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Model-Agnostic Approaches to Multi-Objective Simultaneous Hyperparameter Tuning and Feature Selection

arXiv.org Machine Learning

Highly non-linear machine learning algorithms have the capacity to handle large, complex datasets. However, the predictive performance of a model usually critically depends on the choice of multiple hyperparameters. Optimizing these (often) constitutes an expensive black-box problem. Model-based optimization is one state-of-the-art method to address this problem. Furthermore, resulting models often lack interpretability, as models usually contain many active features with non-linear effects and higher-order interactions. One model-agnostic way to enhance interpretability is to enforce sparse solutions through feature selection. It is in many applications desirable to forego a small drop in performance for a substantial gain in sparseness, leading to a natural treatment of feature selection as a multi-objective optimization task. Despite the practical relevance of both hyperparameter optimization and feature selection, they are often carried out separately from each other, which is neither efficient, nor does it take possible interactions between hyperparameters and selected features into account. We present, discuss and compare two algorithmically different approaches for joint and multi-objective hyperparameter optimization and feature selection: The first uses multi-objective model-based optimization to tune a feature filter ensemble. The second is an evolutionary NSGA-II-based wrapper-approach to feature selection which incorporates specialized sampling, mutation and recombination operators for the joint decision space of included features and hyperparameter settings. We compare and discuss the approaches on a variety of benchmark tasks. While model-based optimization needs fewer objective evaluations to achieve good performance, it incurs significant overhead compared to the NSGA-II-based approach. The preferred choice depends on the cost of training the ML model on the given data.


A Computational Study of Genetic Crossover Operators for Multi-Objective Vehicle Routing Problem with Soft Time Windows

arXiv.org Artificial Intelligence

The article describes an investigation of the effectiveness of genetic algorithms for multi-objective combinatorial optimization (MOCO) by presenting an application for the vehicle routing problem with soft time windows. The work is motivated by the question, if and how the problem structure influences the effectiveness of different configurations of the genetic algorithm. Computational results are presented for different classes of vehicle routing problems, varying in their coverage with time windows, time window size, distribution and number of customers. The results are compared with a simple, but effective local search approach for multi-objective combinatorial optimization problems.


An Ontology of Preference-Based Multiobjective Metaheuristics

arXiv.org Artificial Intelligence

User preference integration is of great importance in multi-objective optimization, in particular in many objective optimization. Preferences have long been considered in traditional multicriteria decision making (MCDM) which is based on mathematical programming. Recently, it is integrated in multi-objective metaheuristics (MOMH), resulting in focus on preferred parts of the Pareto front instead of the whole Pareto front. The number of publications on preference-based multi-objective metaheuristics has increased rapidly over the past decades. There already exist various preference handling methods and MOMH methods, which have been combined in diverse ways. This article proposes to use the Web Ontology Language (OWL) to model and systematize the results developed in this field. A review of the existing work is provided, based on which an ontology is built and instantiated with state-of-the-art results. The OWL ontology is made public and open to future extension. Moreover, the usage of the ontology is exemplified for different use-cases, including querying for methods that match an engineering application, bibliometric analysis, checking existence of combinations of preference models and MOMH techniques, and discovering opportunities for new research and open research questions.


Multi-node environment strategy for Parallel Deterministic Multi-Objective Fractal Decomposition

arXiv.org Artificial Intelligence

This paper deals with these problems by using a new decomposition-based algorithm called: "Fractal geometric decomposition base algorithm" (FDA). It is a deterministic metaheuristic developed to solve large-scale continuous optimization problems [5]. It can be noticed, that we call large scale problems those having the dimension greater than 1000. In this research, we are interested in using FDA to deal with MOPs because in the literature decomposition based algorithms have been with more less success applied to solve these problems, their main problem is related to their complexity. In this work, the goal is to deal with this complexity problem by keeping the same level of efficiency. FDA is based on "divide-and-conquer" paradigm where the sub-regions are hyperspheres rather than hypercubes on classical approaches. In order to identify the Pareto optimal solutions, we propose to extend FDA using the scalarization approach. We called the proposed algorithm Mo-FDA.


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

arXiv.org Machine Learning

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.