Solving Multi-Objective Optimization via Adaptive Stochastic Search with Domination Measure

Abstract: For general multi-objective optimization problems, we propose a novel performance metric called domination measure to measure the quality of a solution, which can be intuitively interpreted as the size of the portion of the solution space that dominates that solution. As a result, we reformulate the original multi-objective problem into a stochastic single-objective one and propose a model-based approach to solve it. We show that an ideal version algorithm of the proposed approach converges to a set representation of the global optima of the reformulated problem. We also investigate the numerical performance of an implementable version algorithm by comparing it with numerous existing multi-objective optimization methods on popular benchmark test functions. The numerical results show that the proposed approach is effective in generating a finite and uniformly spread approximation of the Pareto optimal set of the original multi-objective problem, and is competitive to the tested existing methods.