Racing Multi-Objective Selection Probabilities

In the context of Noisy Multi-Objective Optimization, dealing with uncertainties requires the decision maker to define some preferences about how to handle them, through some statistics (e.g., mean, median) to be used to evaluate the qualities of the solutions, and define the corresponding Pareto set. Approximating these statistics requires repeated samplings of the population, drastically increasing the overall computational cost. To tackle this issue, this paper proposes to directly estimate the probability of each individual to be selected, using some Hoeffding races to dynamically assign the estimation budget during the selection step. The proposed racing approach is validated against static budget approaches with NSGA-II on noisy versions of the ZDT benchmark functions

Towards efficient multiobjective optimization: multiobjective statistical criterions

The use of Surrogate Based Optimization (SBO) is widely spread in engineering design to reduce the number of computational expensive simulations. However, "real-world" problems often consist of multiple, conflicting objectives leading to a set of equivalent solutions (the Pareto front). The objectives are often aggregated into a single cost function to reduce the computational cost, though a better approach is to use multiobjective optimization methods to directly identify a set of Pareto-optimal solutions, which can be used by the designer to make more efficient design decisions (instead of making those decisions upfront). Most of the work in multiobjective optimization is focused on MultiObjective Evolutionary Algorithms (MOEAs). While MOEAs are well-suited to handle large, intractable design spaces, they typically require thousands of expensive simulations, which is prohibitively expensive for the problems under study. Therefore, the use of surrogate models in multiobjective optimization, denoted as MultiObjective Surrogate-Based Optimization (MOSBO), may prove to be even more worthwhile than SBO methods to expedite the optimization process. In this paper, the authors propose the Efficient Multiobjective Optimization (EMO) algorithm which uses Kriging models and multiobjective versions of the expected improvement and probability of improvement criterions to identify the Pareto front with a minimal number of expensive simulations. The EMO algorithm is applied on multiple standard benchmark problems and compared against the well-known NSGA-II and SPEA2 multiobjective optimization methods with promising results

Hybridization of multi-objective deterministic particle swarm with derivative-free local searches

The paper presents a multi-objective derivative-free and deterministic global/local hybrid algorithm for the efficient and effective solution of simulation-based design optimization (SBDO) problems. The objective is to show how the hybridization of two multi-objective derivative-free global and local algorithms achieves better performance than the separate use of the two algorithms in solving specific SBDO problems for hull-form design. The proposed method belongs to the class of memetic algorithms, where the global exploration capability of multi-objective deterministic particle swarm optimization is enriched by exploiting the local search accuracy of a derivative-free multi-objective line-search method. To the authors best knowledge, studies are still limited on memetic, multi-objective, deterministic, derivative-free, and evolutionary algorithms for an effective and efficient solution of SBDO for hull-form design. The proposed formulation manages global and local searches based on the hypervolume metric. The hybridization scheme uses two parameters to control the local search activation and the number of function calls used by the local algorithm. The most promising values of these parameters were identified using forty analytical tests representative of the SBDO problem of interest. The resulting hybrid algorithm was finally applied to two SBDO problems for hull-form design. For both analytical tests and SBDO problems, the hybrid method achieves better performance than its global and local counterparts

Fast calculation of multiobjective probability of improvement and expected improvement criteria for Pareto optimization

The use of surrogate based optimization (SBO) is widely spread in engineering design to reduce the number of computational expensive simulations. However, "real-world" problems often consist of multiple, conflicting objectives leading to a set of competitive solutions (the Pareto front). The objectives are often aggregated into a single cost function to reduce the computational cost, though a better approach is to use multiobjective optimization methods to directly identify a set of Pareto-optimal solutions, which can be used by the designer to make more efficient design decisions (instead of weighting and aggregating the costs upfront). Most of the work in multiobjective optimization is focused on multiobjective evolutionary algorithms (MOEAs). While MOEAs are well-suited to handle large, intractable design spaces, they typically require thousands of expensive simulations, which is prohibitively expensive for the problems under study. Therefore, the use of surrogate models in multiobjective optimization, denoted as multiobjective surrogate-based optimization, may prove to be even more worthwhile than SBO methods to expedite the optimization of computational expensive systems. In this paper, the authors propose the efficient multiobjective optimization (EMO) algorithm which uses Kriging models and multiobjective versions of the probability of improvement and expected improvement criteria to identify the Pareto front with a minimal number of expensive simulations. The EMO algorithm is applied on multiple standard benchmark problems and compared against the well-known NSGA-II, SPEA2 and SMS-EMOA multiobjective optimization methods

