Revisiting norm optimization for multi-objective black-box problems : a finite-time analysis

• Main Authors: Al-Dujaili, Abdullah, Suresh, Sundaram
• Other Authors: School of Computer Science and Engineering
• Format: Article
• Language: English
• Published: 2020
• Subjects: Engineering::Computer science and engineering; Multi-objective Optimization; Black-box Optimization
• Online Access: https://hdl.handle.net/10356/143267
• Institution: Nanyang Technological University

The complexity of Pareto fronts imposes a great challenge on the convergence analysis of multi-objective optimization methods. While most theoretical convergence studies have addressed finite-set and/or discrete problems, others have provided probabilistic guarantees, assumed a total order on the solutions, or studied their asymptotic behaviour. In this paper, we revisit the Tchebycheff weighted method in a hierarchical bandits setting and provide a finite-time bound on the Pareto-compliant additive ϵ-indicator. To the best of our knowledge, this paper is one of few that establish a link between weighted sum methods and quality indicators in finite time.