MULTIOBJECTIVE OPTIMIZATION

António Galrão Ramos

INTRODUCING MULTIOBJECTIVE OPTIMIZATION
INTRODUCTION

• So far, we have considered single-objective problems only

• Usually, in real life, there is more than one objective

• e.g. buy a new car
• low price,
• low petrol consumption,
• and powerful car

• And the objectives are often conflicting:

• Usually a lower price implies less power
• Usually a powerful car implies a highest petrol consumption

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INTRODUCING MULTIOBJECTIVE OPTIMIZATION
INTRODUCTION

• Example

9
Consumption (l/100 km)

Toyota
8
Ford
VW
7 Opel

6
13 14 15 16 17
Price (1.000 €)
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INTRODUCING MULTIOBJECTIVE OPTIMIZATION
A POSSIBLE APPROACH IS…

• To transform multiple objectives into a single objective

• Minimize cost (with consumption measured in terms of cost)
• Cost is a simple sum of price and consumption

• If objectives are equally important....

5.1
Consumption (1.000 €)

Toyota;
4.8 20,1

4.5 Ford; 18,5

VW; 20,5
4.2 Opel; 19,1

3.9
13 14 15 16 17
Price (1.000 €)

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INTRODUCING MULTIOBJECTIVE OPTIMIZATION
A POSSIBLE APPROACH IS…

• If objectives are not equally important

• What is the relative importance between them?

• One has to decide a priori the relative importance of the objectives

• Is Consumption more important than Price?
• How much? 4 times?

5.1
Consumption (1.000 €)

Toyota;
4.8 34,9

4.5 Ford; 32
VW; 33,5
4.2 Opel; 31,7

3.9
13 14 15 16 17
Price (1.000 €)

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INTRODUCING MULTIOBJECTIVE OPTIMIZATION
WHAT IF OBJECTIVES ARE NOT COMPARABLE?

• Objectives can be incommensurable, i.e., measured in different units on different scales.

• Expressing power in monetary units might be impossible.

• e.g. power (kW). Does 1 kW worth 5€?

• It is clearly hard to optimize all these things at the same time. Usually we must find a
trade-off or compromise.

• The objectives are in addition to several (hard) constraints.

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INTRODUCING MULTIOBJECTIVE OPTIMIZATION
WHY NOT COMPARE SOLUTIONS?

• Another approach is to evaluate solutions for both objectives and let someone (Decision
Maker) choose the best solution.

9
Consumption (l/100 km)

Toyota
8
Ford
VW
7 Opel

6
13 14 15 16 17
Price (1.000 €)

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MULTIOBJECTIVE OPTIMIZATION
TYPES OF DECISION PROBLEMS

• Based on the description of the set of alternatives.

• Problems with finitely many alternatives that are explicitly known. The goal is to select a most
preferred one. Multicriteria decision aid deals with such problems.

• Discrete problems where the set of alternatives is described by constraints in the form of
mathematical functions.

• Continuous problems. The set of alternatives is generally given through constraints.

• Based on the incorporation of the decision maker system of preferences

• a priori – methods that incorporate the preferences of the decision maker (e.g. goal
programming).
• a porteriori – methods that generate the set of nondominated solutions (e.g. linear combination
of weights).
• Iterative – progressive incorporation of the decision maker preferences.

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MULTIOBJECTIVE OPTIMIZATION
THE GENERAL MULTICRITERIA OPTIMIZATION PROBLEM

• The vector x ∈ ℝ𝑛 is formed by 𝑛 decision variables representing the quantities for which values are to be chosen in the
optimization problem.
• The feasible set 𝑋 ⊆ ℝ𝑛 is implicitly determined by a set of equality and inequality constraints.
• The vector function f ∶ ℝ𝑛 → ℝ𝑘 is composed by 𝑘 scalar objective functions 𝑓𝑖 : ℝ𝑛 → ℝ (𝑖 = 1, … , 𝑘; 𝑘 ≥ 2).
• In multiobjective optimization, the sets ℝ𝑛 and ℝ𝑘 are known as decision variable space and objective function space.
• The image of 𝑋 under the function f is a subset
of the objective function space denoted by
𝑍 = f(𝑋) and referred to as the feasible set in
the objective function space.
• The problem generalizes single-objective 𝑍 ⊆ ℝ𝑘
optimization.