The Kalai-Smorodinski solution for many-objective Bayesian optimization

An ongoing aim of research in multiobjective Bayesian optimization is to extend its applicability to a large number of objectives. While coping with a limited budget of evaluations, recovering the set of optimal compromise solutions generally requires numerous observations and is less interpretable since this set tends to grow larger with the number of objectives. We thus propose to focus on a specific solution originating from game theory, the Kalai-Smorodinsky solution, which possesses attractive properties. In particular, it ensures equal marginal gains over all objectives. We further make it insensitive to a monotonic transformation of the objectives by considering the objectives in the copula space. A novel tailored algorithm is proposed to search for the solution, in the form of a Bayesian optimization algorithm: sequential sampling decisions are made based on acquisition functions that derive from an instrumental Gaussian process prior. Our approach is tested on four problems with respectively four, six, eight, and nine objectives. The method is available in the Rpackage GPGame available on CRAN at https://cran.r-project.org/package=GPGame

A Bayesian approach to constrained single- and multi-objective optimization

This article addresses the problem of derivative-free (single- or multi-objective) optimization subject to multiple inequality constraints. Both the objective and constraint functions are assumed to be smooth, non-linear and expensive to evaluate. As a consequence, the number of evaluations that can be used to carry out the optimization is very limited, as in complex industrial design optimization problems. The method we propose to overcome this difficulty has its roots in both the Bayesian and the multi-objective optimization literatures. More specifically, an extended domination rule is used to handle objectives and constraints in a unified way, and a corresponding expected hyper-volume improvement sampling criterion is proposed. This new criterion is naturally adapted to the search of a feasible point when none is available, and reduces to existing Bayesian sampling criteria---the classical Expected Improvement (EI) criterion and some of its constrained/multi-objective extensions---as soon as at least one feasible point is available. The calculation and optimization of the criterion are performed using Sequential Monte Carlo techniques. In particular, an algorithm similar to the subset simulation method, which is well known in the field of structural reliability, is used to estimate the criterion. The method, which we call BMOO (for Bayesian Multi-Objective Optimization), is compared to state-of-the-art algorithms for single- and multi-objective constrained optimization

Planning as Optimization: Dynamically Discovering Optimal Configurations for Runtime Situations

The large number of possible configurations of modern software-based systems, combined with the large number of possible environmental situations of such systems, prohibits enumerating all adaptation options at design time and necessitates planning at run time to dynamically identify an appropriate configuration for a situation. While numerous planning techniques exist, they typically assume a detailed state-based model of the system and that the situations that warrant adaptations are known. Both of these assumptions can be violated in complex, real-world systems. As a result, adaptation planning must rely on simple models that capture what can be changed (input parameters) and observed in the system and environment (output and context parameters). We therefore propose planning as optimization: the use of optimization strategies to discover optimal system configurations at runtime for each distinct situation that is also dynamically identified at runtime. We apply our approach to CrowdNav, an open-source traffic routing system with the characteristics of a real-world system. We identify situations via clustering and conduct an empirical study that compares Bayesian optimization and two types of evolutionary optimization (NSGA-II and novelty search) in CrowdNav

A portfolio approach to massively parallel Bayesian optimization

One way to reduce the time of conducting optimization studies is to evaluate designs in parallel rather than just one-at-a-time. For expensive-to-evaluate black-boxes, batch versions of Bayesian optimization have been proposed. They work by building a surrogate model of the black-box that can be used to select the designs to evaluate efficiently via an infill criterion. Still, with higher levels of parallelization becoming available, the strategies that work for a few tens of parallel evaluations become limiting, in particular due to the complexity of selecting more evaluations. It is even more crucial when the black-box is noisy, necessitating more evaluations as well as repeating experiments. Here we propose a scalable strategy that can keep up with massive batching natively, focused on the exploration/exploitation trade-off and a portfolio allocation. We compare the approach with related methods on deterministic and noisy functions, for mono and multiobjective optimization tasks. These experiments show similar or better performance than existing methods, while being orders of magnitude faster

New heuristics for multi-objective worst-case optimization in evidence-based robust design

This paper presents a non-nested algorithm for the solution of multi-objective min-max problems (MOMMP) in worst-case optimization. The algorithm has been devised for evidence-based robust optimization, where the lack of a defined probabilistic behaviour of the uncertain parameters makes it impossible to apply sample-based techniques and forces the designer to identify the worst case over the subdomains of the uncertainty space. In evidence theory, the robustness of the solutions is measured in terms of the Belief in the realization of the value of the design budgets, which acts as a lower bound to the unknown cumulative distribution function of the budget. Thus a means of finding robust solutions in preliminary design consists on applying the minimax model, where the worst-case budget over the uncertainty space is optimized over the control space. The paper proposes a novel heuristic to solve MOMMP and demonstrates its capability to approximate the worst-case Pareto front at a very reduced cost with respect to approaches based on nested optimization