Expected Improvement of Penalty-Based Boundary Intersection for Expensive Multiobjective Optimization

Nobuo Namura, Koji Shimoyama, Shigeru Obayashi

Abstract: Computationally expensive multiobjective optimization problems are difficult to solve using solely evolutionary algorithms (EAs) and require surrogate models, such as the Kriging model. To solve such problems efficiently, we propose infill criteria for appropriately selecting multiple additional sample points for updating the Kriging model. These criteria correspond to the expected improvement of the penalty-based boundary intersection (PBI) and the inverted PBI. These PBI-based measures are increasingly applied to EAs due to their ability to explore better nondominated solutions than those that are obtained by the Tchebycheff function. In order to add sample points uniformly in the multiobjective space, we assign territories and niche counts to uniformly distributed weight vectors for evaluating the proposed criteria. We investigate these criteria in various test problems and compare them with established infill criteria for multiobjective surrogate-based optimization. Both proposed criteria yield better diversity and convergence than those obtained with other criteria for most of the test problems.