DMulti-MADS: mesh adaptive direct multisearch for bound-constrained blackbox multiobjective optimization - Archive ouverte HAL
Article Dans Une Revue Computational Optimization and Applications Année : 2021

DMulti-MADS: mesh adaptive direct multisearch for bound-constrained blackbox multiobjective optimization

Résumé

The context of this research is multiobjective optimization where conflicting objectives are present. In this work, these objectives are only available as the outputs of a blackbox for which no derivative information is available. This work proposes a new extension of the mesh adaptive direct search (MADS) algorithm to multiobjective derivative-free optimization with bound constraints. This method does not aggregate objectives and keeps a list of non dominated points which converges to a (local) Pareto set as long as the algorithm unfolds. As in the single-objective optimization MADS algorithm, this method is built around a search step and a poll step. Under classical direct search assumptions, it is proved that the so-called DMulti-MADS algorithm generates multiple subsequences of iterates which converge to a set of local Pareto stationary points. Finally, computational experiments suggest that this approach is competitive compared to the state-of-the-art algorithms for multiobjective blackbox optimization.
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Dates et versions

hal-03447078 , version 1 (24-11-2021)

Identifiants

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Jean Bigeon, Sébastien Le Digabel, Ludovic Salomon. DMulti-MADS: mesh adaptive direct multisearch for bound-constrained blackbox multiobjective optimization. Computational Optimization and Applications, 2021, 79 (2), pp.301-338. ⟨10.1007/s10589-021-00272-9⟩. ⟨hal-03447078⟩
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