Pareto Set Learning for Expensive Multi-Objective Optimization

Part of Advances in Neural Information Processing Systems 35 (NeurIPS 2022) Main Conference Track

Bibtex Paper Supplemental

Authors

Xi Lin, Zhiyuan Yang, Xiaoyuan Zhang, Qingfu Zhang

Abstract

Expensive multi-objective optimization problems can be found in many real-world applications, where their objective function evaluations involve expensive computations or physical experiments. It is desirable to obtain an approximate Pareto front with a limited evaluation budget. Multi-objective Bayesian optimization (MOBO) has been widely used for finding a finite set of Pareto optimal solutions. However, it is well-known that the whole Pareto set is on a continuous manifold and can contain infinite solutions. The structural properties of the Pareto set are not well exploited in existing MOBO methods, and the finite-set approximation may not contain the most preferred solution(s) for decision-makers. This paper develops a novel learning-based method to approximate the whole Pareto set for MOBO, which generalizes the decomposition-based multi-objective optimization algorithm (MOEA/D) from finite populations to models. We design a simple and powerful acquisition search method based on the learned Pareto set, which naturally supports batch evaluation. In addition, with our proposed model, decision-makers can readily explore any trade-off area in the approximate Pareto set for flexible decision-making. This work represents the first attempt to model the Pareto set for expensive multi-objective optimization. Experimental results on different synthetic and real-world problems demonstrate the effectiveness of our proposed method.