• This is a vector minimization problem and must be establish the meaning of “minimize” in ℝ𝑘 .
• How to compare vectors f(x) ∈ ℝ𝑘 for different solutions x ∈ ℝ𝑛 ?

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SOLUTION CONCEPT
DOMINANCE RELATIONS

• Example with two objectives (minimization):

Which is best? Not clear: depends upon 𝑎 dominates 𝑏 no matter which objective is
importance and scaling factors more important / or how they are rescaled

Thus, some pairs of vectors can be compared even when objectives are measured in
different units on different scales
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SOLUTION CONCEPT
DOMINANCE RELATIONS

• 𝑎 dominates 𝑏 if it is better in at least one objective and worse in none. 𝑎 ≻ 𝑏.

• 𝑎 weakly dominates 𝑏 if it dominates 𝑏 or is equal to 𝑏. We also write 𝑎 ≽ 𝑏.

• 𝑎 strongly dominates 𝑏 if it is strictly better than 𝑏 in all objectives. We also write

𝑎 ≻≻ 𝑏.

• 𝑎 is incomparable to 𝑏 if neither 𝑎 nor 𝑏 dominates the other, and they are not equal to
one another. We write 𝑎 ∥ 𝑏.

• NOTE: 𝑎 ≻≻ 𝑏 ⇒ 𝑎 ≻ 𝑏 ⇒ 𝑎 ≽ 𝑏

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SOLUTION CONCEPT
DOMINANCE RELATIONS

• Graphically, for two objectives:

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SOLUTION CONCEPT
DOMINANCE PARTIAL ORDER

The dominance relation is

• transitive: 𝑎 ≻ 𝑏 and 𝑏 ≻ 𝑐 ⇒ 𝑎 ≻ 𝑐
• irreflexive: 𝑎 ⊁ 𝑎
• antisymmetric: 𝑎 ≻ 𝑏 ⇏ 𝑏 ≻ 𝑎

The incomparable relation is

• non-transitive: 𝑎 ∥ 𝑏 and 𝑏 ∥ 𝑐 ⇏ 𝑎 ∥ 𝑐
• irreflexive: 𝑎 ∦ 𝑎
• symmetric: 𝑎 ∥ 𝑏 ⇒ 𝑏 ∥ 𝑎

• The dominance relation induces a partial order on the set of vectors in the objective
space...

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SOLUTION CONCEPT
DOMINANCE PARTIAL ORDER

• The dominance relation induces a partial order on the set of vectors in the objective
space

𝑎 ≻ 𝑑 ≻ 𝑓; 𝑏 ≻ 𝑐; 𝑎ǁ𝑏 The set {a, b} is a nondominated set.

The other points are dominated.

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PARETO OPTIMALITY

𝑋∗
Z
𝑋
Z∗

Def. 1 (Pareto Front) The Pareto front Z∗ of an objective space Z is the set of
nondominated points in 𝑍 : 𝑍 ∗ = 𝑧 ∈ 𝑍 ∄𝑧′ ∈ 𝑍, 𝑧′ ≻ 𝑧 } . We may also write 𝑍 ∗
= min(𝑍).

Def. 2 (Pareto Optimal Set) The Pareto optimal set 𝑋 ∗ of a decision (search) space
𝑋 is the pre-image of the Pareto front, 𝑍 ∗ : 𝑋 ∗ = 𝑥 ∈ 𝑋 𝑧 = 𝑓 (𝑥) ∈ 𝑍 ∗ }

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APPROXIMATION SETS

∗
𝑋 𝑎𝑝𝑟𝑜𝑥
Z
𝑋
∗
𝑍 𝑎𝑝𝑟𝑜𝑥

∗
Def. 3 (Pareto Front Approximation) A Pareto front 𝑍 𝑎𝑝𝑟𝑜𝑥 is any set of mutually
nondominated points in 𝑍 ′ ⊆ 𝑍 : 𝑍 𝑎𝑝𝑟𝑜
∗ ′ ′
𝑥 = 𝑧 ∈ 𝑍 ⊆ 𝑍 ∄𝑧′ ∈ 𝑍 , 𝑧′ ≻ 𝑧 } . We may
∗ ′
also write 𝑍 𝑎𝑝𝑟𝑜 𝑥 = min(𝑍 ).

