Multi-objective optimisation via the R2 utilities

arXiv:2305.11774v3 Announce Type: replace-cross
Abstract: The goal of multi-objective optimisation is to identify a collection of points which describe the best possible trade-offs between the multiple objectives. In order to solve this vector-valued optimisation problem, practitioners often appeal to the use of scalarisation functions in order to transform the multi-objective problem into a collection of single-objective problems. This set of scalarised problems can then be solved using traditional single-objective optimisation techniques. In this work, we formalise this convention into a …

abstract arxiv collection cs.lg functions identify math.oc multi-objective multiple optimisation solve stat.ml trade type utilities vector via