A robust multi-objective Bayesian optimization framework considering input uncertainty
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Abstract: Bayesian optimization is a popular tool for data-efficient optimization of expensive objective functions. In real-life applications like engineering design, the designer often wants to take multiple objectives as well as input uncertainty into account to find a set of robust solutions. While this is an active topic in single-objective Bayesian optimization, it is less investigated in the multi-objective case. We introduce a novel Bayesian optimization framework to efficiently perform multi-objective optimization considering input uncertainty. We propose a robust Gaussian Process model to infer the Bayes risk criterion to quantify robustness, and we develop a two-stage Bayesian optimization process to search for a robust Pareto frontier. The complete framework supports various distributions of the input uncertainty and takes full advantage of parallel computing. We demonstrate the effectiveness of the framework through numerical benchmarks.
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Cites work
- Advanced Lectures on Machine Learning
- Computing a nearest symmetric positive semidefinite matrix
- Efficient computation of expected hypervolume improvement using box decomposition algorithms
- Efficient global optimization of expensive black-box functions
- Evolutionary Multi-Criterion Optimization
- Fast calculation of multiobjective probability of improvement and expected improvement criteria for Pareto optimization
- The sample average approximation method for stochastic discrete optimization
Cited in
(7)- Bayesian optimization with output-weighted optimal sampling
- Multi-fidelity cost-aware Bayesian optimization
- Output Space Entropy Search Framework for Multi-Objective Bayesian Optimization
- Deep Gaussian process for multi-objective Bayesian optimization
- A sampling criterion for constrained Bayesian optimization with uncertainties
- Coupling and selecting constraints in Bayesian optimization under uncertainties
- Non-parametric measure approximations for constrained multi-objective optimisation under uncertainty
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