Multiobjective Optimization

Carlos A. Santos Silva

Motivation
Usually, in optimization problems, there is more than one objective:
Minimize Cost
Maximize Performance
The objectives are often conflicting:
Minimize Cost implies minimizing performance
Maximize Performance implies maximize cost
Solar
Wind
Cost() Performance(kW/year)
Solar
Wind
What is the best solution?
15
10
20
5
25 7,5
A possible approach is
To transform multiple objectives into a single objective
Maximize Profit (with performance measured in terms of cost)
Profit is a simple sum of cost and performance
If objectives are equally important....
Solar
Wind
Profit ()
(10)
(10)
(17,5)
What is the best solution?
Are objectives equally important?
If objectives are not equally important
What is the relative importance between them?
One has to decide a priori the relative importance of objectives
Is Performance more important than Cost?
Is Performance more important than Cost?
How much? 2 times? 10 times?
Solar
Wind
Profit ()
(5)
(0)
Solar
Wind
Profit ()
(25)
(30)
2x Cost = Performance
Cost = 2x Performance
What is the best solution?
Solar
Wind
Profit ()
35
80
Cost = 10xPerformance
(42,5)
(10) 50
What if objectives are not comparable?
Often, objectives are often non- commensurable
Expressing performance in monetary units might be impossible
Example:2 star hotel by 50 or 4 star hotel by 150
Is each star valued as 50? Does a 1 star hotel worth 0?
Is it the same pay 100 by a 3 star hotel, 150 by a 4 star or 200 by a 5 star
Even if cost of stars is not linear, is it possible to compare both objectives in
the same unit?
Why not compare solutions?
Another approach is to evaluate solutions for both objectives and let someone
(Decision Maker) choose the best solution
Performance
Cost
20
10
15
5
Best performance
Best Cost
Decision Maker decides is paying extra 5 is worth to have an extra 5 in performance!
MULTIOBJECTIVE OPTIMIZATION
General Description
Multiobjective optimization
Choosing the best solution considering different, usually contradictory objectives
Usually, there is no single best solution, but a set of solutions that are equally good
Methodology
A posteriori (Decision Maker defines preferences based on optimization)
Modeling
Optimizing
Deciding
A priori (DM defines preferences before optimization)
Also know as
Multicriteria decision Making (MCDM)
Multicriteria decision aiding (MCDA)
Multatribute decision making (MADM)
If all functions are linear
Multiobjective Linear Programming (MOLP)
Definition
Domain
x = (x1, x2, , xn)
Cost function
f(x) = f1(x) f2(x) fk(x))
Multi-objective problem:
min max
subject to ( ) 0, 1, ,
( ) 0, 1, ,
[ , ]

m g
m g g h
g m n
h m n n n
x
x
x x x
minimize ( ) f x
What is an optimum in this case?
Improving in one objective may deteriorate another
Balance in trade-off solutions is achieved when
A solution cannot improve any objective without degrading one or more of the other objectives.
A
B
f
1
f
2
Pareto Optimum
Pareto improvement
change from one allocation to another that can make at least one individual better
off without making any other individual worse off is called a Pareto improvement
Pareto Optimum
An allocation is defined as Pareto efficient or Pareto optimal when no further
Pareto improvements can be made
These solutions are called non-dominated solutions.
The set of these solutions is a non-dominated set or the Pareto-optimal set.
The corresponding objective vectors are referred to as the Pareto-front.
Weak Pareto Optimum
there are alternative allocations where at least one objective would be worse
Vilfredo Pareto
1848-1923
Multiobjective Optimization
All Pareto optimal can be regarded as equally desirable and we need a decision
maker to identify the most desirable among them
Types of Approaches
Non interactive
Basic
NonPreference
Others
Iterative
Trade-off
Reference Point
Classification Based
Evolutionary
Evolutionary algorithms
Ant Colonies
Particle Swarm
Have proven to be the best methodologies
NON INTERACTIVE
Basic Methods
Not really multioptimization methods
Weighted method
Only works well in convex problems
It can be used a priori or a posteriori (DM defines weights afterwards)
It is important to normalize different objectives!