∗
Def. 4 (Pareto Set Approximation) A Pareto set approximation 𝑋 𝑎𝑝𝑟𝑜𝑥 is
the pre-image of a Pareto front approximation.

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𝜀 - APPROXIMATE PARETO FRONT

Def. 5 (𝜀 -dominance) A point 𝑎 𝜀 -dominates a point 𝑏 if

(1 + 𝜀).𝑎 ≻ 𝑏 (assuming maximization)

where 𝜀 is a vector of (small) values.

true Pareto front Def. 6 (𝜀 - Approximate Pareto front)

An 𝜀 -approximate Pareto front is a
Pareto front approximation such that
−dominated
region every point in the true Pareto front is 𝜀 -
dominated.

Pareto front
approximation

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COMPUTING A SET OF NONDOMINATED POINTS

• Inefficient method:

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COMPUTING A SET OF NONDOMINATED POINTS

• An efficient method for 2d (two-objective) problems (assuming minimization) is

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SOLUTION CONCEPT
SUMMARY

• We can use dominance to compare two solutions

• This defines a partial order
• The minima of this partial order are known as Pareto optima
• The Pareto optima are our solutions (or optimal solutions)
• We may want to find all of them, to allow a decision maker to select from them using
preferences

• Thus the solution concept is finding the whole Pareto front

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GOAL PROGRAMMING

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GOAL PROGRAMMING
BASIC APPROACH

• Establish a specific numeric goal for each of the objectives, formulate an objective
function for each objective, and then seek a solution that minimizes the (weighted) sum
of deviations of these objective functions from their respective goals.

• There are three possible types of goals:

• A lower, one-sided goal sets a lower limit that we do not want to fall under (but exceeding the
limit is fine).
• An upper, one-sided goal sets an upper limit that we do not want to exceed (but falling under the
limit is fine).
• A two-sided goal sets a specific target that we do not want to miss on either side.

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GOAL PROGRAMMING
BASIC APPROACH

Categorization according to how the goals compare in importance.

• Nonpreemptive goal programming - all the goals are of roughly comparable importance.

• Preemptive goal programming, there is a hierarchy of priority levels for the goals, so that
the goals of primary importance receive first priority attention, those of secondary
importance receive second-priority attention, and so forth (if there are more than two
priority levels). This is called lexicographic ordering.

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GOAL PROGRAMMING
MATHEMATICAL FORMULATION

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GOAL PROGRAMMING

• Procedure for Achieving a Goal

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GOAL PROGRAMMING
PREEMPTIVE GOAL PROGRAMMING

• To apply preemptive goal programming, the objective function must be separate into 𝒎
components, where component 𝑷𝒊 consists of the objective function term involving goal
𝒊.
• There are two basic methods based on linear programming for solving preemptive goal
programming problems.
• sequential procedure,
• streamlined procedure.

• The sequential procedure solves a preemptive goal programming problem by solving a

sequence of linear programming models.
1. Included in the linear programming model only the first-priority goals
2. Solve the LP model
3. If the resulting optimal solution is unique (𝒁 = 𝟎) then
• Adopt the solution without considering any additional goals.
4. Otherwise
• add the next-priority goals to the model
• the deviations from previous-priority goals are set to zero
• Return to 1

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GOAL PROGRAMMING
PREEMPTIVE GOAL PROGRAMMING

• The streamlined procedure solves a preemptive goal programming problem by solving

just one linear programming model.

• Include all the goals in the model in the usual manner, but with basic penalty weights for
a set of 𝑝 priorities levels 𝑀1 , 𝑀2 , … , 𝑀𝑝−1 , 1, where 𝑀1 represents a number that is
vastly larger than 𝑀2 , 𝑀2 is vastly larger than 𝑀3 ,...,and 𝑀𝑝−1 is vastly larger than 1.

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GOAL PROGRAMMING

• The solution of a weighted or a lexicographic goal programming problem

is Pareto optimal if either the aspiration levels form a Pareto optimal
reference point or all the deviational variables 𝑑𝑖+ for functions to be
minimized and 𝑑𝑖− for functions to be maximized have positive values at
the optimum.

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SCALARIZATION METHODS

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SCALARIZATION METHODS
CONCEPT

• Collapse the vector objective function into a scalar one; that way we can compare the
quality of solutions.

