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!! (PPT) Narsisi 2008 - Multi-Objective Optimization - A Quick Introduction PDF
!! (PPT) Narsisi 2008 - Multi-Objective Optimization - A Quick Introduction PDF
A quick introduction
Giuseppe Narzisi
24 January 2008
Outline
1 Introduction
Motivations
Definition
Notion of optimum
2 Dominance and Pareto-optimality
Ideal, Utopian and Nadir objective vectors
Dominance relation and Properties
3 Pareto-Optimality
Non-dominated set
Globally and Locally Pareto-optimal sets
4 Procedure for Finding a Non-Dominated Set
Motivation
Three different approaches
Non-dominated sorting of a Population
5 Optimality Conditions
Motivation
Definition
A function f : Rn → R is a convex function if for any two pair of
solutions x1 , x2 ∈ Rn , the following condition is true:
for all 0 ≤ λ ≤ 1
Definition
The m-th component of the ideal objective vector z∗ is the
constrained minimum of the following problem:
min fm (x)
(3)
subject to x ∈ S
Definition
The m-th component of the nadir objective vector znad is the
constrained maximum of the following problem:
max fm (x)
(5)
subject to x ∈ P
fi − zi∗
finorm = (6)
zinad − zi∗
Ideal, Utopian and Nadir objective vectors
max max
(f1 ,f2 ) w
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Feasible space
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nad z
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z*
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*
2z
z **
f2
Dominance Relation
Definition
A solution x1 is said to dominate another solution x2 , and we
write x1 x2 , if both the following conditions are true:
1 The solution x1 is no worse than x2 in all objectives.
2 The solution x1 is strictly better than x2 in at least one
objective.
fi (x1 ) ≤ fi (x2 ) ∀i ∈ 1, . . . , M
x1 x2 iff (7)
∃j ∈ 1, . . . , M fj (x1 ) < fj (x2 )
R EFLEXIVE
The dominance relation is not reflexive since any solution x
does not dominate itself (by definition of dominance).
S YMMETRIC
The dominance relation is not symmetric because x y
does not imply y x. In fact the opposite is true, if x y
then y x
A NTISYMMETRIC
Since the dominance relation is not symmetric it cannot be
antisymmetric as well.
T RANSITIVE
The dominance relation is transitive. If x y and y z than
x z.
Dominance Relation
Transitivity
fi (x) ≤ fi (y) ∀i ∈ 1, . . . , M
x y iff (8)
∃j ∈ 1, . . . , M fj (x) < fj (y)
fi (y) ≤ fi (z) ∀i ∈ 1, . . . , M
y z iff (9)
∃k ∈ 1, . . . , M fk (y) < fk (z)
xz
fi (x) ≤ fi (y) ≤ fi (z) ∀i ∈ 1, . . . , M
∃l ∈ 1, . . . , M fl (x) < fl (z)
if k = j then fj (x) < fj (y) < fj (z)
if k 6= j then
if we chose j: fj (x) < fj (y) ≤ fj (z)
if we chose k : fk (x) ≤ fk (y) < fk (z)
Dominance Relation
More properties
Like there are global and local optimal solutions in the case of
single-objective optimization we can define global and local
Pareto-optimal sets.
When the set P is the entire search space (P = S) then the
resulting non-dominated set P 0 is called Pareto-Optimal set.
f2
Locally Pareto−optimal set
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Globally Pareto−optimal set
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f1 x1
Strong dominance & Weak Pareto-Optimality
Front(P)
1. Sort1 (P) It can be shown that the
2. if (|P| = 1) complexity of this approach is
3. then return(P)
4. else
O(N(logN)M−2 ) for M ≥ 4 and
5. T := Front([P1 , Pb|P|/2c ]) O(NlogN) for M = 2, 3, where
6. B := Front([Pb|P|/2c+1 , P|P| ]) N = |P|.
7. i := 1, M :=
8. while (i ≤ |B|) The details of the complexity
9. j := 1 calculation can be found in:
10. while (j ≤ |T |)
11. if (xj xi )
Kung et al. [2].
12. then j := j + 1
13. else continue
14. end_while
15. if (j = |T |) M := M ∪ {i}
16. i := i + 1
17. end_while
18. return(T ∪ M)
Non-dominated sorting of a Population
Non-Dominated Sorting
1. for j = 1, 2, . . . Some algorithms require to the
2. Pj = population to be classified into
4. end_for
3. j := 1
several levels of non-domination.
5. while (P = 6 ) Complexity? The sum of the
6. P 0 := NDS(P)
7. Pj := P 0
individual complexities involved in
8. P := P \ P 0 identifying each non-dominated set.
9. j := j + 1
|P| decreases after each
10.end_while
11.return(Pi , i = 1, 2, . . . , j) non-dominated set computation
For practical purpose the complexity
is governed by the procedure for
identifying the first non-dominated
set.
An O(MN 2 ) non-dominated sorting procedure
Non-Dominated Sorting
1. for i = 1, 2, . . . , |P| For each solution we compute two
2. ni := 0 entities:
3. Si :=
4. for j = 1, 2, . . . , |P| domination count ni : the number of
5. if (xi xj )&(j 6= i) solutions that dominate xi .
6. Si := Si ∪ {j}
7. else if (xj xi ) Si : the set of solutions which
8. ni := ni + 1 solution i dominates.
9. end_for
10. if (ni = 0) Complexity is O(MN 2 ):
11. P1 := P1 ∪ {i} O(MN 2 ) for computing ni and Si
12. end_for
13. k := 1 O(N 2 ) for computing all the fronts
14. while (Pk 6= ) Pk , k = 1, 2, . . . (non-domination
15. Q := levels).
16. for each i ∈ Pk Note that each solution will be visited at most N − 1 times
17. for each j ∈ Si before its domination count become zero and will never be
18. nj := nj − 1 visited again. There are at most N − 1 such solutions.
19. if (nj = 0) Q := Q ∪ {j}
20. end_for
Even if the time complexity is
21. end_for reduced to O(MN 2 ) the storage has
22. k := k + 1
23. Pk := Q been increased to O(N 2 ).
24. end_while
Karush-Kuhn-Tucker Theorem for MOOPs
necessary conditions
Theorem
A necessary condition for a solution x∗ to be Pareto-optimal is
that there exist vectors λ > 0 and u ≥ 0 where (λ ∈ RM , u ∈ RJ
and λ, u 6= 0) such that the following conditions are true:
PM ∗
PJ
m=1 λm 5 fm (x ) − j=1 uj 5 gj (x∗ ) = 0, and
∗ (10)
uj gj (x ) = 0, ∀j = 1, 2, . . . , j
Kalyanmoy Deb
Multi-Objective Optimization Using Evolutionary
Algorithms.
John Wiley & Sons, Inc, New York, NY, USA, 2001.
Kung, H. T., Luccio, F., and Preparata, F. P. 1975.
On Finding the Maxima of a Set of Vectors.
J. ACM 22, 4 (Oct. 1975), 469-476.