Multiobjective Tree-Structured Parzen Estimator

Abstract

Practitioners often encounter challenging real-world problems that involve a simultaneous optimization of multiple objectives in a complex search space. To address these problems, we propose a practical multiobjective Bayesian optimization algorithm. It is an extension of the widely used Tree-structured Parzen Estimator (TPE) algorithm, called Multiobjective Tree-structured Parzen Estimator (MOTPE). We demonstrate that MOTPE approximates the Pareto fronts of a variety of benchmark problems and a convolutional neural network design problem better than existing methods through the numerical results. We also investigate how the configuration of MOTPE affects the behavior and the performance of the method and the effectiveness of asynchronous parallelization of the method based on the empirical results.