Evolutionary Multi-Objective

Optimization (E MOO) & Soft Computing
Quality Q(x)
T
h
r
o
u
g
h
p
u
t



T
(
x
)
Pareto frontier
x
Quality Q(x)
T
h
r
o
u
g
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p
u
t



T
(
x
)
Pareto frontier
x
c
Uniform Sampling of x
Sampling of x driven from EAs
E +
=
MOO
Piero P. Bonissone
GE Global Research
2
© Copyright 2004 by Piero P. Bonissone
Outline
• Soft Computing Overview
- SC Components: PR, FL, NN, EA
• Modeling with FL and EA
- FL: Interpolative Reasoning
- EA: Randomized Search
• Multi-Objective Optimization (MOO)
- Definition, Characterisitcs, Quality Metrics
- One-Shot Decision =
» A priori : (Aggregation + Search) or
» A posteriori : (Search + Aggregation)
- Progressive Decision = {Search, Aggregation, Visualization}
• Aggregation and Visualization
• Search: Evolutionary MOO = EMOO
- Family of EMOOs
- Example of MSEA for Flexible Mfg. Optimization
• Issues and Conclusions
3
© Copyright 2004 by Piero P. Bonissone
Outline
• Soft Computing Overview
- SC Components: … EA
• Modeling with FL and EA
- FL: Interpolative Reasoning
- EA: Randomized Search
• Multi-Objective Optimization (MOO)
- Definition, Characterisitcs, Quality Metrics
- One-Shot Decision =
» A priori : (Aggregation + Search) or
» A posteriori : (Search + Aggregation)
- Progressive Decision = {Search, Aggregation, Visualization}
• Aggregation and Visualization
• Search: Evolutionary MOO = EMOO
- Family of EMOOs
- Example of MSEA for Flexible Mfg. Optimization
• Issues and Conclusions
4
© Copyright 2004 by Piero P. Bonissone
Soft Computing: Hybrid EA Systems
Probabilistic
Models
Multivalued &
Fuzzy Logics
Neural
Networks
Evolutionary
Algorithms
Approximate
Reasoning
Functional Approximation/
Randomized Search
Example of Genetic Algorithms
10010110
01100010
10100100
10011001
01111101
. . .
. . .
. . .
. . .
Current
generation
10010110
01100010
10100100
10011101
01111001
. . .
. . .
. . .
. . .
Next
generation
Selection Crossover Mutation
Elitism
Evolution
Strategies
Evolutionary
Programs
Genetic
Progr.
Genetic
Algorithms
(Bonissone et al, 1999)
5
© Copyright 2004 by Piero P. Bonissone
Outline
• Soft Computing Overview
- SC Components: PR, FL, NN, EA
• Modeling with FL and EA
- FL: Interpolative Reasoning
- EA: Randomized Search
• Multi-Objective Optimization (MOO)
- Definition, Characterisitcs, Quality Metrics
- One-Shot Decision =
» A priori : (Aggregation + Search) or
» A posteriori : (Search + Aggregation)
- Progressive Decision = {Search, Aggregation, Visualization}
• Aggregation and Visualization
• Search: Evolutionary MOO = EMOO
- Family of EMOOs
- Example of MSEA for Flexible Mfg. Optimization
• Issues and Conclusions
6
© Copyright 2004 by Piero P. Bonissone
Soft Computing: EA Systems
Probabilistic
Models
Multivalued &
Fuzzy Logics
Neural
Networks
Evolution
Strategies
Evolutionary
Programs
Genetic
Progr.
Genetic
Algorithms
Evolutionary
Algorithms
Approximate
Reasoning
Functional Approximation/
Randomized Search
-The structure of the model is the
representation of an individual in the
population (e.g., binary string, vector,
parse tree, Finite State Machine).
-The parameters of the model are the
Population Size, Probability of Mutation,
Prob. of Recombination, Generation
Gap, etc.
-The search method is a global search
based on maximization of population
fitness function
7
© Copyright 2004 by Piero P. Bonissone
Soft Computing: EA Systems
Probabilistic
Models
Multivalued &
Fuzzy Logics
Neural
Networks
Evolution
Strategies
Evolutionary
Programs
Genetic
Progr.
Genetic
Algorithms
Evolutionary
Algorithms
Approximate
Reasoning
Functional Approximation/
Randomized Search
x[t + 1] = s(v(x[t]))
• Most Evolutionary Algorithms
(EAs) can be described by:
- x[t] : the population at time t
under representation x
- v : is the variation operator(s)
- s : is the selection operator
8
© Copyright 2004 by Piero P. Bonissone
• Example: Find the maximum of the function z(x,y)
z = f(x, y) = 3*(1-x)^2*exp(-(x^2) - (y+1)^2) - 10*(x/5 - x^3 - y^5)*exp(-x^2-y^2) -1/3*exp(-(x+1)^2 - y^2).
Evolutionary Algorithms: Scalar-Valued
Fitness Function Optimization
9
© Copyright 2004 by Piero P. Bonissone
• We start from a randomly initialized population that provides a
random sampling of the solution space
• By evolving the individuals in the next generations, we create a
bias in the sampling and over-sample the best region(s) getting
“close” to the optimal point
Initial population (Gen 0)
After 10th generation
Evolutionary Algorithms: Scalar-Valued
Fitness Function Optimization (cont.)
10
© Copyright 2004 by Piero P. Bonissone
EA’s Performance Metrics
• Convergence can be measured by ratios, such as: Best/Average
Best: Monotonically non-decreasing (with elitist strategies)
Average: Improves over time

+ = =

=
n
i j i
Length Genome
ij
d
n n
GD
1 , 1
) 1 (
2
where dij is the Hamming Distance
GD range is [0, 1]
• Diversity can be measured by Hamming distance in genotypic space
Relatively Easy to Search & Measure in One Dimension !
11
© Copyright 2004 by Piero P. Bonissone
TIME
COST
Walking
By bicycle
By car
By plane
Walking the bike
(
¸
(

¸


(
¸
(

¸

e bike walking th
bike the walking
walking
walking
C
T
C
T

The Problem arises when we have multiple Objectives!
Simple Example: Two- Objectives Transportation Problem:
Minimize Cost and Time to go from Location A to B
• Partial Order instead of Complete Order
• Pareto Dominance (Weak, Strong)
• Metrics to evaluate and compare solutions
• Stopping Criteria: when are we done looking for solutions?
12
© Copyright 2004 by Piero P. Bonissone
Evolutionary Multi-Objective Optimization
(EMOO): Vector-Valued Fitness Function
• There is no longer one optimal point, but an infinite number of
Non-Dominated points that form the Pareto Frontier
- Example:
Identify the Pareto frontier for the problem [Max Q(x), Max T(x)]
x : Decision vector
Quality Q(x)
T
h
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u
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T
(
x
)
Pareto frontier
Non-Dominated Solution
(Point on Pareto frontier)
Dominated Solution
(Interior point)
13
© Copyright 2004 by Piero P. Bonissone
Evolutionary Multi-Objective Optimization
(EMOO) Cont.
• We start from a randomly initialized population that provides a
random sampling of the solution space
• By evolving the individuals in the next generations, we create a
bias in the sampling and over-sample the non-dominated
solutions, thus getting “close” to the true Pareto Frontier
Quality Q(x)
T
h
r
o
u
g
h
p
u
t



T
(
x
)
Pareto frontier
x
Quality Q(x)
T
h
r
o
u
g
h
p
u
t



T
(
x
)
Pareto frontier
x
c
Uniform Sampling of x
Sampling of x driven from EAs
14
© Copyright 2004 by Piero P. Bonissone
Outline
• Soft Computing Overview
- SC Components: PR, FL, NN, EA
• Modeling with FL and EA
- FL: Interpolative Reasoning
- EA: Randomized Search
• Multi-Objective Optimization (MOO)
- Definition, Characterisitcs, Quality Metrics
- One-Shot Decision =
» A priori : (Aggregation + Search)
» A posteriori : (Search + Aggregation)
- Progressive Decision = {Search, Aggregation, Visualization}
• Aggregation and Visualization
• Search: Evolutionary MOO = EMOO
- Family of EMOOs
- Example of MSEA for Flexible Mfg. Optimization
• Issues and Conclusions
15
© Copyright 2004 by Piero P. Bonissone
Multi Objective Optimization (MOO)
) (
1
x f
r
{ } S x that such x f x f x f Minimize
k

r r r r
) ( ),..., ( ), (
2 1
Performance
Set Z
Pareto
Frontier
PF
) (
2
x f
r
2
x
3
x
1
x
Feasibility Set S
BIG
(
¸
(

¸

=
) (
) (
2
1
x f
x f
F
r
r
r
a induces operator " " Now the
) 1 (unless a e longer hav no We
dering partial or
k rdering complete o

=
n PF =
k F =
16
© Copyright 2004 by Piero P. Bonissone
Multi-Objective Optimization
(MOO Characteristics)
• The decision maker (DM) needs to search for the the most
suitable solutions, while evaluating and aggregating
his/her preferences over multiple criteria.
• These objectives cannot all be satisfied simultaneously
• Therefore there is no best solution, only non-dominated ones.
• Tradeoff decisions must be taken before, during, or after
the search
• Major Componentsof the MOO Process:
• Evaluation: We should be able to evaluate different
solutions along their objectives
• Visualization: We should be able to visualize preference
tradeoff spaces and Pareto surfaces.
17
© Copyright 2004 by Piero P. Bonissone
Multi-Objective Optimization (MOO)
• Real-world problems are characterized by multiple measures
of performance, which need to be optimized, or at least
satisfied simultaneously.
• Objectives and constraints are expressed by equalities and
inequalities
• Example of MOO Problems
Rebalancing Portfolios :
- Maximize Return,
- Minimize Risk (sigma),
- Minimize Catastrophic risk (VAR)
- Maximize Stability,
- Minimize Portfolio Change
Design of turbine engines:
- Maximize fuel efficiency,
- Minimize cost,
- Minimize manufacturing time
- Maximize reliability, etc.
Troop Employment Plan:
- Minimize friendly casualties,
- Minimize deployment time,
- Maximize controlled area,
- Maximize enemy’s losses, etc.
Network Configuration Design:
- Maximize Quality of Service
- Minimize Latency
- Minimize cost
- Minimize Vulnerability, etc.
18
© Copyright 2004 by Piero P. Bonissone
Quality Metrics for (Evolutionary)
Multi-Objective Optimization - (E) MOO
• There are many quality metrics for (E) MOO.
- When we know the true Pareto Frontier (PF
True
)
» usually in analytical defined problems used for benchmarking
- When we only know the found non-Dominated distribution (PF
Known
)
» usually in most real-world problems
- When we want to compare two non-Dominated distributions found
by different methods (PF
Known1
and PF
Known2
)
Two Goals:
1) Find solutions closed to PF
True
2) Find solutions as diverse as possible along PF
True
Ideal Situation
) (
2
x f
r
) (
1
x f
r
First Goal
Second Goal
PF
True
) (
2
x f
r
) (
1
x f
r
Good Convergence
Poor Distribution
) (
2
x f
r
) (
1
x f
r
Poor Convergence
Good Distribution
) (
2
x f
r
) (
1
x f
r
(Deb 2002)
19
© Copyright 2004 by Piero P. Bonissone
• There are many quality metrics for (E) MOO.
- When we know the true Pareto Frontier (PF
True
)
» usually in analytical defined problems used for benchmarking
- When we only know the found non-Dominated distribution (PF
Known
)
» usually in most real-world problems
- When we want to compare two non-Dominated distributions found
by different methods (PF
Known1
and PF
Known2
)
1) We can test each distribution (for diversity or spread)
2) We can compare two different distributions (for dominance)
(Deb 2002)
Good Distribution
But did it converge?
) (
2
x f
r
) (
1
x f
r
A
Poor Distribution
Same Convergence than A
) (
2
x f
r
) (
1
x f
r
B
Good Distribution
Not as good Convergence as A
) (
2
x f
r
) (
1
x f
r
C
Quality Metrics for (Evolutionary)
Multi-Objective Optimization - (E) MOO
20
© Copyright 2004 by Piero P. Bonissone
Quality Metrics for (Evolutionary)
Multi-Objective Optimization - (E) MOO
• There are many quality metrics for (E) MOO.
- When we know the true Pareto Frontier (PF
True
)
» usually in analytical defined problems used for benchmarking
- When we only know the found non-Dominated distribution (PF
Known
)
» usually in most real-world problems
- When we want to compare two non-Dominated distributions found
by different methods (PF
Known1
and PF
Known2
)
Two Distributions A ( ) and B ( )
Difficult to compare
) (
2
x f
r
) (
1
x f
r
(Deb 2002)
) (
2
x f
r
) (
1
x f
r
A better than B
21
© Copyright 2004 by Piero P. Bonissone
Quality Metrics for (E)MOO: If we only know PF
Known
• Spacing (S)
Spread of vectors throughout PF
Known
• Progress Measure (P)
Relative Convergence from Gen 0 to T
• Overall Non-Dominated Vector Generation (ONVG)
• Two Set Coverage (CS)
Percentage of solutions in B that are weakly dominated by
solutions in A. Note that C(A,B) ≠ 1- C(B,A)
• HyperVolume (HV)
Volume (in the objective space)
covered by Q
( )
i
j i j i
i
n
i
i
d all of average d and
n j i x f x f x f x f d where
d d
n
S

,... 2 , 1 , , ) ( ) ( ) ( ) ( min
) (
1
1

`
2 2
`
1 1
1
2
=
= − + − =


=

=
r r r r
Known
PF ONVG =
) (
) 0 (
ln
max
max
T f
f
P =
B
b a A a B b
B A C
} : | {
) , (
p ∈ ∃ ∈
=
~
( )
i
Q
i i
v volume Q HV
=
∪ = ) (
) (
2
x f
r
) (
1
x f
r
22
© Copyright 2004 by Piero P. Bonissone
Quality Metrics for (E)MOO: If we Know PF
True
• Error Ratio (ER):
Percentage of PF
Known
that are NOT on PF
True
• Generational Distance (GD)
Average of how far
PF
Known
is from PF
True
• Maximum Pareto Front Error (ME)
Maximum error between PF
Known
& PF
True
• Relative Progress Measure (RP)
Relative Convergence from Gen 1 to T
• Overall Non-Dominated Vector Generation Ratio (ONVGR)
¹
´
¦

= =

=
otherwise 1
PF vector if 0
where
TRUE
1
i
e
n
e
ER
i
n
i
i
( )
TRUE
/ 1
1
PF of t member and neares ector between v distance where

i d
n
d
GD
i
p
n
i
p
i
=
=

=
( )
True 2
Known 1
/ 1
`
2 2
`
1 1
PF of or index vect the s ,... 2 , 1
PF of or index vect the s ,... 2 , 1
) ( ) ( ) ( ) ( min max
i n j
i n i
x f x f x f x f ME
p
p
j i
p
j i
i j
=
=
− + − =
r r r r
T
GD
GD
RP
1
ln =
True
Known
PF
PF
ONVGR =
• HyperVolume Ratio (HVR)
) (
) (
True
PF HV
Q HV
HVR =
23
© Copyright 2004 by Piero P. Bonissone
The Role of Preferences in the
Multi-Objective Optimization Process
Preferences Elicitation
• Not Elicited
• A Priori:
• Lexicographic Order
• Value Functions (Linear or Non-Linear)
• A Posteriori
• Independent Sampling
• Cooperative Search
• Hybrid Selection
• Progressive (Iterative)
• Interactive
24
© Copyright 2004 by Piero P. Bonissone
Multi-Objective Optimization Process
Without Leveraging Preferences
No Preference:
The DM is not providing any preference, so we use
distances from an ideal point z* in the n-dimensional
space to guide the search.
Global Criterion (GC)
(Yu, 1973; Zeleny, 1973)
Multi-Objective Proximal Bundle (MPB)
(Miettinen & Makela 1993)
• Comments on GC
• No real tradeoff as preferences are not recorded
• Simple approach to find only one point-solution
• Different point-solutions for different norms (p=1, 2, inf)
• Objectives f
i
should be normalized
S x to subject
z x f Min
p
k
i
p
i i

|
.
|

\
|


=
r
r

) (
/ 1
1
*
25
© Copyright 2004 by Piero P. Bonissone
Example of Global Criterion (GC) Method
) (
1
x f
r
) (
2
x f
r
Ideal Point
Performance Set (Z)
P=1
P=2
P=inf
26
© Copyright 2004 by Piero P. Bonissone
We need to define:
• A search method driven by the objective functions,
• A multi-criteria tradeoff policy, and
• An order for this optimization process.
We can distinguish among three cases:
MOO Process with Preferences
Case 1: A priori = Aggregate + Search
Handbook of Evolutionary Computation
1) Make multi-objective aggregation before search.
- Reduces the dimensionality of the problem by adding ordering
information
- However, it needs to anticipate all tradeoffs
DM
1
2
One
Dimensional
Search
Fitness
Function
Aggregation
27
© Copyright 2004 by Piero P. Bonissone
• Aggregation
- Ordinal Preferences
» Lexicographic Ordering (Fishburn 1974; Rao, 1984; Sarma 1993)
– Objective functions f
i
are sorted in decreasing order of importance. The optimum
solution is obtained by optimizing the most important function first, and then
proceeding according to the priority order
- Cardinal Preferences (Value Functions)
» Linear Combinations
– A weight vector captures the relative (normalized) importance of each objective.
A sum is used to combine the weighted objectives
» Nonlinear Combinations
– Multiplicative
– Goal Programming
– Min-max
• Search
- Any kind on one-dimensional search (local or global)
MOO Case 1: A priori = Aggregate + Search
(Global Aggregation + Scalar-Valued Fitness Function)
S x to subject
x f x f x f Minimize Lex
k

r
r r r

) ( ... ), ( ), (
2 1
objective i for the Goal Target the is
) (
th
1
1
i
k
i
i
T where
S x to subject T x f Min ∈ −

