Multiobjective Optimization

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Presentation transcript:

Multiobjective Optimization

Multiobjective Optimization Some optimization problems have multiple objectives that required tradeoff decisions

Pareto Optimality At a Pareto optimal point, increasing one objective value decreases another In multiobjective optimization, one point dominates another if

Pareto Optimality

Pareto Optimality: Pareto Frontier A criterion space is a set of all outputs possible given a space of inputs In a multidimensional optimization problem, the criterion space is m-dimensional. In m-dimensional space, it is possible for there to be no clearly optimal point

Pareto Optimality: Pareto Frontier A design point is considered Pareto-optimal if no other point in the criterion space dominates it The set of all Pareto-optimal points forms the Pareto frontier

Pareto Optimality: Pareto Frontier The utopia point is the component-wise optimal point. It may not be in the actual criterion space Weakly Pareto-optimal points are those on the Pareto frontier that cannot be improved simultaneously in all objectives

Constraint Methods There are various methods for generating the Pareto frontier The constraint method constrains all but one of the objectives to produce a unique optimal point in the criterion space The constraints are then modified to trace out the Pareto frontier

Constraint Methods The lexicographic method ranks the objectives in order of importance and performs a series of single-objective optimizations in order of importance Each optimization problem includes constraints to preserve the optimality of the previously optimized objectives

Weight Methods A designer can encode preferences over the objectives as a vector of weights The pareto frontier can be generated by sweeping over the space of possible weights The weighted sum method combines multiple objective functions into one using a constant vector inner product

Weight Methods Note: weighted sum methods cannot obtain points in red

Weight Methods Goal programming converts multiple objectives into a single objective using a norm between f(x) and a goal point Typically, the goal point is the utopia point

Weight Methods Weighted exponential sum combines goal programming and the weighted sum method Here, w is a vector of weights that sum to 1 and p ≥ 1

Weight Methods Weighted exponential sum for different values of p

Weight Methods Previous methods cannot obtain points in nonconvex portions of the Pareto frontier The exponential weighted criterion can provide Pareto- optimal points in nonconvex regions Note: High values of p can lead to numerical overflow

Multiobjective Population Methods A population is partitioned into several subpopulations Each subpopulation is optimized with respect to a different objective

Multiobjective Population Methods The vector evaluated genetic algorithm randomly partitions subpopulations at each generation

Multiobjective Population Methods

Multiobjective Population Methods Nondomination ranking is used to rank individuals in the population Nondominated individuals (Pareto-frontier) Nondominated by any except those in (1) Nondominated by and except those in (1) or (2) …

Multiobjective Population Methods

Multiobjective Population Methods In multiobjective population methods, a population that approximates the Pareto frontier is called a Pareto filter At every generation, dominant individuals are retained and dominated individuals are removed

Multiobjective Population Methods A niche is a focused cluster of points, typically in the criterion space Niche techniques help encourage an even spread of points across the Pareto frontier In fitness sharing, the individual objective values are penalized if neighboring points are too close In equivalence class sharing, when two individuals are compared, their nondomination ranking is considered first, then fitness sharing is used to as a tie-breaker

Multiobjective Population Methods Improved coverage of Pareto frontier using fitness sharing

Preference Elicitation If using a weighted sum method, how should the weights be determined? Preference elicitation involves inferring a scalar-valued objective function from the preferences of experts about objective tradeoffs A common approach is asking experts to choose preference between the optimized results of two weight distributions wa and wb. These distributions are continually adjusted until w aligns with user preferences

Preference Elicitation The process of choosing wa and wb such that at each iteration, the expert response is the most informative If the weight vector is length n, then the space of possible weights forms a subspace in n-dimensional space W, from which both wa and wb must be chosen Q-Eval: a greedy heuristic strategy that bisects W and chooses wa and wb from either side Polyhedral method: reduces uncertainty and balances breadth by approximating W with a bounding ellipsoid

12.5 Preference Elicitation Q-Eval Polyhedral

Preference Elicitation Although query methods reduce the search space efficiently, the last step of selecting a final design is called design selection Decision quality improvement method is a minimax method that minimizes the worst-case objective value cost Minimax regret minimizes the maximum possible regret

Summary Design problems with multiple objectives often involve trading performance between different objectives The Pareto frontier represents the set of potentially optimal solutions Vector-valued objective functions can be converted to scalar- valued objective functions using constraint-based or weight- based methods

Summary Population methods can be extended to produce individuals that span the Pareto frontier Knowing the preferences of experts between pairs of points in the criterion space can help guide the inference of a scalar- valued objective function