A consensus-based algorithm for multi-objective optimization and its mean-field description

Authors Giacomo Borghi, Michael Herty, Lorenzo Pareschi

Publication date 30 March 2022

Has companion code repository https://github.com/borghig/am-cbo

PDEs in connection with mechanics of particles and systems of particles (35Q70) Fokker-Planck equations (35Q84) PDEs in connection with control and optimization (35Q93) Multi-objective and goal programming (90C29) Derivative-free methods and methods using generalized derivatives (90C56)

Abstract: We present a multi-agent algorithm for multi-objective optimization problems, which extends the class of consensus-based optimization methods and relies on a scalarization strategy. The optimization is achieved by a set of interacting agents exploring the search space and attempting to solve all scalar sub-problems simultaneously. We show that those dynamics are described by a mean-field model, which is suitable for a theoretical analysis of the algorithm convergence. Numerical results show the validity of the proposed method.

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