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arXiv 2202.04859math.OC
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Pareto阵面逼近的置信域方法

A Trust Region Method for Pareto Front Approximation

Kwang-Hui Ju, Ju-Song Kim

摘要:

本文研究了所有目标函数都不是解析给出的黑箱多目标最优化问题。在多目标优化中,重要的是在Pareto前沿上产生一组均匀分布的离散解,以建立良好的近似。在黑盒双目标优化中,可以用Pareto前沿的排序性质来计算解之间的距离。这些距离允许能够评估所有溶液点的分布,因此保持溶液分布的均匀性并不困难。然而,具有两个以上目标的问题不具有排序性质,因此需要注意的是,这些问题需要其他技术来测量覆盖率并保持解分布的均匀性。本文提出了一种基于置信域方法的多目标黑箱优化问题Pareto前沿逼近算法。该算法利用密度函数在非支配点集中选择一个参考点,并探索该点周围的区域。这确保了均匀的解决方案的分布,即使是有两个以上的目标函数的问题。我们还证明了算法的迭代点收敛于Pareto临界点。最后,我们提出的数值结果表明,该算法产生的一组分布良好的解决方案,逼近帕累托前沿,即使在有三个目标函数的问题的情况下。

英文摘要:

In this paper, we consider black-box multiobjective optimization problems in which all objective functions are not given analytically. In multiobjective optimization, it is important to produce a set of uniformly distributed discrete solutions over the Pareto front to build a good approximation. In black-box biobjective optimization, one can evaluate distances between solutions with the ordering property of the Pareto front. These distances allow to be able to evaluate distribution of all solution points, so it is not difficult to maintain uniformity of solutions distribution. However, problems with more than two objectives do not have ordering property, so it is noted that these problems require other techniques to measure the coverage and maintain uniformity of solutions distribution. In this paper, we propose an algorithm based on a trust region method for the Pareto front approximation in black-box multiobjective optimization. In the algorithm, we select a reference point in the set of non-dominated points by employing the density function and explore area around this point. This ensures uniformity of solutions distribution even for problems with more than two objective functions. We also prove that the iteration points of the algorithm converge to Pareto critical points. Finally, we present numerical results suggesting that the algorithm generates the set of well-distributed solutions approximating the Pareto front, even in the case for the problems with three objective functions.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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