Targeting Solutions in Bayesian Multi-Objective Optimization: Sequential and Parallel Versions

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 a certain part of the objective space, we modify the Bayesian multi-objective optimization algorithm which uses Gaussian Processes to maximize the Expected Hypervolume Improvement, to focus the search in the preferred region. The cumulated effects of the Gaussian Processes and the targeting strategy lead to a particularly efficient convergence to the desired part of the Pareto set. To take advantage of parallel computing, a multi-point extension of the targeting criterion is proposed and analyzed.