Parallel Strategies for Direct Multisearch
Direct Multisearch (DMS) is a Derivative-free Optimization class of algorithms suited for computing approximations to the complete Pareto front of a given Multiobjective Optimization problem. It has a well-supported convergence analysis and simple implementations present a good numerical performance, both in academic test sets and in real applications. Recently, this numerical performance was improved with the definition of a search step based on the minimization of quadratic polynomial models, corresponding to the algorithm BoostDMS. In this work, we propose and numerically evaluate the performance of parallelization strategies for this solver, applied to the search and to the poll steps. The final parallelized version not only considerably decreases the computational time required for solving a Multiobjective Optimization problem, but also increases the quality of the computed approximation to the Pareto front. Extensive numerical results will be reported in an academic test set and in a chemical engineering application.