On expected-improvement criteria for model-based multi-objective optimization

Abstract

Surrogate models, as used for the Design and Analysis of Computer Experiments (DACE), can significantly reduce the resources necessary in cases of expensive evaluations. They provide a prediction of the objective and of the corresponding uncertainty, which can then be combined to a figure of merit for a sequential optimization. In single-objective optimization, the expected improvement (EI) has proven to provide a combination that balances successfully between local and global search. Thus, it has recently been adapted to evolutionary multi-objective optimization (EMO) in different ways. In this paper, we provide an overview of the existing EI extensions for EMO and propose new formulations of the EI based on the hypervolume. We set up a list of necessary and desirable properties, which is used to reveal the strengths and weaknesses of the criteria by both theoretical and experimental analyses. © 2010 Springer-Verlag.