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Communication Dans Un Congrès Année : 2018

Targeting Well-Balanced Solutions in Multi-Objective Bayesian Optimization Under a Restricted Budget

Résumé

Multi-objective optimization aims at finding trade-off solutions to conflicting objectives. These constitute the Pareto optimal set. In the context of expensive-to-evaluate functions, it is impossible and often non-informative to look for the entire set. As an end-user would typically prefer solutions with equilibrated trade-offs between the objectives, we define a Pareto front center. We then modify the Bayesian multi-objective optimization algorithm which uses Gaussian Processes to maximize the expected hypervolume improvement, to restrict the search to the Pareto front center. The cumulated effects of the Gaussian Processes and the center targeting strategy lead to a particularly efficient convergence to a critical part of the Pareto set.
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Dates et versions

hal-02734591 , version 1 (02-06-2020)

Identifiants

  • HAL Id : hal-02734591 , version 1
  • PRODINRA : 477607

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Victor Picheny, David Gaudrie, Rodolphe Le Riche, Benoît Enaux, Vincent Herbert. Targeting Well-Balanced Solutions in Multi-Objective Bayesian Optimization Under a Restricted Budget. International Conference on Learning and Intelligent Optimization (LION'18), Jun 2018, Kalamata, Greece. ⟨hal-02734591⟩
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