Expensive Multi-Objective Bayesian Optimization Based on Diffusion Models

Multi-objective Bayesian optimization (MOBO) has shown promising performance on various expensive multi-objective optimization problems (EMOPs). However, effectively modeling complex distributions of the Pareto optimal solutions is difficult with limited function evaluations. Existing Pareto set learning algorithms may exhibit considerable instability in such expensive scenarios, leading to significant deviations between the obtained solution set and the Pareto set (PS). In this paper, we propose a novel Composite Diffusion Model based Pareto Set Learning algorithm, namely CDM-PSL, for expensive MOBO. CDM-PSL includes both unconditional and conditional diffusion model for generating high-quality samples. Besides, we introduce an information entropy based weighting method to balance different objectives of EMOPs. This method is integrated with the guiding strategy, ensuring that all the objectives are appropriately balanced and given due consideration during the optimization process; Extensive experimental results on both synthetic benchmarks and real-world problems demonstrates that our proposed algorithm attains superior performance compared with various state-of-the-art MOBO algorithms.

Towards Geometry-Aware Pareto Set Learning for Neural Multi-Objective Combinatorial Optimization

Multi-objective combinatorial optimization (MOCO) problems are prevalent in various real-world applications. Most existing neural methods for MOCO problems rely solely on decomposition and utilize precise hypervolume to enhance diversity. However, these methods often approximate only limited regions of the Pareto front and spend excessive time on diversity enhancement because of ambiguous decomposition and time-consuming hypervolume calculation. To address these limitations, we design a Geometry-Aware Pareto set Learning algorithm named GAPL, which provides a novel geometric perspective for neural MOCO via a Pareto attention model based on hypervolume expectation maximization. In addition, we propose a hypervolume residual update strategy to enable the Pareto attention model to capture both local and non-local information of the Pareto set/front. We also design a novel inference approach to further improve quality of the solution set and speed up hypervolume calculation and local subset selection. Experimental results on three classic MOCO problems demonstrate that our GAPL outperforms state-of-the-art neural baselines via superior decomposition and efficient diversity enhancement.