Data-Efficient Interactive Multi-Objective Optimization Using ParEGO

Abstract

Multi-objective optimization is a widely studied problem in diverse fields, such as engineering and finance, that seeks to identify a set of non-dominated solutions that provide optimal trade-offs among competing objectives. However, the computation of the entire Pareto front can become prohibitively expensive, both in terms of computational resources and time, particularly when dealing with a large number of objectives. In practical applications, decision-makers (DMs) will select a single solution of the Pareto front that aligns with their preferences to be implemented; thus, traditional multi-objective algorithms invest a lot of budget sampling solutions that are not interesting for the DM. In this paper, we propose two novel algorithms that employ Gaussian Processes and advanced discretization methods to efficiently locate the most preferred region of the Pareto front in expensive-to-evaluate problems. Our approach involves interacting with the decision-maker to guide the optimization process towards their preferred trade-offs. Our experimental results demonstrate that our proposed algorithms are effective in finding non-dominated solutions that align with the decision-maker's preferences while maintaining computational efficiency.