- constrained method
Only one objective is optimized, the other are constraints
Works for convex or non-convex problems
Non-preference methods
DM opinion is only listened after solving the problem
There is no DM or he is not expecting any special result
Global criteria
Minimize distance to some reference solution
Depends on distance metric
Neutral compromise solution
Try to find the middle point of all solutions
Others
Weighted metrics
The distance to different objectives is weighted
Goal Programming / Goal Attaining
Define a set of aspiration goals
Minimize distance to goals
Comparison
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non-preference
x x
a priori
x x x
a posteriori
x x x
can find any Pareto
Optimal
x (x) x
solutions always
Pareto Optimal
(x) (x) (x) (x) (x)
Information
weights bounds weights
reference point
order
INTERACTIVE METHODS
General
Decision Maker expresses preferences during the optimization process
Only a part of Pareto solutions are found and evaluated
DM does not need a global structure view of preferences
Saves time and makes comparison between solutions easier
Implies an active participation during optimization process
Algorithm
1. Initialize (e.g. Neutral Solution)
2. Ask DM for preference
3. Evaluate a new set of solutions
Usually has two phases
Learning phase for DM
Real Decision Making phase
Trade-off Methods
Trade-off
Rate of exchange between two objectives (how much you win / how much you loose)
Trade-off computation helps DM to know which region should be explored
Zionts-Wallenius or ISWT methods
Ask DM to express preferences and evaluate trade-off values
Geoffrion-Dyer-Feinberg (GDF) or SPOT or GRIST methods
DM provides subjective trade-off values
Reference Point Approaches
Decision maker provides:
Preference values for the outcomes (reference points)
Relative order between objectives
DM may change reference points
Based in three principles:
1. Considers separation between preferential and substantive methods
2. Objective aggregation is nonlinear (different from weighted basic approach)
3. Holistic perception of objectives
Signal substantive changes in objective values
Stopping criteria
When the DM is satisfied with solution
Classification-Based Methods
DM chooses which objective functions should be improved and which ones
can be maintain the value
DM can also indicate intervals of improvements
Similar to reference point methods
Step method
At each iteration, DM indicates acceptable values and unacceptable values
DM gives up a little bit on acceptable values to improve unacceptable
Satisficing Trade-off method
DM is asked to define the objectives into three classes:
acceptable, to relax, to improve
DM defines bounds for trade-offs (aspiration levels)
NIMBUS method
DM defines 5 classes of objectives
DM receives up to 4 Pareto Optimal solutions
EVOLUTIONARY
MULTIOPTIMIZATION (EMO)
Ideal Multiobjective Optimization
The strength is the fact that parallel solutions are computed at the same time
EVOLUTIONARY ALGORITHMS
Approaches
Vector Evaluated GA (VEGA), (Shaffer, 1985).
Multi-Objective GA (MOGA), (Fonseca & Fleming, 1993)
Non-dominated Sorting GA (NSGA), (Deb et al., 1994).
Niched Pareto GA (NPGA), (Horn et al., 94)
Target Vector approaches, (several authors)
NSGA II, (Deb et al., 2002).
Deb K, Pratap A, Agarwal S, et al. A fast and elitist multiobjective genetic algorithm:
NSGA-II. IEEE Transactions on Evolutionary Computation 6 (2): 182-197 Apr 2002.
VEGA
With M objectives to be handled, population is divided by the objectives. Each
subpopulation has its own fitness.
Advantages: only selection mechanism is modified, so it is easy to implement and efficient
(computational complexity is the same).
Drawbacks: difficult to find good compromise solutions, as each solution is looking only to
individual objective function. It can happen that few points of the Pareto front are found.
