Data-Driven Evolutionary Multi-Objective Optimization Based on Multiple-Gradient Descent for Disconnected Pareto Fronts

Abstract: Data-driven evolutionary multi-objective optimization (EMO) has been recognized as an effective approach for multi-objective optimization problems with expensive objective functions. The current research is mainly developed for problems with a 'regular' triangle-like Pareto-optimal front (PF), whereas the performance can significantly deteriorate when the PF consists of disconnected segments. Furthermore, the offspring reproduction in the current data-driven EMO does not fully leverage the latent information of the surrogate model. Bearing these considerations in mind, this paper proposes a data-driven EMO algorithm based on multiple-gradient descent. By leveraging the regularity information provided by the up-to-date surrogate model, it is able to progressively probe a set of well distributed candidate solutions with a convergence guarantee. In addition, its infill criterion recommends a batch of promising candidate solutions to conduct expensive objective function evaluations. Experiments on $33$ benchmark test problem instances with disconnected PFs fully demonstrate the effectiveness of our proposed method against four selected peer algorithms.