• Scalarizing Methods
• Linear Weighted Sum
• 𝜀- constraint
• Tchebycheff function

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SCALARIZING METHODS
LINEAR WEIGHTED SUM

• The general idea is to associate each objective function with a weighting coefficient and
minimize the weighted sum of the objectives.
• This way, the multiobjective problem is transformed into a single objective problem.

• For each λ a Pareto Front point is obtained

• To approximate the whole Pareto Front , run an algorithm 𝑁 times, each time with a
different λ

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SCALARIZING METHODS
LINEAR WEIGHTED SUM

• Problems with the approach

• If the objective Pareto optimal set features a linear face, the simplex method will always
pick up a vertex as the possible solution.

Ideal case Uniformly spaced λ does Concave regions of the Pareto

not give uniform spaced Front are not minima of any
points on the Pareto Front weighted sum (so cannot be
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found by this method) 37
SCALARIZING METHODS
NORMALIZATION

• Consider the following problem:

• Minimize {price, −Comfort, −cruising speed, – capacity} of an aircraft, where:

• price ranges from $570,000–2.74million,
• comfort is measured from 0–10,
• cruising speed is 400–750mph, and
• capacity is 37–265 tonnes.

• Should normalize before applying weights.

• If ranges are unknown it is a problem.

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SCALARIZING METHODS
NORMALIZATION

Linear Normalization
• Normalize by the differences of optimal function values in the Nadir and Utopia points
• The Utopia point 𝒛𝑼 is the ideal objective vector obtained by minimizing each of the
objective functions individually . It provides the lower bounds of the Pareto optimal set.
The vectors components are obtained by

• The Nadir point 𝒛𝑵 is the objective vector constructed by the upper bounds of the
Pareto optimal set. The vectors components are obtained by

• The normalization of the objective functions is obtained by

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SCALARIZING METHODS
NORMALIZATION

𝒛𝑾𝒐𝒓𝒔𝒕

𝒛𝑵

Pareto Front

𝒛𝑼

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SCALARIZING METHODS
𝜀-CONSTRAINT METHOD

• This method consists in minimizing one of the objective functions at a time and by
transforming the others in bounds through inequality constraints.
• This implies some kind of knowledge of minimum and maximum values of objective
functions, and in consequence, the first step is to do single-objective optimizations of
each problem separately.

• the vector 𝜀 = [𝜀1 , … , 𝜀𝑘 ] is the upper bound of the objective functions 𝑓𝑗 , ∀𝑗 ∈

(1, … , 𝑘), 𝑗 ≠ 𝑙. The solution is always weak Pareto-optimal, and is Pareto-optimal if and
only if the solution is unique. Subsequently, to guaranty Pareto-optimality, it is needed to
solve 𝑘 problems

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SCALARIZING METHODS
𝜀-CONSTRAINT METHOD

𝒛𝟏
𝒛𝟐

𝒛𝟑

𝜺𝟏 𝜺𝟐 𝜺𝟑

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SCALARIZING METHODS
TCHEBYCHEFF FUNCTION

• The idea behind this method is to find the closest feasible solution to a reference point,
which usually is the ideal point.
• We can make scalarizing work better if we use an ‘infinity norm’ (a square function), also
known as a Tchebycheff function:

• where 𝑧 ∗ is the utopian objective vector

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SCALARIZING METHODS
TCHEBYCHEFF FUNCTION

• Every point on a Pareto front — convex or nonconvex — is a minimum of the

Tchebycheff metric for some 𝜆 (overcomes the problem of the linear weighted sum).

• A concave region of the Pareto front is reachable with Tchebycheff minimization.

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GENERATE A PARETO FRONT APPROXIMATION

USING SCALARIZATION IN A GENERIC SEARCH ALGORITHM

• One of several alternatives:

1. Choose one weight vector per run of an algorithm. Run the algorithm multiple times to
generate the Pareto Front approximation.
2. Run the algorithm once but choose a random weight vector each time a comparison is
needed between solutions. Store the best points found in an archive.
3. Run the algorithm once but choose weight vectors according to a schedule (that sweeps
across the PF), or adaptively to fill in gaps between points. Store best points found in an
archive.

• The first is easy but may be inefficient.

• The second is still quite easy and may be better.
• The last is best but requires more development time.

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APPROXIMATING A PARETO FRONT
EXERCISE

• Generate the Pareto Front

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