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Active Learning for Multi-Objective Optimization
Authors: Marcela Zuluaga, Guillaume Sergent, Andreas Krause and Markus Püschel
Conference: Proceedings of the 30th International Conference on Machine Learning (ICML-13)
Abstract: In many fields one encounters the challenge of identifying, out of a pool of possible designs, those that simultaneously optimize multiple objectives. This means that usually there is not one optimal design but an entire set of Pareto-optimal ones with optimal tradeoffs in the objectives. In many applications, evaluating one design is expensive; thus, an exhaustive search for the Pareto-optimal set is unfeasible. To address this challenge, we propose the Pareto Active Learning (PAL) algorithm, which intelligently samples the design space to predict the Pareto-optimal set. Key features of PAL include (1) modeling the objectives as samples from a Gaussian process distribution to capture structure and accommodate noisy evaluation; (2) a method to carefully choose the next design to evaluate to maximize progress; and (3) the ability to control prediction accuracy and sampling cost. We provide theoretical bounds on PAL's sampling cost required to achieve a desired accuracy. Further, we show an experimental evaluation on three real-world data sets. The results show PAL's effectiveness; in particular it improves significantly over a state-of-the-art evolutionary algorithm, saving in many cases about 33\%.
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