Multi-objective Optimization by Uncrowded Hypervolume Gradient Ascent

Evolutionary algorithms (EAs) are the preferred method for solving black-box multi-objective optimization problems, but when gradients of the objective functions are available, it is not straightforward to exploit these efficiently. By contrast, gradient-based optimization is well-established for single-objective optimization. A single-objective reformulation of the multi-objective problem could therefore offer a solution. Of particular interest to this end is the recently introduced uncrowded hypervolume (UHV) indicator, which takes into account dominated solutions. In this work, we show that the gradient of the UHV can often be computed, which allows for a direct application of gradient ascent algorithms. We compare this new approach with two EAs for UHV optimization as well as with one gradient-based algorithm for optimizing the well-established hypervolume. On several bi-objective benchmarks, we find that gradient-based algorithms outperform the tested EAs by obtaining a better hypervolume with fewer evaluations whenever exact gradients of the multiple objective functions are available and in case of small evaluation budgets. For larger budgets, however, EAs perform similarly or better. We further find that, when finite differences are used to approximate the gradients of the multiple objectives, our new gradient-based algorithm is still competitive with EAs in most considered benchmarks. Implementations are available at https://github.com/scmaree/uncrowded-hypervolume.Comment: T.M.D. and S.C.M. contributed equally. The final authenticated version is available in the conference proceedings of Parallel Problem Solving from Nature - PPSN XVI. Changes in new version: removed statement about Pareto compliance in abstract; added related work; corrected minor mistake

Ensuring smoothly navigable approximation sets by Bézier curve parameterizations in evolutionary bi-objective optimization

The aim of bi-objective optimization is to obtain an approximation set of (near) Pareto optimal solutions. A decision maker then navigates this set to select a final desired solution, often using a visualization of the approximation front. The front provides a navigational ordering of solutions to traverse, but this ordering does not necessarily map to a smooth trajectory through decision space. This forces the decision maker to inspect the decision variables of each solution individually, potentially making navigation of the approximation set unintuitive. In this work, we aim to improve approximation set navigability by enforcing a form of smoothness or continuity between solutions in terms of their decision variables. Imposing smoothness as a restriction upon common domination-based multi-objective evolutionary algorithms is not straightforward. Therefore, we use the recently introduced uncrowded hypervolume (UHV) to reformulate the multi-objective optimization problem as a single-objective problem in which parameterized approximation sets are directly optimized. We study here the case of parameterizing approximation sets as smooth Bézier curves in decision space. We approach the resulting single-objective problem with the gene-pool optimal mixing evolutionary algorithm (GOMEA), and we call the resulting algorithm BezEA. We analyze the behavior of BezEA and compare it to optimization of the UHV with GOMEA as well as the domination-based multi-objective GOMEA. We show that high-quality approximation sets can be obtained with BezEA, sometimes even outperforming the domination- and UHV-based algorithms, while smoothness of the navigation trajectory through decision space is guaranteed

Multi-objective optimization by uncrowded hypervolume gradient ascent

Evolutionary algorithms (EAs) are the preferred method for solving black-box multi-objective optimization problems, but when gradients of the objective functions are available, it is not straightforward to exploit these efficiently. By contrast, gradient-based optimization is well-established for single-objective optimization. A single-objective reformulation of the multi-objective problem could therefore offer a solution. Of particular interest to this end is the recently introduced uncrowded hypervolume (UHV) indicator, which is Pareto compliant and also takes into account dominated solutions. In this work, we show that the gradient of the UHV can often be computed, which allows for a direct application of gradient ascent algorithms. We compare this new approach with two EAs for UHV optimization as well as with one gradient-based algorithm for optimizing the well-established hypervolume. On several bi-objective benchmarks, we find that gradient-based algorithms outperform the tested EAs by obtaining a better hypervolume with fewer evaluations whenever exact gradients of the multiple objective functions are available and in case of small evaluation budgets. For larger budgets, however, EAs perform similarly or better. We further find that, when finite differences are used to approximate the gradients of the multiple objectives, our new gradient-based algorithm is s

Ensuring smoothly navigable approximation sets by Bézier curve parameterizations in evolutionary bi-objective optimization

The aim of bi-objective optimization is to obtain an approximation set of (near) Pareto optimal solutions. A decision maker then navigates this set to select a final desired solution, often using a visualization of the approximation front. The front provides a navigational ordering of solutions to traverse, but this ordering does not necessarily map to a smooth trajectory through decision space. This forces the decision maker to inspect the decision variables of each solution individually, potentially making navigation of the approximation set unintuitive. In this work, we aim to improve approximation set navigability by enforcing a form of smoothness or continuity between solutions in terms of their decision variables. Imposing smoothness as a restriction upon common domination-based multi-objective evolutionary algorithms is not straightforward. Therefore, we use the recently introduced uncrowded hypervolume (UHV) to reformulate the multi-objective optimization problem as a single-objective problem in which parameterized approximation sets are directly optimized. We study here the case of parameterizing approximation sets as smooth Bézier curves in decision space. We approach the resulting single-objective problem with the gene-pool optimal mixing evolutionary algorithm (GOMEA), and we call the resulting algorithm BezEA. We analyze the behavior of BezEA and compare it to optimization of the UHV with GOMEA as well as the domination-based multi-objective GOMEA. We show that high-quality approximation sets can be obtained with BezEA, sometimes even outperforming the domination- and UHV-based algorithms, while smoothness of the navigation trajectory through decision space is guaranteed