Multi-objective Bayesian Optimization Supported by an Expected Pareto Distance Change

Abstract

The solution to global (a posteriori) multi-objective optimization problems traditionally relies on population-based algorithms, which are very effective in generating a Pareto front. Unfortunately, due to the high number of function evaluations, these methods are of limited use in problems that involve expensive black-box functions. In recent years, multi-objective Bayesian optimization has emerged as a powerful alternative; however, in many applications, these methods fail to generate a diverse and well-spread Pareto front. To address this limitation, our work introduces a novel acquisition function (AF) for multi-objective Bayesian optimization that produces more informative acquisition landscapes. The proposed AF comprises two terms, namely, a distance-based metric and a diversity index. The distance-based metric, referred to as the expected Pareto distance change, promotes the evaluation of high-performing designs and repels low-performing design zones. The diversity term prevents the evaluation of designs that are similar to the ones contained in the current sampling plan. The proposed AF is studied using seven analytical problems and in the design optimization of sandwich composite armors for blast mitigation, which involves expensive finite element simulations. The results show that the proposed AF generates high-quality Pareto sets outperforming well-established methods such as the Euclidean-based expected improvement function. The proposed AF is also compared with respect to a recently proposed multi-objective approach. The difference in their performance is problem dependent.