The Kalai-Smorodinski solution for many-objective Bayesian optimization - Inria - Institut national de recherche en sciences et technologies du numérique
Communication Dans Un Congrès Année : 2017

The Kalai-Smorodinski solution for many-objective Bayesian optimization

Résumé

An ongoing scope of research in multi-objective Bayesian optimization is to extend its applicability to a large number of objectives. Recovering the set of optimal compromise solution generally requires lots of observations while being less inter-pretable, since this set tends to grow larger with the number of objectives. We thus propose to focus on a choice of a specific solution originating from game theory, the Kalai-Smorodinski solution, that possesses attractive properties. We further make it insensitive to a monotone transformation of the objectives by considering the objectives in the copula space. A tailored algorithm is proposed to search for the solution, which is tested on a synthetic problem.
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Dates et versions

hal-01656393 , version 1 (05-12-2017)
hal-01656393 , version 2 (18-02-2019)
hal-01656393 , version 3 (02-10-2019)

Identifiants

  • HAL Id : hal-01656393 , version 1

Citer

Mickaël Binois, Victor Picheny, Abderrahmane Habbal. The Kalai-Smorodinski solution for many-objective Bayesian optimization. BayesOpt workshop at NIPS 2017 - 31st Conference on Neural Information Processing Systems, Dec 2017, Long Beach, United States. pp.1-6. ⟨hal-01656393v1⟩
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