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Bayesian multi-objective optimization for stochastic simulators: an extension of the Pareto Active Learning method

Abstract : This article focuses on the multi-objective optimization of stochastic simulators with high output variance, where the input space is finite and the objective functions are expensive to evaluate. We rely on Bayesian optimization algorithms, which use probabilistic models to make predictions about the functions to be optimized. The proposed approach is an extension of the Pareto Active Learning (PAL) algorithm for the estimation of Pareto-optimal solutions that makes it suitable for the stochastic setting. We named it Pareto Active Learning for Stochastic Simulators (PALS). The performance of PALS is assessed through numerical experiments over a set of bi-dimensional, bi-objective test problems. PALS exhibits superior performance when compared to other scalarization-based and random-search approaches.
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Preprints, Working Papers, ...
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https://hal-centralesupelec.archives-ouvertes.fr/hal-03714535
Contributor : Julien Bect Connect in order to contact the contributor
Submitted on : Tuesday, July 19, 2022 - 11:03:56 AM
Last modification on : Friday, July 22, 2022 - 3:34:46 AM

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Distributed under a Creative Commons Attribution - NonCommercial - NoDerivatives 4.0 International License

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  • HAL Id : hal-03714535, version 2
  • ARXIV : 2207.03842

Citation

Bruno Barracosa, Julien Bect, Héloïse Dutrieux Baraffe, Juliette Morin, Josselin Fournel, et al.. Bayesian multi-objective optimization for stochastic simulators: an extension of the Pareto Active Learning method. 2022. ⟨hal-03714535v2⟩

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