=
r r
S x to subject x f w Min F Min
k
i
i i
∈ =

=
r r
) (
1
28
© Copyright 2004 by Piero P. Bonissone
• All objectives f
i
are aggregated using a linear function based on a vector of
weights (tangent) that represent the linear tradeoff policy
• Total commitment is made before the Pareto Surface has been explored
• Usually Weights Semantics are poorly interpreted:
- Relative importance versus rates of tradeoff exchange
• It considers only one design option (one tradeoff point on Pareto Frontier) and
optimize around it - Other options are not considered. Example:
- Max {Q(x), T(x)} - given that T(x) is twice as important as Q(x), i.e.: T(x) = 2Q(x)
MOO Case 1: Aggregate + Search
(Linear Combination + Scalar-Valued Fitness Function)
0
2
4
6
8
10
0 10 20 30 40
0
2
4
6
8
10
0 10 20 30 40
Quality Q(x)
T
h
r
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u
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T
(
x
)
Pareto Frontier
NOT Explored
Line T(x) = 2Q(x)
The line: T(x) = 2Q(x)
corresponds to the Weight
Vector W: [1 , 2], when we
use the scalar fitness
function F:
F = W * [Q(x), T(x)]
F = [1, 2] * [Q(x), T(x)]
F = Q(x) + 2*T(x)
F = [1, 2] * [Q(x), T(x)] = K
) ( max *) ( x F x F
x
r r
r
=
) ( ) ( ) ( ) (
1 1 1
1
x T w x Q w x f w x F
i
N
i
i
r r r r
+ = =

=
29
© Copyright 2004 by Piero P. Bonissone
MOO Process with Preferences
Case 2: A posteriori = Search + Aggregate
2) Perform search before multi-objective aggregation.
- Postpones tradeoffs until large numbers of inferior, dominated
solutions are eliminated and the Pareto Frontier is generated.
- Only one final tradeoff
High
Dimensional
Search
Final
Aggregation
DM
1
2
We need to define:
• A search method driven by the objective functions,
• A multi-criteria tradeoff policy, and
• An order for this optimization process.
We can distinguish among three cases:
1) Make multi-objective aggregation before search.
30
© Copyright 2004 by Piero P. Bonissone
• Search
• Independent Sampling
• Use multiple single-criterion searches
• Each search oiptimizes different objective aggregations
• Weights assigned to each objective are independently varied
• Examples
MOO Case 2: A Posteriori = Search + Aggregate
(Vector-Valued Fitness Function + Global Aggregation)
PRO
+ Relative simplicity of
implementation
+ Competive Approximation at
lower computational cost than
Pareto-ranking approaches –
when PF is CONVEX
CON
- Number of runs increases
combinatorial with # objectives
- Not capable of discovering all
solutions in non-convex Pareto
Fronts
31
© Copyright 2004 by Piero P. Bonissone
• Search
• Independent Sampling
• Cooperative Search
• Criterion Selection
• k subpopulation of size PopSize/k are generated and evolved
based on separate objective functions
• e.g.: VEGA (Vector Evaluated GA) (Shaffer & Grefenstette 1985)
Nash GA
MOO Case 2: A Posteriori = Search + Aggregate
(Vector-Valued Fitness Function + Global Aggregation)
PRO
+ Relative simplicity of
implementation
+ Useful in constraint-handling
problems
CON
- Equivalent to linear combination of
weights (when using proportional
selection)
- Not capable of discovering all solutions
in non-convex Pareto Fronts
- “Speciation” : sub-population excelling in
only one aspect of fitness
- Difficult to maintain “middlings” (well-
round individual not outstanding in any
specific aspect of fitness)
32
© Copyright 2004 by Piero P. Bonissone
• Search
• Independent Sampling
• Cooperative Search
• Criterion Selection
• Aggregation Selection
• Use multiple single-criterion searches
• Each search oiptimizes different objective aggregations
• Weights are assigned to each objective randomly, or as a function
of solution being evaluated or evolved via chromosome encoding
• e.g.: RWGA: Random Weights GA (Ishibushi & Murata, 1998)
VOW-GA: Variable Objective Weighting GA (Hajela & Lin 1992)
MOO Case 2: A Posteriori = Search + Aggregate
(Vector-Valued Fitness Function + Global Aggregation)
PRO
+ Relative simplicity of
implementation
+ Useful in constraint-handling
problems
CON
- Not capable of discovering all solutions
in non-convex Pareto Fronts
33
© Copyright 2004 by Piero P. Bonissone
• Search
• Independent Sampling
• Cooperative Search
• Criterion Selection
• Aggregation Selection
• Pareto-Based Selection
Selection derived via Pareto-Ranking
• Ranking:
MOGA: Multiobjective Optimization GA (Fonseca & Fleming 1994)
• Ranking and Niching:
NPGA: Niched Pareto GA (Horn, Nafpiolitis, Goldberg, 1994);
NSGA: Non Dominated Sorting GA (Srinivas & Deb, 1995)
• Demes (Island model + topology that constraints migration/comm.)
• Elitist
Micro-GA (Coello Coello, Toscano, Pulido, 2001);
PAES (Knowles and Corne, 2000)
MOO Case 2: A Posteriori = Search + Aggregate
(Vector-Valued Fitness Function + Global Aggregation)
34
© Copyright 2004 by Piero P. Bonissone
• Search
• Independent Sampling
• Cooperative Search
• Criterion Selection
• Aggregation Selection
• Pareto Selection
• Hybrid Selection
• Population selected two or more cooperative search techniques
MOO Case 2: A Posteriori = Search + Aggregate
(Vector-Valued Fitness Function + Global Aggregation)
35
© Copyright 2004 by Piero P. Bonissone
• Search
• Independent Sampling
• Cooperative Search
• Criterion Selection
• Aggregation Selection
• Pareto Selection
• Hybrid Selection
• Aggregation
• Linear Combination of Weights
ε-Constraint Method (or Tradeoff Method)
One objective function is selected to be optimized and all others are
converted into constraints by setting an upper bound ε
ι
to each of them.
MOO Case 2: A Posteriori = Search + Aggregate
(Vector-Valued Fitness Function + Global Aggregation)
i w i w where
S x to subject x f w Min F Min
i i
k
i
i i
one least at for 0 and all for 0
) (
1
> ≥
∈ =

=
r r
S x i j ,..., k j x f to subject
x f Min
j j
i
∈ ≠ = ≤
r r
r
and and 1 ) (
) (
ε
36
© Copyright 2004 by Piero P. Bonissone
Quality
Throughput
Weight-based Aggregation
• Linear, context independent tradeoff
• Not natural to elicit or interpret - Easy to modify
• Different Weight Vectors for different policies
) ( *
1
x f w F
n
i
i i
r

=
=
• Generate N-dimensional
Pareto Surface
• Total Commitment is made
after the Pareto Surface is
explored
• However, it is still very
difficult to make a
complete aggregation
(unless we are in 2-D, i.e.):
N dimensions -> 1
• Global Aggregations are
typically implemented with
weight vector W=[w
1
, …, w
n
]
MOO Case 2: Search + Aggregate
(Vector-Valued Fitness Function + Global Aggregation )
37
© Copyright 2004 by Piero P. Bonissone
We need to define:
• A search method driven by the objective functions,
• A multi-criteria tradeoff policy, and
• An order for this optimization process.
We can distinguish among three cases:
1) Make multi-objective aggregation before search.
2) Perform search before multi-objective aggregation
3) Iteratively integrate search and multi-objective aggregation.
- Start with a multi-criteria search that provides the DM with a
preliminary idea of possible tradeoffs.
- DM makes some multi-criteria decision, reducing search space
- A new search is performed in this region of the solution space
For all cases, we need to address elicitation, representation, and computational issues
High
Dimensional
Search
Partial
Aggregation
DM
Lower
Dimensional
Search/Filter
1
4
3 2
Our
Proposal
MOO Process with Preferences
Case 3: Iterative {Search, Aggregate}
(Vector-valued Fitness Function + Partial Aggreg. + Visualization)
38
© Copyright 2004 by Piero P. Bonissone
Example of Multi-Objective Optimization - Case 3
High
Dimensional
Search
Partial
KB-based
Aggregation
Lower
Dimensional
Search/Filter
X: Design
Structure
& Parameters
Portfolio
Evaluation:
Y=f(X,E)
Y: PERFORMANCE MEASURES:
Y1: Return
Y2: Sigma
Y3; VAR
Y4: Stability
Y5: Portfolio Change
E: Environment
Visualization
& Interaction
KB
1
2
3
Pareto
Surface
in Y:
6
Accept or
Reject Tradeoff
Final Portfolio Selection
from 2-D aggregated
Pareto Surface
Define
Tradeoff KB
(context dep.)
4 5
7
Decision
Maker
8
EMOO Module
Analysis, Aggregation,
and Decision Module
EMOO
Module or
Dominace
Filter
Evaluation:
Y=f(X,E)
1
39
© Copyright 2004 by Piero P. Bonissone
EMOO Module : Simulation & Evaluation
High
Dimensional
Search
X: Design
Structure
& Parameters
Portfolio
Evaluation:
Y=f(X,E)
Y: PERFORMANCE MEASURES:
Y1: Return
Y2: Sigma
Y3; VAR
Y4: Stability
Y5: Portfolio Change
E: Environment
1
2
EMOO Module
Portfolio Evaluation
• Portfolio instance, characterized by X= [QCIP
1
, …, QCIP
1500
]
• Given Environment (Economic assumptions, Financial assumptions,
Previous Portfolio, User Constraints)
Evaluation of Performance Measures (Y1, …, Y5)
• For each Portfolio instance !Vector Valued fitness function
• For a suite of environments (∆E perturbation to measure robustness)
Performance of Evaluation Module
• Required run-time efficiency (one evaluation per trial)
• If this were an issue:
• Evaluation granularity
• Distributed Evaluation based on
• Portfolio decomposition
• Independent evaluation of different performance measures
1
Pareto
Surface
in Y:
40
© Copyright 2004 by Piero P. Bonissone
EMOO Module : High Dimensional Search
High
Dimensional
Search
X: Design
Structure
& Parameters
Portfolio
Evaluation:
Y=f(X,E)
Y: PERFORMANCE MEASURES:
Y1: Return
Y2: Sigma
Y3; VAR
Y4: Stability
Y5: Portfolio Change
E: Environment
1
2
EMOO Module
Evolutionary Multi-Objective Optimization (EMOO)
• Extension of EA to Multiple Objectives Optimization
• Robust Global Search
• Use of external archive to “harvest” locally non-dominated solutions
Customization of best EMOOs packages for Portfolio Rebalancing problem
• Leverage efficient representation of X=
• {Binary Representation with Lower and Upper Bounds - Natural Encoding}
• Multi-Gender EA vs NSGA-II
• Alternatives (TOGA)
Search Efficiency
2
Pareto
Surface
in Y:
41
© Copyright 2004 by Piero P. Bonissone
Examples of EMOO Algorithms
Using Cooperative Search
• Criterion Selection
» VE-GA: Vector Evaluated GA (Shaffer & Grefenstette 1985)
» Multi-sexual GA (Lis & EIben 1997)
• Aggregation Selection
» RW-GA: Random Weights GA (Ishibushi & Murata, 1998)
» VOW-GA: Variable Objective Weighting GA (Hajela & Lin 1992)
• Pareto Selection
Ranking:
» MO-GA: Multiobjective Optimization GA (Fonseca & Fleming 1994)
Ranking and Niching:
» NPGA: Niched Pareto GA (Horn, Nafpiolitis, Goldberg, 1994);
» NSGA: Non Dominated Sorting GA (Srinivas & Deb, 1995)
» NS-GA -II
Demes:
Island model
Elitist
» Micro-GA (Coello Coello, Toscano, Pulido, 2001);
» PAES (Knowles and Corne, 2000)
42
© Copyright 2004 by Piero P. Bonissone
Outline
• Soft Computing Overview
- SC Components: PR, FL, NN, EA
• Modeling with FL and EA
- FL: Interpolative Reasoning
- EA: Randomized Search
• Multi-Objective Optimization (MOO)
- Definition, Characterisitcs, Quality Metrics
- One-Shot Decision =
» A priori : (Aggregation + Search) or
» A posteriori : (Search + Aggregation)
- Progressive Decision = {Search, Aggregation, Visualization}
• Aggregation and Visualization
• Search: Evolutionary MOO = EMOO
- Family of EMOOs
- Example of MSEA for Flexible Mfg. Optimization
• Issues and Conclusions
43
© Copyright 2004 by Piero P. Bonissone
Analysis, Aggregation, and Decision Module
Partial
KB-based
Aggregation
Visualization
& Interaction
KB
3
Pareto
Surface
in Y:
Accept or
Reject Tradeoff
Final Portfolio Selection
from 2-D aggregated
Pareto Surface
Define
Tradeoff KB
(context dep.)
4 5
7
Decision
Maker
8
Analysis, Aggregation,
and Decision Module
Lower
Dimensional
Y Space
Visualization and Interaction
• Distribution of values on each of the Y space co-ordinates
• Interactive Plots of 2-D projections of Pareto Surface
[total # projections: n(n-1)/2]
• Point-Tagging and filtering capabilities
• Visualization of Tradeoff results
• determine level of commitment induced from aggregation before
accepting it
3
44
© Copyright 2004 by Piero P. Bonissone
Low Time to 60,
Low City MPG
Medium Topspeed,
Low Highway MPG
45
© Copyright 2004 by Piero P. Bonissone
High CityMPG
High Time to 60
Low-Medium
Robustness,
High QoS
46
© Copyright 2004 by Piero P. Bonissone
Interactive
Operations
What happened to these
points in the other dimensions?
47
© Copyright 2004 by Piero P. Bonissone
Analysis, Aggregation, and Decision Module
Partial
KB-based
Aggregation
Visualization
& Interaction
KB
3
Pareto
Surface
in Y:
Accept or
Reject Tradeoff
Final Portfolio Selection
from 2-D aggregated
Pareto Surface
Define
Tradeoff KB
(context dep.)
4 5
7
Decision
Maker
8
Analysis, Aggregation,
and Decision Module
Lower
Dimensional
Y Space
Define Tradeoff KB & Partial KB-Based Aggregation
• Could be context dependent tradeoff policy expressed as Rule bases
• For Conservative, Aggressive
• Implement and Visualize Aggregating Surface
• Modify, Accept or Reject tradeoff policy (i.e., KB)
4
7
5
48
© Copyright 2004 by Piero P. Bonissone
Example of Fuzzy Aggregation of Objective Functions for
Conference Organization
Rules
set
Positive Small High Positive
Positive Large Medium Positive
Negative Small Poor Positive
Positive Small High Zero
Positive Small Medium Zero
Negative Small Poor Zero
Zero High Negative
Zero Medium Negative
Negative Large Poor Negative
Z = Preference Y = Delta Attend.
X = Delta
Surplus
• Preference Elicitation
in “Natural” Language to
express tradeoffs
Term set
Poor Medium
High
small
M
f

f
o
r

S
u
r
p
l
u
s
M
f

f
o
r

S
a
t
t
e
n
d
.
Response Surface:
Preference Aggregation
∆ Attendance
∆ Surplus
49
© Copyright 2004 by Piero P. Bonissone
Example of Two Types of Aggregation to
Obtain Final Selection
Weight-based Aggregation
• Linear, context independent tradeoff
• Not natural to elicit & interpret – Easy to modify
• Different Weight Vectors for different policies
) ( *
1
x f w F
n
i
i i
r

