Pareto Front Identification with Regret Minimization

We consider Pareto front identification for linear bandits (PFILin) where the goal is to identify a set of arms whose reward vectors are not dominated by any of the others when the mean reward vector is a linear function of the context. PFILin includes the best arm identification problem and multi-objective active learning as special cases. The sample complexity of our proposed algorithm is $\tilde{O}(d/\Delta^2)$, where $d$ is the dimension of contexts and $\Delta$ is a measure of problem complexity. Our sample complexity is optimal up to a logarithmic factor. A novel feature of our algorithm is that it uses the contexts of all actions. In addition to efficiently identifying the Pareto front, our algorithm also guarantees $\tilde{O}(\sqrt{d/t})$ bound for instantaneous Pareto regret when the number of samples is larger than $\Omega(d\log dL)$ for $L$ dimensional vector rewards. By using the contexts of all arms, our proposed algorithm simultaneously provides efficient Pareto front identification and regret minimization. Numerical experiments demonstrate that the proposed algorithm successfully identifies the Pareto front while minimizing the regret.Comment: 25 pages including appendi

Sequential Domain Patching for Computationally Feasible Multi-objective Optimization of Expensive Electromagnetic Simulation Models

AbstractIn this paper, we discuss a simple and efficient technique for multi-objective design optimization of multi-parameter microwave and antenna structures. Our method exploits a stencil-based approach for identification of the Pareto front that does not rely on population-based metaheuristic algorithms, typically used for this purpose. The optimization procedure is realized in two steps. Initially, the initial Pareto-optimal set representing the best possible trade-offs between conflicting objectives is obtained using low-fidelity representation (coarsely-discretized EM model simulations) of the structure at hand. This is realized by sequential construction and relocation of small design space segments (patches) in order to create a path connecting the extreme Pareto front designs identified beforehand. In the second step, the Pareto set is refined to yield the optimal designs at the level of the high-fidelity electromagnetic (EM) model. The appropriate number of patches is determined automatically. The approach is validated by means of two multi-parameter design examples: a compact impedance transformer, and an ultra-wideband monopole antenna. Superiority of the patching method over the state-of-the-art multi-objective optimization techniques is demonstrated in terms of the computational cost of the design process

A Wasserstein distance based multiobjective evolutionary algorithm for the risk aware optimization of sensor placement

Abstract In this paper we propose a new algorithm for the identification of optimal "sensing spots", within a network, for monitoring the spread of "effects" triggered by "events". This problem is referred to as "Optimal Sensor Placement" and many real-world problems fit into this general framework. In this paper sensor placement (SP) (i.e., location of sensors at some nodes) for the early detection of contaminants in water distribution networks (WDNs) will be used as a running example. Usually, we have to manage a trade-off between different objective functions, so that we are faced with a multi objective optimization problem. (MOP). The best trade-off between the objectives can be defined in terms of Pareto optimality. In this paper we model the sensor placement problem as a multi objective optimization problem with boolean decision variables and propose a Multi Objective Evolutionary Algorithm (MOEA) for approximating and analyzing the Pareto set. The evaluation of the objective functions requires the execution of a simulation model: to organize the simulation results in a computationally efficient way we propose a data structure collecting simulation outcomes for every SP which is particularly suitable for visualization of the dynamics of contaminant concentration and evolutionary optimization. This data structure enables the definition of information spaces, in which a candidate placement can be represented as a matrix or, in probabilistic terms as a histogram. The introduction of a distance between histograms, namely the Wasserstein (WST) distance, enables to derive new genetic operators, indicators of the quality of the Pareto set and criteria to choose among the Pareto solutions. The new algorithm MOEA/WST has been tested on two benchmark water distribution networks and a real world network. Preliminary results are compared with NSGA-II and show a better performance, in terms of hypervolume and coverage, in particular for relatively large networks and low generation counts

A multi-objective DIRECT algorithm for ship hull optimization

The paper is concerned with black-box nonlinear constrained multi-objective optimization problems. Our interest is the definition of a multi-objective deterministic partition-based algorithm. The main target of the proposed algorithm is the solution of a real ship hull optimization problem. To this purpose and in pursuit of an efficient method, we develop an hybrid algorithm by coupling a multi-objective DIRECT-type algorithm with an efficient derivative-free local algorithm. The results obtained on a set of “hard” nonlinear constrained multi-objective test problems show viability of the proposed approach. Results on a hull-form optimization of a high-speed catamaran (sailing in head waves in the North Pacific Ocean) are also presented. In order to consider a real ocean environment, stochastic sea state and speed are taken into account. The problem is formulated as a multi-objective optimization aimed at (i) the reduction of the expected value of the mean total resistance in irregular head waves, at variable speed and (ii) the increase of the ship operability, with respect to a set of motion-related constraints. We show that the hybrid method performs well also on this industrial problem

Efficient Prediction Designs for Random Fields

For estimation and predictions of random fields it is increasingly acknowledged that the kriging variance may be a poor representative of true uncertainty. Experimental designs based on more elaborate criteria that are appropriate for empirical kriging are then often non-space-filling and very costly to determine. In this paper, we investigate the possibility of using a compound criterion inspired by an equivalence theorem type relation to build designs quasi-optimal for the empirical kriging variance, when space-filling designs become unsuitable. Two algorithms are proposed, one relying on stochastic optimization to explicitly identify the Pareto front, while the second uses the surrogate criteria as local heuristic to chose the points at which the (costly) true Empirical Kriging variance is effectively computed. We illustrate the performance of the algorithms presented on both a simple simulated example and a real oceanographic dataset

A hierarchical Mamdani-type fuzzy modelling approach with new training data selection and multi-objective optimisation mechanisms: A special application for the prediction of mechanical properties of alloy steels

In this paper, a systematic data-driven fuzzy modelling methodology is proposed, which allows to construct Mamdani fuzzy models considering both accuracy (precision) and transparency (interpretability) of fuzzy systems. The new methodology employs a fast hierarchical clustering algorithm to generate an initial fuzzy model efficiently; a training data selection mechanism is developed to identify appropriate and efficient data as learning samples; a high-performance Particle Swarm Optimisation (PSO) based multi-objective optimisation mechanism is developed to further improve the fuzzy model in terms of both the structure and the parameters; and a new tolerance analysis method is proposed to derive the confidence bands relating to the final elicited models. This proposed modelling approach is evaluated using two benchmark problems and is shown to outperform other modelling approaches. Furthermore, the proposed approach is successfully applied to complex high-dimensional modelling problems for manufacturing of alloy steels, using ‘real’ industrial data. These problems concern the prediction of the mechanical properties of alloy steels by correlating them with the heat treatment process conditions as well as the weight percentages of the chemical compositions