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The ultimate goal of multi-objective optimization is to provide potential solutions to a decision maker. Usually, what they are concerned with is a Pareto front in an interesting/preferred region, instead of the whole Pareto front. In this paper, a method for effectively approximating a preferred Pareto front, based on multiobjective efficient global optimization (EGO), is introduced. EGO uses Gaussian...
In optimization with expensive black box evaluations, the expected improvement algorithm (also called efficient global optimization) is a commonly applied method. It uses Gaussian Processes (or Kriging) to build a model of the objective function and uses the expected improvement as an infill criterion, taking into account both — predictive mean and variance. It has been generalized to multi-objective...
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