can lead to substantial improvements with regard to the overall duration of the optimization process. Our main aim is to provide practitioners of MOEAs with a simple but effective method of deciding which MSP option is better given the particularities of the concrete optimization process. This in turn, would give the decision maker more time for articulating preferences (i.e., more flexibility). Our analysis is performed based on 15 well-known MOOP benchmark problems and two simulation-based industrial optimization processes from the field of electrical drive design. For the first industrial MOOP, when comparing with a preliminary study, applying the steady-state asynchronous MSP enables us to achieve an overall speedup (in terms of total wall-clock computation time) of ≈25%. For the second industrial MOOP, applying the steady-state MSP produces an improvement of ≈12%. We focus our study on two of the best known and most widely used MOEAs: the Non-dominated Sorting Genetic Algorithm II (NSGA-II) and the Strength Pareto Evolutionary Algorithm (SPEA2)

An ACO-based Hyper-heuristic for Sequencing Many-objective Evolutionary Algorithms that Consider Different Ways to Incorporate the DM's Preferences

Many-objective optimization is an area of interest common to researchers, professionals, and practitioners because of its real-world implications. Preference incorporation into Multi-Objective Evolutionary Algorithms (MOEAs) is one of the current approaches to treat Many-Objective Optimization Problems (MaOPs). Some recent studies have focused on the advantages of embedding preference models based on interval outranking into MOEAs; several models have been proposed to achieve it. Since there are many factors influencing the choice of the best outranking model, there is no clear notion of which is the best model to incorporate the preferences of the decision maker into a particular problem. This paper proposes a hyper-heuristic algorithm—named HyperACO—that searches for the best combination of several interval outranking models embedded into MOEAs to solve MaOPs. HyperACO is able not only to select the most appropriate model but also to combine the already existing models to solve a specific MaOP correctly. The results obtained on the DTLZ and WFG test suites corroborate that HyperACO can hybridize MOEAs with a combined preference model that is suitable to the problem being solved. Performance comparisons with other state-of-the-art MOEAs and tests for statistical significance validate this conclusion