BMOO: a Bayesian Multi-Objective Optimization algorithm

Paul Feliot (1, 2, 3) , Julien Bect (1, 2, 3) , Emmanuel Vazquez (1, 2, 3)

1 GdR MASCOT-NUM - Méthodes d'Analyse Stochastique des Codes et Traitements Numériques
2 L2S - Laboratoire des signaux et systèmes
3 IRT SystemX

We address the problem of derivative-free multi-objective optimization of real-valued functions subject to multiple inequality constraints.

Keywords: kriging; Subset simulation; multi-objective optimization; Bayesian optimization; Gaussian processes; Expected improvement; Sequential Monte-Carlo

Domains: Mathematics [math]; Optimization and Control [math.OC]

Paul Feliot, Julien Bect, Emmanuel Vazquez. BMOO: a Bayesian Multi-Objective Optimization algorithm. Journées annuelles du GdR MASCOT NUM (MASCOT NUM 2016), Mar 2016, Toulouse, France. ⟨hal-01377761⟩