=
=
Fuzzy Rule Based Aggregation
• Non Linear, context dependent tradeoff
• Easy to elicit, interpret, and modify
• Different rule sets for different tradeoff policies
)) ( ),..., ( (
1
x f x f g F
n
r r
=
∆ Attendance
∆ Surplus
∆ Surplus
∆ Attendance
∆ Attendance
∆ Surplus
50
© Copyright 2004 by Piero P. Bonissone
• Aggregated functions are developed incrementally after exploring
Pareto Surfaces
• Each partial aggregation is accepted after visualizing effectsw
• P(X) and E(X) are the compiled aggregation functions that reduce the
problem to a 2D decision space
Partial Aggregation: Compiling KB
) , ( ) (
) , 60 ( ) (
2
1
HwyMPG CityMPG g X E
Speed Top T g X P
=
=
P(X): g
1
(T60, Top Speed)
Performance Aggregation
T60 Top Speed Performance
Fast Slow Med
Fast Med Med-high
Fast Fast High
Med Slow Med-low
Med Med Med
Med Fast Med-high
Slow Slow Low
Slow Med Med-low
Slow Fast Med
51
© Copyright 2004 by Piero P. Bonissone
• Aggregated functions are developed incrementally after exploring
Pareto Surfaces
• Each partial aggregation is accepted after visualizing effects
• P(X) and E(X) are the compiled aggregation functions that reduce the
problem to a 2D decision space
Partial Aggregation: Compiling KB
P(X): g
1
(T60, Top Speed)
Performance Aggregation
E(X): g
2
(City MPG, Highway MPG)
Efficiency Aggregation
) , ( ) (
) , 60 ( ) (
2
1
HwyMPG CityMPG g X E
Speed Top T g X P
=
=
52
© Copyright 2004 by Piero P. Bonissone
Final Selection (training-time & run-time)
Final Selection at Training time
• Compile tradeoff KBs (for each of the two contexts) to use them at run-time
• In a 2D plane with the aggregated criteria as the two axes ;
• Annotate choices (for each of the two contexts)
• Trace resource dependency for each choice (to determine availability)
8
9
Final Selection at Run-time
• Given a context, determine feasible set (given actual resources)
from precompiled configurations
• If feasible set is empty, rerun search with current environment, and use
precompiled KBs for current context to generate feasible set.
• Select among feasible configuration
Partial
KB-based
Aggregation
Visualization
& Interaction
KB
3
Pareto
Surface
in Y:
Accept or
Reject Tradeoff
Final Portfolio Selection
from 2-D aggregated
Pareto Surface
Define
Tradeoff KB
(context dep.)
4 5
7
Decision
Maker
8-9
Analysis, Aggregation,
and Decision Module
Lower
Dimensional
Y Space
53
© Copyright 2004 by Piero P. Bonissone
• If the environment’s dynamics are slow, we can use the pre-computed
solutions, points on a 2D Pareto Surface, as the feasibility set
• In a 2D plane with the aggregated criteria as the two axes ;
• Annotate choices (for each of the two contexts)
• Trace resource dependency for each choice (to determine availability)
Overall Efficiency E(X)
O
v
e
r
a
l
l

P
e
r
f
o
r
m
a
n
c
e


P
(
X
)
Pareto Frontier
Line P(x) = 2E(x)
The line: P(x) = 2E(x)
corresponds to the Weight
Vector W: [1 , 2], when we
use the scalar fitness
function F:
F = W * [P(X), E(X)]
F = [1, 2] * [P(x), E(X)]
F = P(x) + 2*E(x)
) , ( ) (
) , 60 ( ) (
2
1
HwyMPG CityMPG g X E
TopSpeed T g X P
=
=
The final decision could use a linear function, such as the vector W = [ 1, 2]
F = [1, 2] * [Q(x), T(x)] = K
Final Selection (Pre-computed configurations)
54
© Copyright 2004 by Piero P. Bonissone
On the other hand, the final decision could use a nonlinear function,
describing the user risk attitude and final preference
F=g
3
(E,P)
Conservative Final Aggregation
F=g
3
[E(X), P(X)] [“Grand Mother type”]
Aggressive Final Aggregation
F=h
3
[E(X), P(X)] [“Speedy Teenager type”]
F=h
3
(E,P)
Final Selection (Pre-computed configurations)
• If the environment’s dynamics are slow, we can use the pre-computed
solutions, points on a 2D Pareto Surface, as the feasibility set
• In a 2D plane with the aggregated criteria as the two axes ;
• Annotate choices (for each of the two contexts)
• Trace resource dependency for each choice (to determine availability)
55
© Copyright 2004 by Piero P. Bonissone
Final Selection at Run Time
(Pre compiled Nonlinear Aggregation + Runtime Search)
• If feasible set is empty, rerun search with current environment, and use
precompiled KBs for current context to generate feasible set, directly in a
2D or 1D space
• Select among points (configurations) of new feasibility set.
Example of pre-compiled aggregation from 4D to 1D:
F=g
3
[E(X), P(X)] = g
3
[g
1
(T60, TopSpeed), g
2
(Highway MPG, City MPG)]
g
3
g
1
g
2
56
© Copyright 2004 by Piero P. Bonissone
Outline
• Soft Computing Overview
- SC Components: PR, FL, NN, EA
• Modeling with FL and EA
- FL: Interpolative Reasoning
- EA: Randomized Search
• Multi-Objective Optimization (MOO)
- One-Shot Decision =
» A priori : (Aggregation + Search) or
» A posteriori : (Search + Aggregation)
- Progressive Decision = {Search, Aggregation, Visualization}
• Aggregation and Visualization
• Search: Evolutionary MOO = EMOO
- Family of EMOOs
- Example of MSEA for Flexible Mfg. Optimization
• Issues and Conclusions
57
© Copyright 2004 by Piero P. Bonissone
• Generation of Pareto Frontier using EAs
» VOW-GA: Variable Objective Weighting GA (Hajela & Lin 1992)
» RW-GA: Random Weights GA (Ishibushi & Murata, 1998)
» VE-GA: Vector Evaluated GA (Shaffer & Grefenstette 1985)
» MO-GA: Multiobjective Optimization GA (Fonseca & Fleming 1994)
» NP-GA: Niched Pareto GA (Horn, Nafpiolitis, Goldberg, 1994)
» NS-GA: Non Dominated Sorting GA (Srinivas & Deb, 1995)
» MSEA Multi-Sexual EA (Lis & EIben 1997)
• Great opportunity for experimenting with parameter
control for the various algorithms
Example of Evolutionary Multi-Objective
Optimization (EMOO): MSEA
58
© Copyright 2004 by Piero P. Bonissone
• Multi-Gender GA (Lis & EIben 1997)
» A fitness function for each criterion
» Gender-tagged genotypes - a gender for each criterion
» Individuals are evaluated according to the optimization criterion
defined by their gender
» An offspring is created through multi-parent recombination that
requires one parent from each gender.
» The offspring inherits the gender of the parent that contributes the
most genetic information.
» Ties for gender selection are randomly resolved.
– Replace aggregation of multiple fitness functions with aggregation of
multiple genetic material
– Dynamic determination of offspring gender
– Control of genders distribution in population
NEEDS
Multi-Objective Evolutionary Algorithms:
Generating the Pareto Frontier
59
© Copyright 2004 by Piero P. Bonissone
Comparing Classical with Multi-Sexual EAs
Classical EAs MSEA
Each individual is
evaluated in the same
way using the same
fitness function or the
same set of fitness
functions
The individuals with
different sex are
evaluated using
different
fitness functions
(different optimization
criteria)
There is no restriction
on which two (or more)
parents can be used by
crossover operator
The crossover operator
uses the representatives
of all sexes - one from
each sex
No gender
Gender tag associated
with fitness function comp
60
© Copyright 2004 by Piero P. Bonissone
Multi-Sexual Evolutionary Algorithms (MSEA)
Initial
population
Evaluate
individuals
Apply selection
XOver and
Mutation
For N Generations
Create New
Population
Cumulative
Archive
Final
Archive:
Pareto
Surface
61
© Copyright 2004 by Piero P. Bonissone
MSEA Components: Evaluation,
Selection, Crossover
• Individual Evaluation
- Each individual has gender tag
- This gender determines the corresponding fitness function
component is calculated.
- Individuals of each gender are then sorted according to their
fitness function values.
• Selection and Crossover
- For each sex, one individual is chosen, based on linear rank
- If n objectives are used, then n individuals of different sex
are needed to create an offspring
- The selected individuals from each sex are crossed over
using a crossover operator (single, double, uniform)
62
© Copyright 2004 by Piero P. Bonissone
• Mutation
- The bit-flip method (inversion) is applied
- The sex marker remains untouched
MSEAs Components:
Mutation, Archival Process
• Archiving Non-Dominated Solutions
- During each generation, non-dominated solutions are
selected and archived
- After the generations, the continuous archive is pruned of
dominated solutions
- At the end of the evolution the archive contains the sampled
Pareto Surface
63
© Copyright 2004 by Piero P. Bonissone
Issues in MSEA: Gender Assignment
• Needs for Gender Assignment
- It takes n-parents of different genders to generate offspring
- So, it is important to maintain a good balance of the gender
distribution in the population.
- This means deciding how each gender is assigned, and what criteria
we should use for the assignment.
• Original Gender Assignment: Genotypic Approach
- In Lis & Eiben’s work, gender is determined by the amount of genetic
material contributed by each parent.
- The parent that contributed the most determines the gender of the
offspring.
- This approach guarantees that the new generation will have the
same gender distribution as the previous one.
• New Gender Assignment: Phenotypic Approach
- Each gender has a specific corresponding fitness function.
- Gender is determined by the positional ranking generated by each
fitness function.
• Other Gender Assignments: Opposite and Random
64
© Copyright 2004 by Piero P. Bonissone
MSEA Original Gender Assignment
• Genotypic Gender Assignment
10011011
00110112
10010111
00111012
Parent 1
Parent 2
Gender tag
Offspring 1 & 2
Since Parent-1 contributes 4 bits out of 7 to
Offspring-1 (O
1
), then Gender(O
1
) = 1
65
© Copyright 2004 by Piero P. Bonissone
MSEA New Gender Assignment
• Phenotypic Gender Assignment
- Vector valued fitness function F(x):
- Rank Order (RO) of each offspring (O
1
) according to f
1
, f
2
F(x) =
f
1
(x)
f
2
(x)

¸

(
¸
(
RO[ f
1
(O
1
)] = a RO[ f
1
(O
2
)] = c
RO[ f
2
(O
1
)] = b RO[ f
2
(O
2
)] = d
10011011
00110112
1001011
0011101
Parent 1
Parent 2
Gender tag
Offspring 1 & 2
x
y
CASE Gender Assignment
1. (a > b) &(d > c) x =1; y = 2
2. (a < b) &(d < c) x = 2; y =1
3. (a > b) &(d < c) &(a > c) x =1; y = 2
4. (a > b) &(d < c) &(a < c) x = 2; y =1
5. (a < b) &(d > c) &(a > c) x = 2; y =1
6. (a < b) &(d > c) &(a < c) x =1; y = 2
Cases 1 and 2: normal assignment - no conflicts
Cases 3 and 4: Both better in f1 - rank order used to resolve conflict
Cases 5 and 6: Both better in f2 - rank order used to resolve conflict
66
© Copyright 2004 by Piero P. Bonissone
Outline
• Soft Computing Overview
- SC Components: PR, FL, NN, EA
• Modeling with FL and EA
- FL: Interpolative Reasoning
- EA: Randomized Search
• Multi-Objective Optimization (MOO)
- One-Shot Decision =
» A priori : (Aggregation + Search) or
» A posteriori : (Search + Aggregation)
- Progressive Decision = {Search, Aggregation, Visualization}
• Aggregation and Visualization
• Search: Evolutionary MOO = EMOO
- Family of EMOOs
- Example of MSEA for Flexible Mfg. Optimization
• Issues and Conclusions
67
© Copyright 2004 by Piero P. Bonissone
Issues and Conclusions:
-Aggregation
- Visualization
- Search
68
© Copyright 2004 by Piero P. Bonissone
Issues and Conclusions:
Aggregations Operators
- Associativity
» Only intersections operators (T-Norms) and unions operators –
(T-Conorms) are associative
» Linear combinations, averages, or non-linear (rule-based)
operators will NOT be associative
» Therefore the order of aggregation will matter
- Selecting an order of aggregation
» Preservation of Choices (Principle of Least Commitment):
– We should try to use the order that maintains the largest number of
solution points after the partial aggregation (keeping your options
open)
– Complexity: # of aggregation = # of 2D projections = n*(n-1)/2
» Preservation of Semantics (Interpretation of Intermediate Vars.)
– If possible, the initial aggregations should preserve semantics to
enable interpretations of the intermediate variables used in the
cascading aggregations
69
© Copyright 2004 by Piero P. Bonissone
T-norms, Averages, and T-Conorms
0 1
Intersections (T-Norms) Unions (T-Conorms)
x*y x+y-x*y Min(x,y) Max(x,y) Max(0, x+y-1) Min(1, x+y)
Averages
v y u x if v u S y x S
z y x S S z y S x S
x y S y x S
x S x S
x x S x S
x y x S
T
≥ ≥ ≥
=
=
= =
= =

, ) , ( ) , (
) ), , ( ( )) , ( , (
) , ( ) , (
1 ) , 1 ( ) 1 , (
) , 0 ( ) 0 , (
] 1 , 0 [ ] 1 , 0 [ ] 1 , 0 [ : ) , (
s Propertie Conorms -
v y u x if v u T y x T
z y x T T z y T x T
x y T y x T
x x T x T
x T x T
x y x T
T
≤ ≤ ≤
=
=
= =
= =

, ) , ( ) , (
) ), , ( ( )) , ( , (
) , ( ) , (
) , 1 ( ) 1 , (
0 ) , 0 ( ) 0 , (
] 1 , 0 [ ] 1 , 0 [ ] 1 , 0 [ : ) , (
s Propertie Norms -
) ), , ( ( )) , ( , (
) , ( ) , ( ) , (
] 1 , 0 [ ] 1 , 0 [ ] 1 , 0 [ : ) , (
Prop. Functions verage ) (
z y x H H z y H x H
y x Max y x H y x Min
x y x H
A Normalized

