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Increasing the density of available pareto optimal solutions

Giagkiozis, I. and Fleming, P.J. (2012) Increasing the density of available pareto optimal solutions. Research Report. ACSE Research Report no. 1028 . Automatic Control and Systems Engineering, University of Sheffield

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Abstract

The set of available multi-objective optimization algorithms continues to grow. This fact can be partially attributed to their widespread use and applicability. However this increase also suggests several issues remain to be addressed satisfactorily. One such issue is the diversity and the number of solutions available to the decision maker (DM). Even for algorithms very well suited for a particular problem, it is difficult - mainly due to the computational cost - to use a population large enough to ensure the likelihood of obtaining a solution close to the DMs preferences. In this paper we present a novel methodology that produces additional Pareto optimal solutions from a Pareto optimal set obtained at the end run of any multi-objective optimization algorithm. This method, which we refer to as Pareto estimation, is tested against a set of 2 and 3-objective test problems and a 3-objective portfolio optimization problem to illustrate its’ utility for a real-world problem.

Item Type: Monograph (Research Report)
Copyright, Publisher and Additional Information: The Department of Automatic Control and Systems Engineering research reports offer a forum for the research output of the academic staff and research students of the Department at the University of Sheffield. Papers are reviewed for quality and presentation by a departmental editor. However, the contents and opinions expressed remain the responsibility of the authors. Some papers in the series may have been subsequently published elsewhere and you are advised to cite the later published version in these instances.
Keywords: Pareto Estimation, Evolutionary Algorithms, Metaheuristics, Multi-Objective Optimization, Nonlinear Estimation
Academic Units: The University of Sheffield > Faculty of Engineering (Sheffield) > Department of Automatic Control and Systems Engineering (Sheffield) > ACSE Research Reports
Depositing User: Miss Anthea Tucker
Date Deposited: 23 Nov 2012 14:50
Last Modified: 08 Feb 2013 17:41
Status: Published
Publisher: Automatic Control and Systems Engineering, University of Sheffield
URI: http://eprints.whiterose.ac.uk/id/eprint/74769

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