Tuesday, August 2, 2022

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

Giacomo Borghi, Michael Herty, Lorenzo Pareschi (preprint arXiv:2208.01362)

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.