≤ ≤

See Aggregation Slides
Aggregations Operators
70
© Copyright 2004 by Piero P. Bonissone
Issues and Conclusions:
Ease of Visualization
- Dimensionality of Performance Space
» 2D Projections of n-dimensional space are feasible up to a point
– when n(n-1)/2 is still a manageable number
- Alternative Visualization methods
» Parallel coordinate plots
http://www.caip.rutgers.edu/~peskin/epriRpt/ParallelCoords.html
- The parallel coordinate view shows that at times t = 1 and t = 2 the airplanes are not going to collide;
- The apparent crossing of the red and green trajectories in the 3 dimensional space view is a graphical artifact.
- However, the crossing of the red and blue trajectories is indicative of a possible collision because at t = 3 the
red and blue lines in the parallel coordinate space show that the two airplanes are very close in physical space.
EXAMPLE
71
© Copyright 2004 by Piero P. Bonissone
Issues and Conclusions: (EMOO) Search
- Requirements:
»Evaluation: Needs to be fast since we need to
computate fitness functions for every trial
»Representation:
– Solution representation needs to be efficient since it
impacts convergence
– Constraints representation
• STATIC: incorporate static constraints into data
structure (e.g., map points)
• DYNAMIC: Use penalties to decrease fitness or use
Repair mechanism to enforce constraints after
variational operators
- Complexity:
»Non-linearity in evaluation functions or constraints –
not an issue with fitness functions
»Non-convex search regions – Explored by
aggressive variational operators
72
© Copyright 2004 by Piero P. Bonissone
PROFIT Focus: EMOO Search
- Current use of EMOS shows very promising
results (see next three slides)
- Other Possible Approaches (for PROFITS)
»Approximate Problem Representation:
– 0/1 knapsack coupled with QCIP Low/Up bounds instead of
real-valued weights
»Other EMOOs using less trial-demanding
Approaches :
– Differential EMOOs - (similar to ES, instead of GA),
– TOGA - (not generating Pareto Front)
73
© Copyright 2004 by Piero P. Bonissone
Example of EMOO Search
Showing 3D Pareto Surface from test data set (|X| =50)
74
© Copyright 2004 by Piero P. Bonissone
Example of EMOO Search (PSEA)
3 Pareto Surface from test data set (|X| =1500)
75
© Copyright 2004 by Piero P. Bonissone
Example of EMOO Search (PSEA)
Compared with SLP on 2D Pareto Surface from
test data set if we have Non-Linear Objectives
76
© Copyright 2004 by Piero P. Bonissone
Work Cited
Bonissone P., Chen, Y-T, Goebel, K, Khedkar, P.(1999). ”Hybrid Soft Computing Systems: Industrial and Commercial
Applications'', Proceedings of the IEEE, 87(9): 1641-1667, September 1999
Bonissone S..R. & Subbu (2002), “Exploring the Pareto Frontier using multisexual algorithms: an application to a
flexible Manufactuirng problem, Proceedings of SPIE, Applications and Science of Neural, Fuzzy Systems, and
Evolutionary Compoutation V, pp 10-22, Seattle, WA.
Coello Coello C, Van Veldhuizen, D. Lamont, G. (2002). Evolutionary Algorithms for Solving Multi-Objective Problems,
Kluwer Academic Press.
Deb K.(2001). Multi-Objective Optimization using Evolutionary Algorithms, J. Wiley, 2001
Fishburn, P.C., (1974), Lexicographic Orders, Utilities, and Decision Rules, A survey, Management Science,
20(11):1442-1471
Lis & EIben (1997). “ A multisexual Genetic Algorithm for Multiobjective Optimization, Proceedings ICEC’97, pp. 59-64.
Subbu R., Sanderson, A., and Bonissone P. (1998) Fuzzy Logic Controlled Genetic Algorithms versus Tuned Genetic
Algorithms: An Agile Manufacturing Application'' R., IEEE International Symposium on Intelligent Control, pp. 434-440,
NIST, Gaithersburg, MD, September 14-15, 1998.
Wolpert and Macready (1997). No Free Lunch Theorems for Optimization - IEEE TEC (1)1: 67-8
Xue, F., RPI (2003 )
Zadeh (1994), "Fuzzy Logic and Soft Computing: Issues, Contentions and Perspectives," in Proc. of IIZUKA'94: Third
Int. Conf. on Fuzzy Logic, Neural Nets and Soft Computing, pp. 1-2, Iizuka, Japan, 1994.
Zitzler , Deb, Thiele, Coello, Corne (eds.) (2001) . Evolutionary Multi-Criterion Optimization, Lecture Notes in Computer
Science #1933, Springer-Verlag 2001.
77
© Copyright 2004 by Piero P. Bonissone
http://software.fujitsu.com/en/symfoware/visualminer/vmpcddemo.pdf
SymfoWARE Visual Miner
BACK to Visualization
78
© Copyright 2004 by Piero P. Bonissone
SymfoWARE Visual Miner (cont.)
BACK to Visualization
79
© Copyright 2004 by Piero P. Bonissone
SymfoWARE Visual Miner (cont.)
BACK to Visualization
80
© Copyright 2004 by Piero P. Bonissone
SymfoWARE Visual Miner (cont.)
BACK to Visualization
81
© Copyright 2004 by Piero P. Bonissone
Background Slides
(pointed by hyperlinks)
http://www.nbb.cornell.edu/neurobio/land/PROJECTS/Inselberg/
82
© Copyright 2004 by Piero P. Bonissone
Multi-Objective Differential Evolution (MODE)
(Feng (Fred) Xue, RPI 2003)
Pareto based reproduction to extend differential evolution
concept for single objective problems
( )
( )
1
1
if is non-dominated
(1 ) if is dominated
k k
a b
k k
a b
K
i i
i i
k
i
K
best i i
i i
k
p F p p p
p
p p F p p p γ γ
=
=
¦
+ ⋅ −
¦
¦

=
´
¦
⋅ + − + ⋅ −
¦
¹


best i
p D ∈
z
2
z
1
i
D
83
© Copyright 2004 by Piero P. Bonissone
MODE
• Differential Evolution (DE) (Storn & Price 1995) is
similar to ES(µ,λ)
• Adapts search step by evolutionary process:
- At the beginning the perturbation is BIG, since parent
individuals are far away from each other
- Later, as the population converges to a small region, the
perturbation becomes SMALL
• Multi Objective Differential Evolution (MODE) the
population is sorted in several ranks
84
© Copyright 2004 by Piero P. Bonissone
FLC-MODE System Architecture
Fuzzy Logic
Controller
Multi-Objective
Differential Evolution
∇λ (Greediness)
∇F (Perturbation Factor)
Population Diversity (PD)
Generation Percentage (GP)
KB
• MODE parameters for tuning
- λ, greediness to control the exploitation of MODE
- F, perturbation factor to control the exploration of MODE
• FLC inputs --- the state the MODE
- Population diversity: ratio of generational Pareto optimal solutions
to the population size
- Generation percentage: generations already performed to the
predefined maximal generations
85
© Copyright 2004 by Piero P. Bonissone
Fuzzy logic controller
Membership functions:
• Scale factors for inputs
automatically fall into [0, 1], for
outputs are chosen as [-0.5,
0.5] such that changes are
within 50% of current setting
• Rule base for ∇λ and ∇F: at
the early stage of MODE, FLC
tunes the parameters to increase
search space exploration, while
exploitation is emphasized with
the development of evolutionary
process
ZE ZE NM NB NB VH
ZE ZE ZE NM NB H
PM ZE ZE ZE NM M
PB PM ZE ZE ZE L
PB PB PM ZE ZE VL
VH H M L VL PD\PG
NM ZE PB PB PB VH
NB ZE PB PB PB H
NB ZE PM PB PB M
NB NM ZE PM PM L
NB NB NM ZE PM VL
VH H M L VL PD\PG
∇λ
∇F
86
© Copyright 2004 by Piero P. Bonissone
Experimental Results
• Benchmark functions: the ZDT test suite (Zitzler et al, 2000)
1 T
2 T
3 T
4 T
5 T
2.6375E-06 0.0089 8.6126E-04 0.02623
0.5285 1.0307 0.5002 0.63895
1.2209E-06 0.0189 4.3944E-07 0.02156
3.7138E-08 0.0038 3.1446E-07 0.0055
4.6700E-08 0.0039 2.7907E-07 0.0058
Variance Mean Variance Mean
FLC-MODE MODE
Function
•30 runs are performed for each of the test functions using both FLC-
MODE and MODE with constant parameter settings, the computed
results (distance measure) are statistically summarized below:
• Performance measurement: distance between computed Pareto set
and theoretical Pareto set
Z Z
{ }
1
: min ,
z Z
D z z z Z
Z

= − ∈

87
© Copyright 2004 by Piero P. Bonissone
Remarks on FLC-MODE
• Explored the application of fuzzy logic controller to
dynamical online parameter control of a particular
multi-objective evolutionary algorithm MODE.
• Demonstrated the effectiveness of the FLC-MODE
compared to the counterpart MODE with constant
parameter settings by applying them to a suite of
well known benchmark functions.
• Noted that the FLC-MODE obtains better results in
most of the cases, but its generalization should be
carefully examined (see No Free Lunch Theorem)
BACK TO ISSUES
88
© Copyright 2004 by Piero P. Bonissone
• Wolpert and Macready (1997): No Free Lunch Theorems for
Optimization - IEEE TEC (1)1: 67-82
- Taken over the set of all possible combinatorial optimization
problems*, the performance of an two search algorithms** is the same
• For any two “black-box” optimization algorithms a
1
and a
2
:
- m is the number of time steps
- d
m
is a particular set of m values (for distinct visiting points)
- f is a combinatorial optimization problem
• Danger of comparing algorithms on a small sample of problems
• We must incorporate problem-specific knowledge into the behavior
of the algorithm (from weak to strong search, in AI parlance)
Evolutionary Algorithms
and the No Free Lunch Theorem (NFL)
) , , | ( ) , , | (
2 1
a m f d P a m f d P
f
m
f
m ∑ ∑
=
finite are Y and X Y X f and : →
*
**
Black boxes do not rely explicitly on cost structure of partial solutions, like branch-and-bound
BACK TO ISSUES
89
© Copyright 2004 by Piero P. Bonissone
Static Constraints
• Restricting Start Times
• Handling Eclipses
) (
dur end start start
Task Sim Task Sim − ≤ ≤
T
a
s
k
D
u
ra
tio
n
B
u
ffe
r
U
n
u
s
e
d
T
im
e
E
c
lip
s
e
Schedule of Eclipses for Satellite
Continuum of Valid Start Times for Task
T
0
T
N
C
n-x
C
0
BACK TO ISSUES
90
© Copyright 2004 by Piero P. Bonissone
Optimization: State of the Art
Objective Function Word Description GEAM
Linear Function
• Function is defined using a
linear equation
• Space is also defined
using linear equations
• Easy to optimize
• Function is defined using a
linear equation
• Space is defined using
linear equations and a
convex nonlinear
equation
• Harder to optimize
• Formulations 1 and 2
• Linear Programming
(easy to solve)
• Formulation 3
• GRC developed
Sequential Linear
Programming
Feasible Region
Linear Convex Space
Nonlinear Convex
Space
Linear Function
91
© Copyright 2004 by Piero P. Bonissone
Optimization: New Challenges
Objective Function Word Description GEAM Feasible Region
• Function is defined using a
linear equation
• Space is defined using
linear equations, a convex
nonlinear equation and a
non-convex nonlinear
equation
• Very hard to optimize
• Formulation 4
• Current GRC Focus
• Developing
Evolutionary
Algorithms
Nonlinear Non-convex
Space
Linear Function
Nonlinear Function
• Function is defined using
nonlinear equations
• Space is defined using
linear equations and a
convex nonlinear
equation
• Very hard to optimize
Nonlinear Convex
Space
• Formulation 4
• Current GRC Focus
• Developing
Evolutionary
Algorithms
Nonlinear Function
• Function is defined using
nonlinear equations
• Space is defined using
linear equations, a convex
nonlinear equation and a
non-convex nonlinear
equation
• Very hard to optimize
Nonlinear Non-convex
Space
• Formulation 5
• Current GRC Focus
• Developing
Evolutionary
Algorithms
BACK TO ISSUES
92
© Copyright 2004 by Piero P. Bonissone
Convex and Non-convex Spaces
Convex Spaces Non-convex Spaces
For any two points in the space, the line
connecting the points is fully contained
in the same space
For any two points in the space, the line
connecting the points is not always
contained in the same space
line
1
line
2
line
1
line
2
Both lines are fully contained Line 2 is not fully contained
93
© Copyright 2004 by Piero P. Bonissone
Optimization Challenges: Feasible Regions
Word Description Example Equation GEAM
• For any two points in the
space, the line connecting
the two points is always
contained in the same
space
• Space is defined using
linear equations
• For any two points in the
space, the line connecting
the two points is always
contained in the same
space
• Space is defined using
some nonlinear equations
• For any two points in the
space, the line connecting
the two points is not
always contained in the
same space
• Space is defined using
some nonlinear equations
(
(
(
(
¸
(

¸


(
¸
(

¸

(
(
(
(
¸
(

¸

8
2
1
82
22
12
81
21
11
b
b
b
y
x
a
a
a
a
a
a
M M M
Set of linear equations
(
(
(
(
¸
(

¸


(
¸
(

¸

(
(
(
(
¸
(

¸

5
2
1
52
22
12
51
21
11
b
b
b
y
x
a
a
a
a
a
a
M M M
α ≤ +
2 2
y x
Nonlinear
equation
(
¸
(

¸


(
(
(
¸
(

¸

(
¸
(

¸

2
1
2
23 22 21
13 12 11
b
b
y
x
x
a a a
a a a
Set of nonlinear equations
• Market value
weighted yield
formulation
• Duration weighted
yield formulation
• Linear Programming
(easy to solve)
• Interest rate sigma
formulation
• GRC developed
Sequential Linear
Programming
• Interest rate sigma
and VAR formulation
• VAR is a nonlinear
nonconvex constraint
• Very hard to solve
• Current GRC focus
Graphic Visual
Linear Convex Space
Nonlinear Convex
Space
Nonlinear Non-convex
Space
line
1
line
2
line
1
line
2
line
1
line
2
α ≤ + by ax
Linear
equation
94
© Copyright 2004 by Piero P. Bonissone
Convex & Non-convex Functions
Convex nonlinear function
Non-convex nonlinear function
Convex
contours
Non-convex
contours
95
© Copyright 2004 by Piero P. Bonissone
Optimization Challenges: Objective Functions
Graphic Visual Word Description Example Equation GEAM
Linear Function
Nonlinear Convex
Function
Nonlinear Non-convex
Function
• Function is defined using
linear equations
• Straightforward math
relationship
• Easy to optimize
• Function is defined using
a nonlinear equation
• Functional gradients lead
to single optimum
• Harder to optimize
• Function is defined using
complex nonlinear
equations
• Multiple local optima
• Functional gradients are
inefficient
• Very hard to optimize
2 2
) , ( y x y x f + =
5 2 ) , ( + + = y x y x f
• Market value
weighted yield
• Duration weighted
yield
• Linear Programming
(easy to solve)
• Interest rate sigma
• GRC developed
Sequential Linear
Programming
• Interest rate sigma
and VAR
• Very hard to solve
• Current GRC focus
) , (
) , ( ) , (
) , ( ) , (
4
3 2
1
y x g
y x g y x g
y x g y x f
+ +
+ =
BACK TO ISSUES
96
© Copyright 2004 by Piero P. Bonissone
X2
X1
Sequential Linear Programming Algorithm
( ) ( ) ε − • ∇ ≤ • ∇
o o o
w w w w f f
( )
o
w f ∇
X2
X1
Feasible
Region
Linear
Constraints
Step 1 Solve a unconstrained (relaxed) LP problem by removing the
nonlinear risk constraint (Max. a linear return function)
o
w
Step 2 Evaluate the tangent plane of the nonlinear risk function at the
current solution (W
0
)
( ) w f
Nonlinear
Risk
Contour
1
Step 3 Shift the tangent plane by a small step size (ε)
Step 4 Add a new linear risk constraint to the optimization problem
( ) ( )
0
w w f f =
Tangent
Plane
X2
X1
1
2
Step 5 Solve the new optimization problem and yield a new solution
( ) ( ) ε − • ∇ ≤ • ∇
o o o
w w w w f f
Step 6 Repeat Step 2 until the risk value meets the target value or the
step change is less a preset tolerance
0.00
5.00
10.00
15.00
20.00
25.00
30.00
35.00
0.00 5.00 10.00 15.00 20.00 25.00 30.00 35.00
Risk
E
x
p
e
c
t
e
d

R
e
t
u
r
n
1
Relaxed
LP
Solution
2
3
4
SLP
Solutions
0.00
5.00
10.00
15.00
20.00
25.00
30.00
35.00
0.00 5.00 10.00 15.00 20.00 25.00 30.00 35.00
Risk
E
x
p
e
c
t
e
d

R
e
t
u
r
n
1
Relaxed
LP
Solution
2
3
4
SLP
Solutions
ε - Efficient Frontier
1
|< BACK
97
© Copyright 2004 by Piero P. Bonissone
• VE-GA: Vector Evaluated GA (Shaffer & Grefenstette 1985)
» N/k sub-populations created
(where k is the number of criteria; N = Pop-Size)
» Modified selection operator performs proportional selection for each
sub-population according to each objective function
» Sub-population shuffled to generate population of size N
» Crossover and Mutation applied to population
» Problems:
– with “speciation” (sub-population excelling in only one aspect of fitness)
– maintaining “middlings” (well-round individual not outstanding in any specific
aspect of fitness)
» Suggested: Heuristic selection to protect middling + heuristic
crossbreeding of species
» Equivalent to linear combination of objectives
– Cannot generate Pareto-optimal solutions in the presence of non-convex
search spaces.
Multi-Objective Evolutionary Algorithms:
Generating the Pareto Frontier
|< BACK
98
© Copyright 2004 by Piero P. Bonissone
• VOW-GA: Variable Objective Weighting GA (Hajela & Lin 1992)
» Each objective is assigned a (non-negative, normalized) weight
» Scalar fitness function is computed with weighted average of objectives
» Weights are encoded in genotype
» Diversity of weight combinations promoted by phenotypic fitness “sharing”
» EA evolves solutions and weights simultaneously
• RW-GA: Random Weights GA (Ishibushi & Murata, 1998)
» Each pair of parents is randomly assigned a weight vector used in their
offspring evaluation
» The (non-negative, normalized) weights represent a direction in the search
» Each individual ‘s fitness is computed by a weighted average of objectives
» Each offspring is locally improved by a k-neighborhood search around it
» At each generation, a provisional set of non-dominated solutions is identified,
stored, and updated.
» A subset of these non-dominated solutions are re-introduced in population
(elitism)
» The RWGA report good results for multi-criteria search in even certain non-
convex functional spaces – but not in all…
Multi-Objective Evolutionary Algorithms:
Generating the Pareto Frontier
|< BACK
99
© Copyright 2004 by Piero P. Bonissone
• Variable Weights (VOW-GA)
- Problems:
» If the Pareto frontier is non-convex, there is no possible set of weights
that can identify those points
Multi-Objective Evolutionary Algorithms:
Variable Weights
Quality Q(x)
T
h
r
o
u
g
h
p
u
t



