An adaptive consensus based method for multi-objective optimization with uniform Pareto front approximation

DOI10.1007/S00245-023-10036-YarXiv2208.01362OpenAlexW4385723738MaRDI QIDQ6133674FDOQ6133674

Giacomo Borghi, Lorenzo Pareschi, Michael Herty

Publication date: 21 August 2023

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Abstract: In this work we are interested in stochastic particle methods for multi-objective optimization. The problem is formulated using parametrized, single-objective sub-problems which are solved simultaneously. To this end a consensus based multi-objective optimization method on the search space combined with an additional heuristic strategy to adapt parameters during the computations is proposed. The adaptive strategy aims to distribute the particles uniformly over the image space by using energy-based measures to quantify the diversity of the system. The resulting metaheuristic algorithm is mathematically analyzed using a mean-field approximation and convergence guarantees towards optimal points is rigorously proven. In addition, a gradient flow structure in the parameter space for the adaptive method is revealed and analyzed. Several numerical experiments shows the validity of the proposed stochastic particle dynamics and illustrate the theoretical findings.

Full work available at URL: https://arxiv.org/abs/2208.01362

zbMATH Keywords

multi-objective optimizationmean-field limitgradient-free methodsstochastic particle methodsconsensus-based optimization

Mathematics Subject Classification ID

Numerical optimization and variational techniques (65K10) Multi-objective and goal programming (90C29) PDEs in connection with control and optimization (35Q93) Derivative-free methods and methods using generalized derivatives (90C56) PDEs in connection with mathematical programming (35Q90)

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Cited In (4)

• Consensus-based optimization methods converge globally
• Control methods in hyperbolic PDEs. Abstracts from the workshop held November 5--10, 2023
• Ensemble-Based Gradient Inference for Particle Methods in Optimization and Sampling
• Leveraging memory effects and gradient information in consensus-based optimisation: on global convergence in mean-field law

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