A novel expected hypervolume improvement algorithm for Lipschitz multi-objective optimisation: Almost Shubert's Algorithm in a special case

Author(s):
Otten, H.J.; Hille, S.C. (0000-0003-0437-6745)
Editor(s):
Emmerich, M.T.M.; Deutz, A.; Sergeyev, Y.; Yevseyeva, I.
Published
2019
Publication type
Article in monograph or in proceedings

Abstract

An algorithm is proposed for multi-objective optimisation of Lipschitz objective functions that each satisfy a Lipschitz condition of which a Lipschitz constant is a priori known. The number of function evaluations is reduced by determining a good next point of evaluation using an Expected Hypervolume Improvement (EHVI) approach. It is closely related to Shubert’s Algorithm for single objective optimisation on one-dimensional decision space, but sampling sequences can be slightly different.

Date issued
2019-02-12
Language
English
Publisher
AIP Publishing
Is part of
AIP Conference Proceedings (2019), No. 1, pt. 2070, p. 020031
hdl
1887/82069
doi
10.1063/1.5089998
URL
https://aip.scitation.org/toc/apc/2070/1?Track=CPPERP2070&dm_i=2FAM%2C1D2ZH%2C92XOJR%2C4GR8L%2C1

Conference

Meeting name
LeGO - 14th International Global Optimization Workshop
Meeting location
Leiden, Netherlands
Meeting date
2018-09-18 - 2018-09-21