T
(
x
)
Pareto frontier
Sampled Points
on Pareto frontier
by varying weights
Quality Q(x)
T
h
r
o
u
g
h
p
u
t



T
(
x
)
Pareto frontier
Sampled Points
on Pareto frontier
by varying weights
x
x
Points that cannot
be sampled by weights
x
Convex Feasibility Set
Non-Convex
Feasibility Set
|< BACK
100
© Copyright 2004 by Piero P. Bonissone
• NP-GA: Niched Pareto GA (Horn, Nafpiolitis, Goldberg, 1994)
» A comparison set consisting of a pre-specified number of
individuals is picked at random from the population
» Once the comparison set has been selected, two individuals
are picked at random from the population.
» Both individuals are compared to the members of the
comparison set.
– If one of them is non-dominated while the other is dominated, the non-
dominated individual is selected.
– If both individuals are non-dominated (or both are dominated), then
there is a tie. In such a case, the individual with the smaller set of
neighbors (i.e., similar individuals within a pre-specified distance,
called the neighborhood radius) is selected.
» Thus, individuals that belong to smaller niches are
encouraged in the event of a tie.
- The success of this algorithm is very dependent on the choice of the
number of individuals in the comparison set.
- It also requires a large population size, and the choice of the
neighborhood radius.
Multi-Objective Evolutionary Algorithms:
Generating the Pareto Frontier (cont.)
|< BACK
101
© Copyright 2004 by Piero P. Bonissone
• NS-GA: Non-dominated Sorting GA (Srinivas & Deb, 1995)
» Before selection is applied, the population is ranked on the basis of
non-domination, and all non-dominated individuals are classified into
one pool.
» Each individual in the pool is assigned the same pseudo-fitness value
(proportional to the population size) and has an equal chance of being
considered.
» To maintain population diversity, these classified individuals are shared
with the rest of the population by using their pseudo fitness values.
» After sharing, these individuals are recorded, and then temporarily
ignored to identify the second pool of non-dominated individuals.
» These individuals were assigned a lower pseudo-fitness value than the
members in the first pool.
» The process continues until the entire population is classified into
pools.
» The population is then reproduced utilizing the pseudo-fitness values.
- An improvement of the Niched Pareto GA.
- NSGA suffers from overall performance issues and are very dependent to the
value of the sharing factor.
Multi-Objective Evolutionary Algorithms:
Generating the Pareto Frontier (cont.)
|< BACK
102
© Copyright 2004 by Piero P. Bonissone
Definitions of Dominance
• Weak Dominance
• A point is Weakly Non-Dominated if there is no other point
such that:
•Strong Dominance
• A point is Strongly Non-Dominated if there is no other point
such that:
S x ∈
*
r
S x ∈
r
( ) ( ) k i x f x f a
i i
,..., 1 for )
*
= <
r r
S x ∈
r
( ) ( )
( ) ( ) i x f x f b
k i x f x f a
i i
i i
of value one least at for )
,..., 1 for )
*
*
r r
r r
<
= ≤
S x ∈
*
r
|< BACK

Outline
• Soft Computing Overview
- SC Components: PR, FL, NN, EA

• Modeling with FL and EA
- FL: Interpolative Reasoning - EA: Randomized Search

• Multi-Objective Optimization (MOO)
- Definition, Characterisitcs, Quality Metrics - One-Shot Decision =
» A priori : (Aggregation + Search) or » A posteriori : (Search + Aggregation)

- Progressive Decision = {Search, Aggregation, Visualization}

• Aggregation and Visualization • Search: Evolutionary MOO = EMOO
- Family of EMOOs - Example of MSEA for Flexible Mfg. Optimization

• Issues and Conclusions
© Copyright 2004 by Piero P. Bonissone

2

Outline
• Soft Computing Overview
- SC Components: … EA

• Modeling with FL and EA
- FL: Interpolative Reasoning - EA: Randomized Search

• Multi-Objective Optimization (MOO)
- Definition, Characterisitcs, Quality Metrics - One-Shot Decision =
» A priori : (Aggregation + Search) or » A posteriori : (Search + Aggregation)

- Progressive Decision = {Search, Aggregation, Visualization}

• Aggregation and Visualization • Search: Evolutionary MOO = EMOO
- Family of EMOOs - Example of MSEA for Flexible Mfg. Optimization

• Issues and Conclusions
© Copyright 2004 by Piero P. Bonissone

3

Soft Computing: Hybrid EA Systems
Approximate Reasoning
Probabilistic Multivalued & Fuzzy Logics Models

Functional Approximation/ Randomized Search
Neural Networks Evolution Strategies Evolutionary Algorithms Genetic Algorithms Genetic Progr. Evolutionary Programs

10010110 01100010 10100100 10011001 01111101 ... ... ... ...

Elitism

Selection

Crossover

Mutation

10010110 01100010 10100100 10011101 01111001 ... ... ... ...

Current generation

Next generation

Example of Genetic Algorithms
(Bonissone et al, 1999)

© Copyright 2004 by Piero P. Bonissone

4

Outline
• Soft Computing Overview
- SC Components: PR, FL, NN, EA

• Modeling with FL and EA
- FL: Interpolative Reasoning - EA: Randomized Search

• Multi-Objective Optimization (MOO)
- Definition, Characterisitcs, Quality Metrics - One-Shot Decision =
» A priori : (Aggregation + Search) or » A posteriori : (Search + Aggregation)

- Progressive Decision = {Search, Aggregation, Visualization}

• Aggregation and Visualization • Search: Evolutionary MOO = EMOO
- Family of EMOOs - Example of MSEA for Flexible Mfg. Optimization

• Issues and Conclusions
© Copyright 2004 by Piero P. Bonissone

5

Soft Computing: EA Systems
Approximate Reasoning
Probabilistic Multivalued & Fuzzy Logics Models

Functional Approximation/ Randomized Search
Neural Networks Evolution Strategies Evolutionary Algorithms Genetic Algorithms Genetic Progr. Evolutionary Programs

-The structure of the model is the representation of an individual in the population (e.g., binary string, vector, parse tree, Finite State Machine). -The parameters of the model are the Population Size, Probability of Mutation, Prob. of Recombination, Generation Gap, etc. -The search method is a global search based on maximization of population fitness function

© Copyright 2004 by Piero P. Bonissone

6

s : is the selection operator © Copyright 2004 by Piero P.Soft Computing: EA Systems Approximate Reasoning Probabilistic Multivalued & Fuzzy Logics Models Functional Approximation/ Randomized Search Neural Networks Evolution Strategies Evolutionary Algorithms Genetic Algorithms Genetic Progr. Evolutionary Programs • Most Evolutionary Algorithms (EAs) can be described by: x[t + 1] = s(v(x[t])) .x[t] : the population at time t under representation x .v : is the variation operator(s) . Bonissone 7 .

Bonissone 8 .(y+1)^2) .Evolutionary Algorithms: Scalar-Valued Fitness Function Optimization • Example: Find the maximum of the function z(x. © Copyright 2004 by Piero P.10*(x/5 . y) = 3*(1-x)^2*exp(-(x^2) .y^2).y) z = f(x.y^5)*exp(-x^2-y^2) -1/3*exp(-(x+1)^2 .x^3 .

) • We start from a randomly initialized population that provides a random sampling of the solution space • By evolving the individuals in the next generations. Bonissone . we create a bias in the sampling and over-sample the best region(s) getting “close” to the optimal point Initial population (Gen 0) After 10th generation 9 © Copyright 2004 by Piero P.Evolutionary Algorithms: Scalar-Valued Fitness Function Optimization (cont.

EA’s Performance Metrics • Convergence can be measured by ratios. such as: Best/Average Best: Average: Monotonically non-decreasing (with elitist strategies) Improves over time • Diversity can be measured by Hamming distance in genotypic space d ij n ∑ GD = n( n − 1) i =1. 1] Relatively Easy to Search &Piero P. Bonissone in One Dimension ! © Copyright 2004 by Measure 10 . j =i +1 Genome Length 2 where dij is the Hamming Distance GD range is [0.

Objectives Transportation Problem: Minimize Cost and Time to go from Location A to B COST Twalking  Twalking the bike   ≤   C walking   C walking th e bike  By plane By car By bicycle Walking the bike Walking TIME • Partial Order instead of Complete Order • Pareto Dominance (Weak. Strong) • Metrics to evaluate and compare solutions • Stopping Criteria: when are we done looking for solutions? © Copyright 2004 by Piero P. Bonissone 11 .The Problem arises when we have multiple Objectives! Simple Example: Two.

Bonissone 12 .Evolutionary Multi-Objective Optimization (EMOO): Vector-Valued Fitness Function • There is no longer one optimal point.Example: Identify the Pareto frontier for the problem [Max Q(x). Max T(x)] x : Decision vector Throughput T(x) Pareto frontier Non-Dominated Solution (Point on Pareto frontier) Dominated Solution (Interior point) Quality Q(x) © Copyright 2004 by Piero P. but an infinite number of Non-Dominated points that form the Pareto Frontier .

• We start from a randomly initialized population that provides a random sampling of the solution space • By evolving the individuals in the next generations. we create a bias in the sampling and over-sample the non-dominated solutions. thus getting “close” to the true Pareto Frontier Throughput T(x) Throughput T(x) Pareto frontier Pareto frontier c Quality Q(x) x Sampling of x driven from EAs 13 Quality Q(x) Uniform Sampling of x x © Copyright 2004 by Piero P. Bonissone .Evolutionary Multi-Objective Optimization (EMOO) Cont.

Definition. NN. Bonissone 14 . FL.FL: Interpolative Reasoning . Characterisitcs.One-Shot Decision = » A priori : (Aggregation + Search) » A posteriori : (Search + Aggregation) .Family of EMOOs .EA: Randomized Search • Multi-Objective Optimization (MOO) .SC Components: PR.Progressive Decision = {Search.Outline • Soft Computing Overview . Optimization • Issues and Conclusions © Copyright 2004 by Piero P. Visualization} • Aggregation and Visualization • Search: Evolutionary MOO = EMOO . EA • Modeling with FL and EA . Aggregation. Quality Metrics .Example of MSEA for Flexible Mfg.

Bonissone F =k PF = n 15 .Multi Objective Optimization (MOO) r r r Minimize { f1 ( x ).. f k ( x )} x3 r such that x ⊆ S Performance Set Z r f2 ( x ) Feasibility Set S r r  f1 ( x )  F= r   f 2 ( x ) BIG Pareto Frontier PF x1 r f1 ( x ) x2 We no longer have a complete ordering (unless k = 1) Now the " ≤" operator induces a partial ordering © Copyright 2004 by Piero P.... f 2 ( x ).

only non-dominated ones. during. • Tradeoff decisions must be taken before. • These objectives cannot all be satisfied simultaneously • Therefore there is no best solution. or after the search • Major Componentsof the MOO Process: • Evaluation: We should be able to evaluate different solutions along their objectives • Visualization: We should be able to visualize preference tradeoff spaces and Pareto surfaces. while evaluating and aggregating his/her preferences over multiple criteria. © Copyright 2004 by Piero P.Multi-Objective Optimization (MOO Characteristics) • The decision maker (DM) needs to search for the the most suitable solutions. Bonissone 16 .

Maximize controlled area. which need to be optimized.Multi-Objective Optimization (MOO) • Real-world problems are characterized by multiple measures of performance. Maximize enemy’s losses. etc. etc. Minimize manufacturing time Maximize reliability. Design of turbine engines: Network Configuration Design: Maximize Quality of Service Minimize Latency Minimize cost Minimize Vulnerability. or at least satisfied simultaneously. Minimize Catastrophic risk (VAR) Maximize Stability. • Objectives and constraints are expressed by equalities and inequalities • Example of MOO Problems Rebalancing Portfolios : Maximize Return. Minimize Portfolio Change Maximize fuel efficiency. Minimize Risk (sigma). Bonissone . Minimize deployment time. Troop Employment Plan: Minimize friendly casualties. Minimize cost. etc. 17 © Copyright 2004 by Piero P.

.When we know the true Pareto Frontier (PFTrue) » usually in analytical defined problems used for benchmarking .(E) MOO • There are many quality metrics for (E) MOO.When we only know the found non-Dominated distribution (PFKnown ) » usually in most real-world problems .When we want to compare two non-Dominated distributions found by different methods (PFKnown1 and PFKnown2 ) r f2 ( x ) First Goal r f2 ( x ) r f2 ( x ) r f2 ( x ) Second Goal PF True r f1 ( x ) r f1 ( x ) Ideal Situation r f1 ( x ) Good Convergence Poor Distribution r f1 ( x ) Poor Convergence Good Distribution Two Goals: 1) Find solutions closed to PF True 2) Find solutions as diverse as possible along PF True (Deb 2002) © Copyright 2004 by Piero P. Bonissone 18 .Quality Metrics for (Evolutionary) Multi-Objective Optimization .

When we only know the found non-Dominated distribution (PFKnown ) » usually in most real-world problems . Bonissone 19 .When we want to compare two non-Dominated distributions found by different methods (PFKnown1 and PFKnown2 ) r f2 ( x ) r f2 ( x ) r f2 ( x ) A r f1 ( x ) Good Distribution But did it converge? B r f1 ( x ) Poor Distribution Same Convergence than A C r f1 ( x ) Good Distribution Not as good Convergence as A 1) We can test each distribution (for diversity or spread) 2) We can compare two different distributions (for dominance) (Deb 2002) © Copyright 2004 by Piero P. .Quality Metrics for (Evolutionary) Multi-Objective Optimization .When we know the true Pareto Frontier (PFTrue) » usually in analytical defined problems used for benchmarking .(E) MOO • There are many quality metrics for (E) MOO.

.When we only know the found non-Dominated distribution (PFKnown ) » usually in most real-world problems .When we know the true Pareto Frontier (PFTrue) » usually in analytical defined problems used for benchmarking . Bonissone 20 .Quality Metrics for (Evolutionary) Multi-Objective Optimization .When we want to compare two non-Dominated distributions found by different methods (PFKnown1 and PFKnown2 ) r f2 ( x ) r f2 ( x ) r f1 ( x ) A better than B r f1 ( x ) Difficult to compare Two Distributions A ( ) and B ( ) (Deb 2002) © Copyright 2004 by Piero P.(E) MOO • There are many quality metrics for (E) MOO.

i.. Bonissone .C(B.. ONVG = PFKnown {b ∈ B | ∃a ∈ A : a p b} ~ C ( A.2. j = 1.. B ) = Percentage of solutions in B that are weakly dominated by B Note that C(A.B) ≠ 1.Quality Metrics for (E)MOO: If we only know PFKnown • Spacing (S) Spread of vectors throughout PFKnown n 1 ∑i=1(d − di )2 n −1 r r r r where di = min f1i ( x ) − f1 j `( x ) + f 2i ( x ) − f 2j `( x ) .n S= ( ) and d = average of all di • Progress Measure (P) Relative Convergence from Gen 0 to T P = ln f max (0) f max (T ) • Overall Non-Dominated Vector Generation (ONVG) • Two Set Coverage (CS) solutions in A.A) r f2 ( x ) • HyperVolume (HV) Volume (in the objective space) covered by Q HV (Q ) = volume ∪iQi vi = ( ) 21 r f1 ( x ) © Copyright 2004 by Piero P.

..Quality Metrics for (E)MOO: If we Know PFTrue • Error Ratio (ER): Percentage of PFKnown that are NOT on PFTrue ER = ∑ n i =1 i e n 0 if vector i ∈ PFTRUE where ei =  1 otherwise n i =1 • Generational Distance (GD) Average of how far PFKnown is from PFTrue n where d i = distance between v ector i and neares t member of PFTRUE r r p r r p ME = max j min i f1i ( x ) − f1 j `( x ) + f 2i ( x ) − f 2 j ` ( x ) i = 1.n1 is the index vector of PFKnown j = 1.2. Bonissone HVR = HV (Q ) HV ( PFTrue ) 22 .n2 is the index vector of PFTrue (∑ GD = di p ) 1/ p • Maximum Pareto Front Error (ME) Maximum error between PFKnown & PFTrue ( ) 1/ p • Relative Progress Measure (RP) Relative Convergence from Gen 1 to T RP = ln GD1 GDT • Overall Non-Dominated Vector Generation Ratio (ONVGR) ONVGR = PFKnown PFTrue • HyperVolume Ratio (HVR) © Copyright 2004 by Piero P..2....