VEGA implementation on TSP
Optimize Distance (Z1) and Time (Z2)
1. Initialize
2. Separate to Selection
3. Shuffle to crossover and mutate
1 2 3 4 5 6 7 7 3 5 6 4 2 1
5 6 7 1 2 4 3 1 3 7 5 6 4 2
Z1=69, Z2=3
Z1=64,Z2=3
Z1=65, Z2=2,5 Z1=66,Z2=2
7 3 5 6 4 2 1
5 6 7 1 2 4 3
1 3 7 5 6 4 2
Z1=64
Z1=65 Z2=2
5 6 7 1 2 4 3
Z2=2,5
7 3 5 6 4 2 1
5 6 7 1 2 4 3
1 3 7 5 6 4 2
Z1=64
Z1=65
Z2=2
5 6 7 1 2 4 3
Z2=2,5
MOGA
Differs from VEGA in the way fitness is assigned to a
solution:
A rank is assigned to each solution r
i
= 1 + n
i
, where n
i
is
the number of solutions that dominate solution i.
Fitness is related to the inverse of ranking.
This simple procedure does not assure diversity among
non-dominated solutions.
A niche-formation method was introduced to distribute the
population over the Pareto-optimal region.
Advantages:
fitness assignment scheme is simple.
Can find spread Pareto-optimal solutions.
Drawbacks:
introduce unwanted bias towards some solutions.
May be sensitive to the shape of Pareto-optimal front.
Example
Objectives:
minimise internal temperature gradient,
minimise heat loss,
minimise area of the evaporator
Design variables:
height of evaporator bottom,
evaporator depth.
evaporator thickness,
evaporator width,
insulation thickness
Geometric constraints:
each parameter has a minimum and a maximum bound
Fixed dimensions:
outside dimensions of the fridge, size of the condenser
Design evaluators:
STAR-CD CFD/Heat Transfer Commercial Code
NGSA II (Elitist Non-Dominating Sorting GA)
This method differs from previous in:
Uses an elitist principle (sort by fitness
before selection)
Uses an explicit diversity preserving
mechanism (Crowding distance)
Emphasizes non-dominated solutions
(classify solutions in three fronts)
ANT COLONY OPTIMIZATION
ACO approaches (MOACO)
Multi-colony algorithms
Multiple pheromone matrices algorithms.
Multiple heuristic functions algorithms
Multi Colony Algorithm
Each colony optimizes one objective.
Having k objectives, a total of k colonies is used.
Colonies cooperate by sharing information about the solutions found by each
colony.
Local sharing: is performed after next node is added to current path of a new partial
solution. Solutions are grouped into non-dominance solutions.
Fitness value fij is calculated for the best solution so far.
Global sharing: similar process but now it is performed after completion of paths.
Multiple pheromone and/or heuristic matrices
Two objectives: two pheromone matrices and two heuristic matrices (Iredi, 2001):
Having Kobjectives (Doerner, 2004):
Single pheromone function and several heuristics information functions (Barn and
Schaerer, 2003):
COMPARISON BETWEEN
EA AND ACO
Example: TSP
Traveling Salesman Problem with multiple objectives:
cost,
length,
travel time,
tourist attractiveness.
Used approaches:
Results for KROAB50
Results for KROAB100
PARTICLE SWARM
MO Particle Swarm Optimization (MOPSO)
Uses Archive Mechanism (A)
List of non-dominated solutions
Use a swarm like for single objective
Evaluate each solution to see if it is non-
dominated or not
Evaluate pbest and gbest for each of the
objectives
Similar to VEGA approach
SOFTWARE
Matlab
Goal Programming / Goal Attain
x = fgoalattain(fun,x0,goal,weight)
Evolutionary MultiObjective Optimization
http://www.mathworks.com/matlabcentral/fileexchange/10351
READINGS
Energy Systems
Two objective functions
Cost
Emissions
NonInteractive Approaches
Constrained and Goal Attained
Green Building Design
Two objective functions
Lyfe Cycle Cost
Lyfe Cycle Environment Impact
EA approach
MOGA