Learning Multiobjective Program Through Online Learning

Chaosheng Dong, Yijia Wang, Bo Zeng

Keywords: Learning Multiobjective Program, Multiobjective Optimization

Abstract: We investigate the problem of learning the parameters (i.e., objective functions or constraints) of a multiobjective decision making model, based on a set of sequentially arrived decisions. In particular, these decisions might not be exact and possibly carry measurement noise or are generated with the bounded rationality of decision makers. In this paper, we propose a general online learning framework to deal with this learning problem using inverse multiobjective optimization, and prove that this framework converges at a rate of $\mathcal{O}(1/\sqrt{T})$ under certain regularity conditions. More precisely, we develop two online learning algorithms with implicit update rules which can handle noisy data. Numerical results with both synthetic and real world datasets show that both algorithms can learn the parameters of a multiobjective program with great accuracy and are robust to noise.

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