The Role of Preferences in the Multi-Objective Optimization Process Preferences Elicitation • Not Elicited • A Priori: • Lexicographic Order • Value Functions (Linear or Non-Linear) • A Posteriori • Independent Sampling • Cooperative Search • Hybrid Selection • Progressive (Iterative) • Interactive © Copyright 2004 by Piero P. Bonissone 23 .

inf) • Objectives fi should be normalized © Copyright 2004 by Piero P. 1973. Bonissone 24 . 2. 1973) r  Min ∑ f i ( x ) − z  i =1 r subject to x ∈ S k * p i    1/ p Multi-Objective Proximal Bundle (MPB) (Miettinen & Makela 1993) • Comments on GC • No real tradeoff as preferences are not recorded • Simple approach to find only one point-solution • Different point-solutions for different norms (p=1. Zeleny.Multi-Objective Optimization Process Without Leveraging Preferences No Preference: The DM is not providing any preference. so we use distances from an ideal point z* in the n-dimensional space to guide the search. Global Criterion (GC) (Yu.

Bonissone 25 .Example of Global Criterion (GC) Method r f2 ( x ) Performance Set (Z) P=1 P=2 P=inf Ideal Point r f1 ( x ) © Copyright 2004 by Piero P.

and • An order for this optimization process. Reduces the dimensionality of the problem by adding ordering information However. We can distinguish among three cases: 1) Make multi-objective aggregation before search. Bonissone Handbook of Evolutionary Computation 26 . it needs to anticipate all tradeoffs 1 Fitness DM Function Aggregation One Dimensional Search 2 © Copyright 2004 by Piero P.MOO Process with Preferences Case 1: A priori = Aggregate + Search We need to define: • A search method driven by the objective functions. • A multi-criteria tradeoff policy.

Rao. Sarma 1993) – Objective functions fi are sorted in decreasing order of importance..MOO Case 1: A priori = Aggregate + Search (Global Aggregation + Scalar-Valued Fitness Function) • Aggregation .Ordinal Preferences » Lexicographic Ordering (Fishburn 1974. Bonissone 27 . and then proceeding according to the priority order r r r Lex Minimize f1 ( x ). f k ( x ) r subject to x ∈ S ..Cardinal Preferences (Value Functions) r r k Min F = Min∑i =1 wi f i ( x ) subject to x ∈ S » Linear Combinations – A weight vector captures the relative (normalized) importance of each objective.Any kind on one-dimensional search (local or global) © Copyright 2004 by Piero P. . The optimum solution is obtained by optimizing the most important function first. f 2 ( x ). A sum is used to combine the weighted objectives » Nonlinear Combinations – – – Multiplicative Goal Programming Min-max r k Min∑i =1 f1 ( x ) − Ti r subject to x ∈ S where Ti is the Target Goal for the i th objective • Search . 1984.

2] * [Q(x). Bonissone Q(x) 28 .MOO Case 1: Aggregate + Search (Linear Combination + Scalar-Valued Fitness Function) • • • • All objectives fi are aggregated using a linear function based on a vector of weights (tangent) that represent the linear tradeoff policy Total commitment is made before the Pareto Surface has been explored Usually Weights Semantics are poorly interpreted: .Other options are not considered. T(x)] = K Quality © Copyright 2004 by Piero P. 2] * [Q(x). 2]. T(x)} .: T(x) = 2Q(x) r r r r N F ( x ) = ∑i =1 wi f i ( x ) = w1Q( x ) + w1T1 ( x ) 88 66 44 22 00 00 10 10 20 20 30 30 40 40 Throughput Pareto Frontier NOT Explored T(x) 10 10 The line: T(x) = 2Q(x) corresponds to the Weight Vector W: [1 .e.Max {Q(x). i. T(x)] F = Q(x) + 2*T(x) r r r F ( x*) = max x F ( x ) Line T(x) = 2Q(x) F = [1.given that T(x) is twice as important as Q(x). Example: .Relative importance versus rates of tradeoff exchange It considers only one design option (one tradeoff point on Pareto Frontier) and optimize around it . T(x)] F = [1. when we use the scalar fitness function F: F = W * [Q(x).

. dominated solutions are eliminated and the Pareto Frontier is generated.Postpones tradeoffs until large numbers of inferior. .MOO Process with Preferences Case 2: A posteriori = Search + Aggregate We need to define: • A search method driven by the objective functions. We can distinguish among three cases: 1) Make multi-objective aggregation before search.Only one final tradeoff 1 High Dimensional Search DM 2 Final Aggregation © Copyright 2004 by Piero P. and • An order for this optimization process. • A multi-criteria tradeoff policy. 2) Perform search before multi-objective aggregation. Bonissone 29 .

Not capable of discovering all solutions in non-convex Pareto Fronts © Copyright 2004 by Piero P.Number of runs increases combinatorial with # objectives .MOO Case 2: A Posteriori = Search + Aggregate (Vector-Valued Fitness Function + Global Aggregation) • Search • Independent Sampling • • • • Use multiple single-criterion searches Each search oiptimizes different objective aggregations Weights assigned to each objective are independently varied Examples PRO + Relative simplicity of implementation + Competive Approximation at lower computational cost than Pareto-ranking approaches – when PF is CONVEX CON . Bonissone 30 .

Equivalent to linear combination of weights (when using proportional selection) .g.Not capable of discovering all solutions in non-convex Pareto Fronts .MOO Case 2: A Posteriori = Search + Aggregate (Vector-Valued Fitness Function + Global Aggregation) • Search • Independent Sampling • Cooperative Search • Criterion Selection • k subpopulation of size PopSize/k are generated and evolved based on separate objective functions • e.“Speciation” : sub-population excelling in only one aspect of fitness . Bonissone 31 .: VEGA (Vector Evaluated GA) (Shaffer & Grefenstette 1985) Nash GA PRO + Relative simplicity of implementation + Useful in constraint-handling problems CON .Difficult to maintain “middlings” (wellround individual not outstanding in any specific aspect of fitness) © Copyright 2004 by Piero P.

: RWGA: Random Weights GA (Ishibushi & Murata.g. or as a function of solution being evaluated or evolved via chromosome encoding • e.Not capable of discovering all solutions in non-convex Pareto Fronts © Copyright 2004 by Piero P. Bonissone 32 . 1998) VOW-GA: Variable Objective Weighting GA (Hajela & Lin 1992) PRO + Relative simplicity of implementation + Useful in constraint-handling problems CON .MOO Case 2: A Posteriori = Search + Aggregate (Vector-Valued Fitness Function + Global Aggregation) • Search • Independent Sampling • Cooperative Search • Criterion Selection • Aggregation Selection • Use multiple single-criterion searches • Each search oiptimizes different objective aggregations • Weights are assigned to each objective randomly.

Toscano. PAES (Knowles and Corne. Bonissone 33 . Pulido. NSGA: Non Dominated Sorting GA (Srinivas & Deb.MOO Case 2: A Posteriori = Search + Aggregate (Vector-Valued Fitness Function + Global Aggregation) • Search • Independent Sampling • Cooperative Search • Criterion Selection • Aggregation Selection • Pareto-Based Selection Selection derived via Pareto-Ranking • Ranking: MOGA: Multiobjective Optimization GA (Fonseca & Fleming 1994) • Ranking and Niching: NPGA: Niched Pareto GA (Horn. 1994). 1995) • Demes (Island model + topology that constraints migration/comm. 2000) © Copyright 2004 by Piero P. Nafpiolitis. Goldberg.) • Elitist Micro-GA (Coello Coello. 2001).

MOO Case 2: A Posteriori = Search + Aggregate (Vector-Valued Fitness Function + Global Aggregation) • Search • Independent Sampling • Cooperative Search • Criterion Selection • Aggregation Selection • Pareto Selection • Hybrid Selection • Population selected two or more cooperative search techniques © Copyright 2004 by Piero P. Bonissone 34 .

Bonissone 35 .. k and j ≠ i and x ∈ S Min f i ( x ) One objective function is selected to be optimized and all others are converted into constraints by setting an upper bound ει to each of them. © Copyright 2004 by Piero P...MOO Case 2: A Posteriori = Search + Aggregate (Vector-Valued Fitness Function + Global Aggregation) • Search • Independent Sampling • Cooperative Search • Criterion Selection • Aggregation Selection • Pareto Selection • Hybrid Selection • Aggregation • Linear Combination of Weights r r k Min F = Min∑i =1 wi f i ( x ) subject to x ∈ S where wi ≥ 0 for all i and wi > 0 for at least one i ε-Constraint Method (or Tradeoff Method) r r r subject to f j ( x ) ≤ ε j j = 1..

it is still very difficult to make a complete aggregation (unless we are in 2-D.Easy to modify • Different Weight Vectors for different policies F = r wi * fi ( x ) ∑ i =1 n • Global Aggregations are typically implemented with weight vector W=[w1.): N dimensions -> 1 Weight-based Aggregation • Linear. i. wn] © Copyright 2004 by Piero P.MOO Case 2: Search + Aggregate (Vector-Valued Fitness Function + Global Aggregation ) • Generate N-dimensional Pareto Surface • Total Commitment is made after the Pareto Surface is explored • However. ….e. context independent tradeoff • Not natural to elicit or interpret . Bonissone Quality Throughput 36 .

• A multi-criteria tradeoff policy.DM makes some multi-criteria decision. representation.Start with a multi-criteria search that provides the DM with a preliminary idea of possible tradeoffs. Bonissone 37 .A new search is performed in this region of the solution space 2 Our Proposal 1 High Dimensional Search DM 4 Partial Aggregation 3 Lower Dimensional Search/Filter For all cases. We can distinguish among three cases: 1) Make multi-objective aggregation before search. + Visualization) We need to define: • A search method driven by the objective functions. . we need to address elicitation. Aggregate} (Vector-valued Fitness Function + Partial Aggreg. and • An order for this optimization process.MOO Process with Preferences Case 3: Iterative {Search. 2) Perform search before multi-objective aggregation 3) Iteratively integrate search and multi-objective aggregation. reducing search space . . and computational issues © Copyright 2004 by Piero P.

and Decision Module © Copyright 2004 by Piero P.E) Y: PERFORMANCE MEASURES: Y1: Return Y2: Sigma Y3.Case 3 EMOO Module X: Design Structure & Parameters 1 Portfolio Evaluation: Y=f(X. VAR Y4: Stability Y5: Portfolio Change High 2 Dimensional Search E: Environment Accept or 7 Reject Tradeoff Decision Maker Pareto Surface in Y: KB Define 4 Tradeoff KB (context dep. Bonissone 38 . Aggregation.) Partial 5 KB-based Aggregation Lower 6 Dimensional Search/Filter EMOO Module or Dominace Filter Visualization & Interaction 3 8 Final Portfolio Selection from 2-D aggregated Pareto Surface Analysis.Example of Multi-Objective Optimization .E) 1 Evaluation: Y=f(X.

characterized by X= [QCIP1.E) Y: PERFORMANCE MEASURES: Y1: Return Y2: Sigma Y3. Bonissone performance measures 39 Evaluation of Performance Measures (Y1. …. QCIP1500] Given Environment (Economic assumptions. Financial assumptions. Previous Portfolio. Y5) • • • • Performance of Evaluation Module .EMOO Module : Simulation & Evaluation EMOO Module X: Design Structure & Parameters 1 Portfolio Evaluation: Y=f(X. VAR Y4: Stability Y5: Portfolio Change High 2 Dimensional Search Pareto Surface in Y: E: Environment 1 Portfolio Evaluation • • Portfolio instance. …. User Constraints) For each Portfolio instance ! Vector Valued fitness function For a suite of environments (∆E perturbation to measure robustness) Required run-time efficiency (one evaluation per trial) If this were an issue: • Evaluation granularity • Distributed Evaluation based on • • Portfolio decomposition © Copyright 2004 by Piero of different Independent evaluationP.

EMOO Module : High Dimensional Search EMOO Module X: Design Structure & Parameters 1 Portfolio Evaluation: Y=f(X. VAR Y4: Stability Y5: Portfolio Change High 2 Dimensional Search Pareto Surface in Y: E: Environment Evolutionary Multi-Objective Optimization (EMOO) 2 • • • Extension of EA to Multiple Objectives Optimization Robust Global Search Use of external archive to “harvest” locally non-dominated solutions Customization of best EMOOs packages for Portfolio Rebalancing problem • • • Leverage efficient representation of X= • {Binary Representation with Lower and Upper Bounds .E) Y: PERFORMANCE MEASURES: Y1: Return Y2: Sigma Y3. Bonissone 40 .Natural Encoding} Multi-Gender EA vs NSGA-II Alternatives (TOGA) Search Efficiency © Copyright 2004 by Piero P.

» NSGA: Non Dominated Sorting GA (Srinivas & Deb. Bonissone © Copyright 2004 41 . Nafpiolitis. 1998) » VOW-GA: Variable Objective Weighting GA (Hajela & Lin 1992) • Pareto Selection Ranking: » MO-GA: Multiobjective Optimization GA (Fonseca & Fleming 1994) Ranking and Niching: » NPGA: Niched Pareto GA (Horn. 2000)by Piero P. » PAES (Knowles and Corne.Examples of EMOO Algorithms Using Cooperative Search • Criterion Selection » VE-GA: Vector Evaluated GA (Shaffer & Grefenstette 1985) » Multi-sexual GA (Lis & EIben 1997) • Aggregation Selection » RW-GA: Random Weights GA (Ishibushi & Murata. Toscano. 1995) » NS-GA -II Demes: Island model Elitist » Micro-GA (Coello Coello. Goldberg. 1994). 2001). Pulido.

Aggregation.SC Components: PR.One-Shot Decision = » A priori : (Aggregation + Search) or » A posteriori : (Search + Aggregation) .Family of EMOOs . EA • Modeling with FL and EA .Progressive Decision = {Search. Optimization • Issues and Conclusions © Copyright 2004 by Piero P.EA: Randomized Search • Multi-Objective Optimization (MOO) . Characterisitcs. Bonissone 42 . NN.Example of MSEA for Flexible Mfg. Quality Metrics . Visualization} • Aggregation and Visualization • Search: Evolutionary MOO = EMOO . FL.Definition.FL: Interpolative Reasoning .Outline • Soft Computing Overview .

Analysis. and Decision Module © Copyright 2004 by Piero P. and Decision Module 3 Visualization and Interaction • • • • Distribution of values on each of the Y space co-ordinates Interactive Plots of 2-D projections of Pareto Surface [total # projections: n(n-1)/2] Point-Tagging and filtering capabilities Visualization of Tradeoff results • determine level of commitment induced from aggregation before accepting it Pareto Surface in Y: Accept or 7 Reject Tradeoff Decision Maker KB Define 4 Tradeoff KB (context dep. Aggregation. Aggregation. Bonissone 43 .) Partial 5 KB-based Aggregation Lower Dimensional Y Space Visualization & Interaction 3 8 Final Portfolio Selection from 2-D aggregated Pareto Surface Analysis.

Low Highway MPG © Copyright 2004 by Piero P. Bonissone 44 . Low City MPG Medium Topspeed.Low Time to 60.

High QoS © Copyright 2004 by Piero P.High CityMPG High Time to 60 Low-Medium Robustness. Bonissone 45 .

What happened to these points in the other dimensions? Interactive Operations © Copyright 2004 by Piero P. Bonissone 46 .

Aggregation. and Decision Module © Copyright 2004 by Piero P. Accept or Reject tradeoff policy (i. KB) Accept or 7 Reject Tradeoff Decision Maker Pareto Surface in Y: KB Define 4 Tradeoff KB (context dep.) Partial 5 KB-based Aggregation Lower Dimensional Y Space Visualization & Interaction 3 8 Final Portfolio Selection from 2-D aggregated Pareto Surface Analysis.. Bonissone 47 . and Decision Module 4 5 7 Define Tradeoff KB & Partial KB-Based Aggregation • • • Could be context dependent tradeoff policy expressed as Rule bases • For Conservative. Aggregation.Analysis. Aggressive Implement and Visualize Aggregating Surface Modify.e.

Poor Medium High Poor Medium High Poor Medium High Z = Preference Negative Large Zero Zero Negative Small Positive Small Positive Small Negative Small Positive Large Positive Small • Preference Elicitation in “Natural” Language to express tradeoffs Rules set Zero Zero Zero Positive Positive Term set Mf for ∆ Sattend. Bonissone ∆ Attendance ∆ Surplus 48 .Example of Fuzzy Aggregation of Objective Functions for Conference Organization X = Delta Surplus Negative Negative Negative Y = Delta Attend. Positive Poor Medium High Response Surface: Preference Aggregation Mf for ∆ Surplus small © Copyright 2004 by Piero P.

. interpret...fn ( x)) ∆ Surplus ∆ Attendance ∆ Attendance Surplus ∆ Attendance ∆ Surplus © Copyright 2004 by Piero P. context dependent tradeoff • Easy to elicit.. Bonissone 49 . context independent tradeoff • Not natural to elicit & interpret – Easy to modify • Different Weight Vectors for different policies Fuzzy Rule Based Aggregation • Non Linear. and modify • Different rule sets for different tradeoff policies F = r wi * fi ( x ) ∑ i =1 n r r F = g( f1( x).Example of Two Types of Aggregation to Obtain Final Selection Weight-based Aggregation • Linear.

Partial Aggregation: Compiling KB • Aggregated functions are developed incrementally after exploring Pareto Surfaces • Each partial aggregation is accepted after visualizing effectsw • P(X) and E(X) are the compiled aggregation functions that reduce the problem to a 2D decision space P( X ) = g1 (T 60. HwyMPG ) T60 Fast Fast Fast Med Med Med Slow Slow Slow Top Speed Slow Med Fast Slow Med Fast Slow Med Fast Performance Med Med-high High Med-low Med Med-high Low Med-low Med P(X): g1(T60. Bonissone 50 . Top Speed ) E ( X ) = g 2 (CityMPG. Top Speed) Performance Aggregation © Copyright 2004 by Piero P.

Highway MPG) Efficiency Aggregation © Copyright 2004 by Piero P. Top Speed ) E ( X ) = g 2 (CityMPG. Top Speed) Performance Aggregation E(X): g2(City MPG. HwyMPG ) P(X): g1(T60.Partial Aggregation: Compiling KB • Aggregated functions are developed incrementally after exploring Pareto Surfaces • Each partial aggregation is accepted after visualizing effects • P(X) and E(X) are the compiled aggregation functions that reduce the problem to a 2D decision space P( X ) = g1 (T 60. Bonissone 51 .

• Annotate choices (for each of the two contexts) • Trace resource dependency for each choice (to determine availability) Final Selection at Run-time • 9 • • Given a context. Aggregation.Final Selection (training-time & run-time) Final Selection at Training time 8 • • Compile tradeoff KBs (for each of the two contexts) to use them at run-time In a 2D plane with the aggregated criteria as the two axes . determine feasible set (given actual resources) from precompiled configurations If feasible set is empty. rerun search with current environment. and use precompiled KBs for current context to generate feasible set. Bonissone .) Partial 5 KB-based Aggregation Lower Dimensional Y Space Visualization & Interaction 3 8-9 Final Portfolio Selection from 2-D aggregated Pareto Surface Analysis. Select among feasible configuration Pareto Surface in Y: Accept or 7 Reject Tradeoff Decision Maker KB Define 4 Tradeoff KB (context dep. and Decision Module 52 © Copyright 2004 by Piero P.

as the feasibility set • In a 2D plane with the aggregated criteria as the two axes . • Annotate choices (for each of the two contexts) • Trace resource dependency for each choice (to determine availability) The final decision could use a linear function. T(x)] = K Overall Efficiency E(X) © Copyright 2004 by Piero P. 2] * [P(x). 2] * [Q(x).Final Selection (Pre-computed configurations) • If the environment’s dynamics are slow. such as the vector W = [ 1. 2]. Bonissone 53 . we can use the pre-computed solutions. HwyMPG ) Overall Performance P(X) Line P(x) = 2E(x) F = [1. when we use the scalar fitness function F: F = W * [P(X). TopSpeed ) E ( X ) = g 2 (CityMPG. 2] Pareto Frontier The line: P(x) = 2E(x) corresponds to the Weight Vector W: [1 . E(X)] F = P(x) + 2*E(x) P( X ) = g1 (T 60. points on a 2D Pareto Surface. E(X)] F = [1.

the final decision could use a nonlinear function. points on a 2D Pareto Surface. P(X)] [“Grand Mother type”] Aggressive Final Aggregation F=h3 [E(X).P) F=h3(E. • Annotate choices (for each of the two contexts) • Trace resource dependency for each choice (to determine availability) On the other hand. we can use the pre-computed solutions. P(X)] [“Speedy Teenager type”] 54 © Copyright 2004 by Piero P.Final Selection (Pre-computed configurations) • If the environment’s dynamics are slow.P) Conservative Final Aggregation F=g3 [E(X). describing the user risk attitude and final preference F=g3(E. Bonissone . as the feasibility set • In a 2D plane with the aggregated criteria as the two axes .

rerun search with current environment. TopSpeed). P(X)] = g3 [g1(T60. Bonissone 55 . directly in a 2D or 1D space • Select among points (configurations) of new feasibility set. and use precompiled KBs for current context to generate feasible set. City MPG)] © Copyright 2004 by Piero P. g2(Highway MPG. g1 g3 g2 Example of pre-compiled aggregation from 4D to 1D: F=g3 [E(X).Final Selection at Run Time (Pre compiled Nonlinear Aggregation + Runtime Search) • If feasible set is empty.

Example of MSEA for Flexible Mfg. Bonissone 56 . Optimization • Issues and Conclusions © Copyright 2004 by Piero P.EA: Randomized Search • Multi-Objective Optimization (MOO) .Outline • Soft Computing Overview . FL. NN.Family of EMOOs . Aggregation. Visualization} • Aggregation and Visualization • Search: Evolutionary MOO = EMOO .One-Shot Decision = » A priori : (Aggregation + Search) or » A posteriori : (Search + Aggregation) .Progressive Decision = {Search.FL: Interpolative Reasoning . EA • Modeling with FL and EA .SC Components: PR.

Nafpiolitis. Bonissone 57 . 1994) NS-GA: Non Dominated Sorting GA (Srinivas & Deb. Goldberg. 1998) VE-GA: Vector Evaluated GA (Shaffer & Grefenstette 1985) MO-GA: Multiobjective Optimization GA (Fonseca & Fleming 1994) NP-GA: Niched Pareto GA (Horn.Example of Evolutionary Multi-Objective Optimization (EMOO): MSEA • Generation of Pareto Frontier using EAs » » » » » » » VOW-GA: Variable Objective Weighting GA (Hajela & Lin 1992) RW-GA: Random Weights GA (Ishibushi & Murata. 1995) MSEA Multi-Sexual EA (Lis & EIben 1997) • Great opportunity for experimenting with parameter control for the various algorithms © Copyright 2004 by Piero P.

» The offspring inherits the gender of the parent that contributes the most genetic information.Multi-Objective Evolutionary Algorithms: Generating the Pareto Frontier • Multi-Gender GA (Lis & EIben 1997) » A fitness function for each criterion » Gender-tagged genotypes .a gender for each criterion » Individuals are evaluated according to the optimization criterion defined by their gender » An offspring is created through multi-parent recombination that requires one parent from each gender. – Replace aggregation of multiple fitness functions with aggregation of multiple genetic material NEEDS – Dynamic determination of offspring gender – Control of genders distribution in population © Copyright 2004 by Piero P. » Ties for gender selection are randomly resolved. Bonissone 58 .

one from each sex 59 © Copyright 2004 by Piero P. Bonissone .Comparing Classical with Multi-Sexual EAs Classical EAs No gender Each individual is evaluated in the same way using the same fitness function or the same set of fitness functions There is no restriction on which two (or more) parents can be used by crossover operator MSEA Gender tag associated with fitness function comp The individuals with different sex are evaluated using different fitness functions (different optimization criteria) The crossover operator uses the representatives of all sexes .

Multi-Sexual Evolutionary Algorithms (MSEA) Initial population For N Generations Evaluate individuals Create New Population Final Archive: Pareto Surface 60 Apply selection XOver and Mutation Cumulative Archive © Copyright 2004 by Piero P. Bonissone .

The selected individuals from each sex are crossed over using a crossover operator (single. .If n objectives are used. Bonissone 61 . based on linear rank . then n individuals of different sex are needed to create an offspring .For each sex.Each individual has gender tag . Crossover • Individual Evaluation .Individuals of each gender are then sorted according to their fitness function values. Selection.MSEA Components: Evaluation.This gender determines the corresponding fitness function component is calculated. uniform) © Copyright 2004 by Piero P. double. one individual is chosen. • Selection and Crossover .

The sex marker remains untouched • Archiving Non-Dominated Solutions .At the end of the evolution the archive contains the sampled Pareto Surface © Copyright 2004 by Piero P.After the generations. the continuous archive is pruned of dominated solutions .The bit-flip method (inversion) is applied . Bonissone 62 . Archival Process • Mutation . non-dominated solutions are selected and archived .During each generation.MSEAs Components: Mutation.

Bonissone 63 . • Other Gender Assignments: Opposite and Random © Copyright 2004 by Piero P.The parent that contributed the most determines the gender of the offspring.In Lis & Eiben’s work.Issues in MSEA: Gender Assignment • Needs for Gender Assignment . . • New Gender Assignment: Phenotypic Approach Each gender has a specific corresponding fitness function. • Original Gender Assignment: Genotypic Approach . it is important to maintain a good balance of the gender distribution in the population.It takes n-parents of different genders to generate offspring . .This means deciding how each gender is assigned. and what criteria we should use for the assignment.This approach guarantees that the new generation will have the same gender distribution as the previous one.So. . Gender is determined by the positional ranking generated by each fitness function. gender is determined by the amount of genetic material contributed by each parent.

MSEA Original Gender Assignment • Genotypic Gender Assignment Gender tag Offspring 1 & 2 Parent 1 Parent 2 10011011 00110112 10010111 00111012 Since Parent-1 contributes 4 bits out of 7 to Offspring-1 (O1). then Gender(O1) = 1 © Copyright 2004 by Piero P. Bonissone 64 .

rank order used to resolve conflict © Copyright 2004 by Piero P. f2 RO[ f1 (O1 )] = a RO[ f1 (O2 )] = c RO[ f 2 (O1 )] = b RO[ f 2 (O2 )] = d CASE Gender tag Offspring 1 & 2 Gender Assignment x = 1. y = 1 5.rank order used to resolve conflict Cases 5 and 6: Both better in f2 . (a < b) & (d > c) & (a > c) x = 2.Vector valued fitness function F(x):  f1(x)  F(x) =    f 2 (x) . y = 2 x = 2.no conflicts Cases 3 and 4: Both better in f1 . y = 2 Cases 1 and 2: normal assignment . y = 1 6.MSEA New Gender Assignment • Phenotypic Gender Assignment . (a < b) & (d > c) & (a < c) x =1.Rank Order (RO) of each offspring (O1) according to f1. Bonissone 65 . (a > b) & (d < c) & (a > c) x = 1. y = 1 1. (a < b) & (d < c) Parent 1 Parent 2 1001 101 1 0011 011 2 1001011 x 0011101 y 3. (a > b) & (d < c) & (a < c) x = 2. (a > b) & (d > c) 2. y = 2 4.

Bonissone 66 .Progressive Decision = {Search. Optimization • Issues and Conclusions © Copyright 2004 by Piero P. Visualization} • Aggregation and Visualization • Search: Evolutionary MOO = EMOO . FL.Example of MSEA for Flexible Mfg.EA: Randomized Search • Multi-Objective Optimization (MOO) . EA • Modeling with FL and EA .Family of EMOOs . NN.SC Components: PR. Aggregation.Outline • Soft Computing Overview .One-Shot Decision = » A priori : (Aggregation + Search) or » A posteriori : (Search + Aggregation) .FL: Interpolative Reasoning .

Search © Copyright 2004 by Piero P.Issues and Conclusions: -Aggregation .Visualization . Bonissone 67 .

the initial aggregations should preserve semantics to enable interpretations of the intermediate variables used in the cascading aggregations © Copyright 2004 by Piero P. Bonissone 68 . averages.Associativity » Only intersections operators (T-Norms) and unions operators – (T-Conorms) are associative » Linear combinations.) – If possible.Issues and Conclusions: Aggregations Operators .Selecting an order of aggregation » Preservation of Choices (Principle of Least Commitment): – We should try to use the order that maintains the largest number of solution points after the partial aggregation (keeping your options open) – Complexity: # of aggregation = # of 2D projections = n*(n-1)/2 » Preservation of Semantics (Interpretation of Intermediate Vars. or non-linear (rule-based) operators will NOT be associative » Therefore the order of aggregation will matter .

Norms Properties T ( x. H ( y . T ( y . x+y) 0 Max(0. y ) : [0.y) 1 T . x ) = 0 T ( x.1] Min( x. x ) S ( x. y ) = T ( y .1] → [0. y ≤ v See Aggregation Slides T . y ) ≤ Max( x.1] ( Normalized ) Average Functions Prop. z ) S ( x. z ) S ( x. y ).1) = T (1. z )) ≠ H ( H ( x.1) = S (1. z )) = T (T ( x. x ) = 1 S ( x. and T-Conorms Intersections (T-Norms) Averages Unions (T-Conorms) x+y-x*y Min(1. y ) ≥ S (u. y ) H ( x.1] x[0. Bonissone 69 .1] T ( x. x+y-1) x*y Min(x. x ) = x T ( x. x ) = x S ( x. y ) : [0. x ) T ( x.1] → [0.1] x[0.y) Max(x. z )) = S ( S ( x. y ≥ v © Copyright 2004 by Piero P. y ) ≤ H ( x.0) = S (0. v ) if x ≥ u. H ( x. z ) T ( x. y ). y ) = S ( y . y ).Aggregations Operators T-norms. y ) ≤ T (u.1] → [0.1] x[0. S ( y . y ) : [0. Averages.0) = T (0. v ) if x ≤ u.Conorms Properties S ( x.

.However.Issues and Conclusions: Ease of Visualization .edu/~peskin/epriRpt/ParallelCoords.Alternative Visualization methods » Parallel coordinate plots EXAMPLE . . Bonissone 70 .html © Copyright 2004 by Piero P. the crossing of the red and blue trajectories is indicative of a possible collision because at t = 3 the red and blue lines in the parallel coordinate space show that the two airplanes are very close in physical space.caip.rutgers.The parallel coordinate view shows that at times t = 1 and t = 2 the airplanes are not going to collide.Dimensionality of Performance Space » 2D Projections of n-dimensional space are feasible up to a point – when n(n-1)/2 is still a manageable number . http://www.The apparent crossing of the red and green trajectories in the 3 dimensional space view is a graphical artifact.

map points) • DYNAMIC: Use penalties to decrease fitness or use Repair mechanism to enforce constraints after variational operators . Bonissone 71 .Requirements: » Evaluation: Needs to be fast since we need to computate fitness functions for every trial » Representation: – Solution representation needs to be efficient since it impacts convergence – Constraints representation • STATIC: incorporate static constraints into data structure (e..Issues and Conclusions: (EMOO) Search .Complexity: » Non-linearity in evaluation functions or constraints – not an issue with fitness functions » Non-convex search regions – Explored by aggressive variational operators © Copyright 2004 by Piero P.g.

Current use of EMOS shows very promising results (see next three slides) . – TOGA . Bonissone 72 .(similar to ES.PROFIT Focus: EMOO Search .Other Possible Approaches (for PROFITS) » Approximate Problem Representation: – 0/1 knapsack coupled with QCIP Low/Up bounds instead of real-valued weights » Other EMOOs using less trial-demanding Approaches : – Differential EMOOs . instead of GA).(not generating Pareto Front) © Copyright 2004 by Piero P.

Example of EMOO Search Showing 3D Pareto Surface from test data set (|X| =50) © Copyright 2004 by Piero P. Bonissone 73 .

Example of EMOO Search (PSEA) 3 Pareto Surface from test data set (|X| =1500) © Copyright 2004 by Piero P. Bonissone 74 .

Example of EMOO Search (PSEA) Compared with SLP on 2D Pareto Surface from test data set if we have Non-Linear Objectives © Copyright 2004 by Piero P. Bonissone 75 .

& Subbu (2002). Japan. J. Bonissone 76 . Utilities. 434-440... “Exploring the Pareto Frontier using multisexual algorithms: an application to a flexible Manufactuirng problem. Thiele. G. IEEE International Symposium on Intelligent Control. pp. A survey.. Kluwer Academic Press. WA. Iizuka. 20(11):1442-1471 Lis & EIben (1997)." in Proc. 1998. Subbu R. Zitzler . Coello Coello C. “ A multisexual Genetic Algorithm for Multiobjective Optimization. Management Science.. pp 10-22. 87(9): 1641-1667. Springer-Verlag 2001. Proceedings ICEC’97. September 1999 Bonissone S. September 14-15. F. Wiley. Y-T.C.. Fuzzy Systems.(1999). RPI (2003 ) Zadeh (1994). MD. 1-2.(2001). Proceedings of SPIE. P. P. Neural Nets and Soft Computing. © Copyright 2004 by Piero P. D. and Bonissone P. Conf. Proceedings of the IEEE. Goebel. (2002). and Decision Rules.IEEE TEC (1)1: 67-8 Xue. and Evolutionary Compoutation V. pp. NIST. Evolutionary Multi-Criterion Optimization. Lecture Notes in Computer Science #1933. Applications and Science of Neural. Sanderson. ”Hybrid Soft Computing Systems: Industrial and Commercial Applications''. Coello. No Free Lunch Theorems for Optimization . (1974). (1998) Fuzzy Logic Controlled Genetic Algorithms versus Tuned Genetic Algorithms: An Agile Manufacturing Application'' R. Khedkar. "Fuzzy Logic and Soft Computing: Issues. K. 2001 Fishburn. Deb K..R. Contentions and Perspectives. A. Van Veldhuizen. Multi-Objective Optimization using Evolutionary Algorithms. Deb. of IIZUKA'94: Third Int. Chen. Wolpert and Macready (1997). 1994. Corne (eds. Lamont. Evolutionary Algorithms for Solving Multi-Objective Problems. Seattle.. 59-64. pp. Gaithersburg.Work Cited Bonissone P. Lexicographic Orders.) (2001) . on Fuzzy Logic.

com/en/symfoware/visualminer/vmpcddemo.pdf BACK to Visualization © Copyright 2004 by Piero P. Bonissone 77 .fujitsu.SymfoWARE Visual Miner http://software.

Bonissone 78 .) BACK to Visualization © Copyright 2004 by Piero P.SymfoWARE Visual Miner (cont.

Bonissone 79 .) BACK to Visualization © Copyright 2004 by Piero P.SymfoWARE Visual Miner (cont.

) BACK to Visualization © Copyright 2004 by Piero P. Bonissone 80 .SymfoWARE Visual Miner (cont.

nbb.edu/neurobio/land/PROJECTS/Inselberg/ Background Slides (pointed by hyperlinks) © Copyright 2004 by Piero P. Bonissone 81 .http://www.cornell.

Multi-Objective Differential Evolution (MODE)
(Feng (Fred) Xue, RPI 2003)

Pareto based reproduction to extend differential evolution concept for single objective problems
z2

Di
z1
K  if pi is non-dominated  pi + F ⋅ ∑ piak − pibk  k =1 pi′ =  K γ ⋅ p + (1 − γ ) p + F ⋅ ∑1 piak − pibk if pi is dominated pbest ∈ Di best i  k= 

(

)

(

)

© Copyright 2004 by Piero P. Bonissone

82

MODE
• Differential Evolution (DE) (Storn & Price 1995) is similar to ES(µ,λ) • Adapts search step by evolutionary process:
- At the beginning the perturbation is BIG, since parent individuals are far away from each other - Later, as the population converges to a small region, the perturbation becomes SMALL

• Multi Objective Differential Evolution (MODE) the population is sorted in several ranks

© Copyright 2004 by Piero P. Bonissone

83

FLC-MODE System Architecture
• MODE parameters for tuning
- λ, greediness to control the exploitation of MODE - F, perturbation factor to control the exploration of MODE

• FLC inputs --- the state the MODE
- Population diversity: ratio of generational Pareto optimal solutions to the population size - Generation percentage: generations already performed to the predefined maximal generations KB
Population Diversity (PD) Generation Percentage (GP)

Fuzzy Logic Controller Multi-Objective Differential Evolution

∇λ (Greediness) ∇F (Perturbation Factor)

© Copyright 2004 by Piero P. Bonissone

84

0. Bonissone PD\PG VL VL PM L PM M PB H PB VH PB VH ∇F NB NB NB NB NM 85 . for outputs are chosen as [-0. 1].5.Fuzzy logic controller Membership functions: • Scale factors for inputs automatically fall into [0. FLC tunes the parameters to increase search space exploration.5] such that changes are within 50% of current setting • Rule base for ∇λ and ∇F: at the early stage of MODE. while exploitation is emphasized with the development of evolutionary process PD\PG VL L M H VH VL ZE ZE NM NB NB L ZE ZE ZE NM NB L ZE PM PB PB PB M PM ZE ZE ZE NM M NM ZE PM PB PB H PB PM ZE ZE ZE H NB NM ZE ZE ZE VH PB PB PM ZE ZE ∇λ © Copyright 2004 by Piero P.

02623 2.7907E-07 3.6700E-08 3.0307 0.0089 4.63895 0.1446E-07 4.2209E-06 0.7138E-08 1.5002 8. Bonissone .0189 1.6126E-04 FLC-MODE Mean Variance 0.02156 0.0039 0.6375E-06 86 T1 T2 T3 T4 T5 © Copyright 2004 by Piero P.0038 0.Experimental Results • Benchmark functions: the ZDT test suite (Zitzler et al. the computed results (distance measure) are statistically summarized below: Function MODE Mean Variance 0.0058 0. z ∈ Z} •30 runs are performed for each of the test functions using both FLCMODE and MODE with constant parameter settings.5285 2.0055 0.3944E-07 0. 2000) • Performance measurement: distance between computed Pareto set Z and theoretical Pareto set Z D := 1 Z ∑ min { z − z z∈Z .

Bonissone 87 . but its generalization should be carefully examined (see No Free Lunch Theorem) BACK TO ISSUES © Copyright 2004 by Piero P. • Demonstrated the effectiveness of the FLC-MODE compared to the counterpart MODE with constant parameter settings by applying them to a suite of well known benchmark functions.Remarks on FLC-MODE • Explored the application of fuzzy logic controller to dynamical online parameter control of a particular multi-objective evolutionary algorithm  MODE. • Noted that the FLC-MODE obtains better results in most of the cases.

Bonissone BACK TO ISSUES Black boxes do not rely explicitly on cost structure of partial solutions. a1 ) = ∑ f P( d m | f .dm is a particular set of m values (for distinct visiting points) .m is the number of time steps .IEEE TEC (1)1: 67-82 . m. the performance of an two search algorithms** is the same • For any two “black-box” optimization algorithms a1 and a2: ∑ f P( d m | f . m.Evolutionary Algorithms and the No Free Lunch Theorem (NFL) • Wolpert and Macready (1997): No Free Lunch Theorems for Optimization . like branch-and-bound 88 . in AI parlance) * ** f : X → Y and X and Y are finite © Copyright 2004 by Piero P.f is a combinatorial optimization problem • Danger of comparing algorithms on a small sample of problems • We must incorporate problem-specific knowledge into the behavior of the algorithm (from weak to strong search. a2 ) .Taken over the set of all possible combinatorial optimization problems*.

Static Constraints • Restricting Start Times Sim start ≤ Task start ≤ ( Sim end − Task dur ) • Handling Eclipses Schedule of Eclipses for Satellite T0 ime ed T se Eclip Unus uffer on B urati D Task TN C0 Continuum of Valid Start Times for Task Cn-x BACK TO ISSUES © Copyright 2004 by Piero P. Bonissone 89 .

Optimization: State of the Art Objective Function Feasible Region Word Description GEAM Linear Function Linear Convex Space • Function is defined using a linear equation • Space is also defined using linear equations • Easy to optimize • Formulations 1 and 2 • Linear Programming (easy to solve) Linear Function Nonlinear Convex Space • Function is defined using a linear equation • Space is defined using linear equations and a convex nonlinear equation • Harder to optimize • Formulation 3 • GRC developed Sequential Linear Programming © Copyright 2004 by Piero P. Bonissone 90 .

a convex nonlinear equation and a non-convex nonlinear equation • Very hard to optimize • Function is defined using nonlinear equations • Space is defined using linear equations and a convex nonlinear equation • Very hard to optimize • Function is defined using nonlinear equations • Space is defined using linear equations. Bonissone . a convex nonlinear equation and a non-convex nonlinear equation • Very hard to optimize GEAM • Formulation 4 • Current GRC Focus • Developing Evolutionary Algorithms Nonlinear Function Nonlinear Convex Space • Formulation 4 • Current GRC Focus • Developing Evolutionary Algorithms Nonlinear Function Nonlinear Non-convex Space • Formulation 5 • Current GRC Focus • Developing Evolutionary Algorithms BACK TO ISSUES 91 © Copyright 2004 by Piero P.Optimization: New Challenges Objective Function Linear Function Feasible Region Nonlinear Non-convex Space Word Description • Function is defined using a linear equation • Space is defined using linear equations.

the line connecting the points is not always contained in the same space line1 line2 Both lines are fully contained © Copyright 2004 by Piero P. Bonissone line1 line2 Line 2 is not fully contained 92 . the line connecting the points is fully contained in the same space For any two points in the space.Convex and Non-convex Spaces Convex Spaces Non-convex Spaces For any two points in the space.

Optimization Challenges: Feasible Regions Graphic Visual Linear Convex Space Word Description • For any two points in the space. the line connecting the two points is always contained in the same space • Space is defined using some nonlinear equations • For any two points in the space. the line connecting the two points is not always contained in the same space • Space is defined using some nonlinear equations Example Equation  a 11 a  21  M   a 81 a 12   b1  a 22   x   b 2      y ≤  M  M      a 82   b8  GEAM • Market value weighted yield formulation • Duration weighted yield formulation • Linear Programming (easy to solve) line1 line2 Set of linear equations Nonlinear Convex Space line1 line2  a 11 a  21  M   a 51 a 12   b1  a 22   x   b 2      y ≤  M  M      a 52   b5  Nonlinear equation x2 + y2 ≤ α a11 a12 a a  21 22 • Interest rate sigma formulation • GRC developed Sequential Linear Programming Nonlinear Non-convex Space line1 line2 x2  a13   b1  x ≤ a23   b2   y     Linear equation Set of nonlinear equations ax + by ≤ α • Interest rate sigma and VAR formulation • VAR is a nonlinear nonconvex constraint • Very hard to solve • Current GRC focus © Copyright 2004 by Piero P. the line connecting the two points is always contained in the same space • Space is defined using linear equations • For any two points in the space. Bonissone 93 .

Bonissone 94 .Convex & Non-convex Functions Convex nonlinear function Non-convex nonlinear function Convex contours Non-convex contours © Copyright 2004 by Piero P.

y ) = x 2 + y 2 • Interest rate sigma • GRC developed Sequential Linear Programming Nonlinear Non-convex Function • Function is defined using complex nonlinear equations • Multiple local optima • Functional gradients are inefficient • Very hard to optimize f (x. y) + g2(x. y) = g1(x. y) + g4(x.Optimization Challenges: Objective Functions Graphic Visual Linear Function Word Description • Function is defined using linear equations • Straightforward math relationship • Easy to optimize Example Equation GEAM • Market value weighted yield • Duration weighted yield • Linear Programming (easy to solve) f ( x. y ) = 2 x + y + 5 Nonlinear Convex Function • Function is defined using a nonlinear equation • Functional gradients lead to single optimum • Harder to optimize f ( x. y) + g3(x. Bonissone 95 . y) • Interest rate sigma and VAR • Very hard to solve • Current GRC focus BACK TO ISSUES © Copyright 2004 by Piero P.

00 ε .00 30. Bonissone Risk .00 0.00 Relaxed LP Solution SLP Solutions 10.00 35.Sequential Linear Programming Algorithm Step 1 Solve a unconstrained (relaxed) LP problem by removing the nonlinear risk constraint (Max.00 25.00 15.00 0.00 20.00 f (w ) = f (w 0 ) X1 5.00 5.00 30.00 |< BACK 96 © Copyright 2004 by Piero P.Efficient Frontier 2 3 4 1 Expected Return ∇f (w o ) f (w ) 25.00 10. a linear return function) X2 Linear Constraints Step 3 Shift the tangent plane by a small step size (ε) Step 4 Add a new linear risk constraint to the optimization problem ∇f (w o ) • w ≤ ∇f (w o ) • w o − ε Step 5 Solve the new optimization problem and yield a new solution X2 2 1 1 wo Feasible Region X1 Step 2 Evaluate the tangent plane of the nonlinear risk function at the current solution (W0) X2 Nonlinear Risk Contour 1 ∇f (w o ) • w ≤ ∇f (w o ) • w o − ε X1 Step 6 Repeat Step 2 until the risk value meets the target value or the step change is less a preset tolerance 35.00 Tangent Plane 15.00 20.

|< BACK © Copyright 2004 by Piero P. Bonissone 97 .Multi-Objective Evolutionary Algorithms: Generating the Pareto Frontier • VE-GA: Vector Evaluated GA (Shaffer & Grefenstette 1985) » N/k sub-populations created (where k is the number of criteria. N = Pop-Size) » Modified selection operator performs proportional selection for each sub-population according to each objective function » Sub-population shuffled to generate population of size N » Crossover and Mutation applied to population » Problems: – with “speciation” (sub-population excelling in only one aspect of fitness) – maintaining “middlings” (well-round individual not outstanding in any specific aspect of fitness) » Suggested: Heuristic selection to protect middling + heuristic crossbreeding of species » Equivalent to linear combination of objectives – Cannot generate Pareto-optimal solutions in the presence of non-convex search spaces.

normalized) weight Scalar fitness function is computed with weighted average of objectives Weights are encoded in genotype Diversity of weight combinations promoted by phenotypic fitness “sharing” EA evolves solutions and weights simultaneously • RW-GA: Random Weights GA (Ishibushi & Murata. Bonissone 98 . » A subset of these non-dominated solutions are re-introduced in population (elitism) » The RWGA report good results for multi-criteria search in even certain nonconvex functional spaces – but not in all… |< BACK © Copyright 2004 by Piero P. a provisional set of non-dominated solutions is identified.Multi-Objective Evolutionary Algorithms: Generating the Pareto Frontier • VOW-GA: Variable Objective Weighting GA (Hajela & Lin 1992) » » » » » Each objective is assigned a (non-negative. stored. 1998) » Each pair of parents is randomly assigned a weight vector used in their offspring evaluation » The (non-negative. and updated. normalized) weights represent a direction in the search » Each individual ‘s fitness is computed by a weighted average of objectives » Each offspring is locally improved by a k-neighborhood search around it » At each generation.

Multi-Objective Evolutionary Algorithms: Variable Weights • Variable Weights (VOW-GA) . Bonissone 99 . there is no possible set of weights that can identify those points Convex Feasibility Set Pareto frontier Sampled Points on Pareto frontier by varying weights Non-Convex Feasibility Set Pareto frontier Sampled Points on Pareto frontier by varying weights x Throughput T(x) Throughput T(x) Points that cannot be sampled by weights x x Quality Q(x) Quality Q(x) |< BACK © Copyright 2004 by Piero P.Problems: » If the Pareto frontier is non-convex.

Multi-Objective Evolutionary Algorithms: Generating the Pareto Frontier (cont. – If both individuals are non-dominated (or both are dominated).) • NP-GA: Niched Pareto GA (Horn. called the neighborhood radius) is selected. .It also requires a large population size. » Both individuals are compared to the members of the comparison set.The success of this algorithm is very dependent on the choice of the number of individuals in the comparison set. the nondominated individual is selected. then there is a tie. |< BACK © Copyright 2004 by Piero P..e. and the choice of the neighborhood radius. Goldberg. 1994) » A comparison set consisting of a pre-specified number of individuals is picked at random from the population » Once the comparison set has been selected. In such a case. . individuals that belong to smaller niches are encouraged in the event of a tie. Bonissone 100 . two individuals are picked at random from the population. Nafpiolitis. the individual with the smaller set of neighbors (i. similar individuals within a pre-specified distance. » Thus. – If one of them is non-dominated while the other is dominated.

. » The population is then reproduced utilizing the pseudo-fitness values. » Each individual in the pool is assigned the same pseudo-fitness value (proportional to the population size) and has an equal chance of being considered. » After sharing. » These individuals were assigned a lower pseudo-fitness value than the members in the first pool. Bonissone 101 .An improvement of the Niched Pareto GA. and all non-dominated individuals are classified into one pool. 1995) » Before selection is applied. the population is ranked on the basis of non-domination.Multi-Objective Evolutionary Algorithms: Generating the Pareto Frontier (cont. » To maintain population diversity.NSGA suffers from overall performance issues and are very dependent to the value of the sharing factor. |< BACK © Copyright 2004 by Piero P. and then temporarily ignored to identify the second pool of non-dominated individuals. these classified individuals are shared with the rest of the population by using their pseudo fitness values.) • NS-GA: Non-dominated Sorting GA (Srinivas & Deb. these individuals are recorded. » The process continues until the entire population is classified into pools. .

. Bonissone 102 . k r r f i ( x ) < f i (x * ) for at least one value of i |< BACK © Copyright 2004 by Piero P... k •Strong Dominance * • A point x ∈ S is Strongly Non-Dominated if there is no other point r r x ∈ S such that: a) b) r r f i ( x ) ≤ f i (x * ) for i = 1.....Definitions of Dominance • Weak Dominance r • A point x * ∈ S is Weakly Non-Dominated if there is no other point r x ∈ S such that: a) r r f i ( x ) < f i (x * ) for i = 1..

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