A statistical model-based algorithm for ‘black-box’ multi-objective optimisation
Antanas Žilinskas · International Journal of Systems Science · 2012
The problem of multi-objective optimisation with ‘expensive’ ‘black-box’ objective functions is considered. An algorithm is proposed that generalises the single objective P-algorithm constructed using the statistical model of multimodal functions and concepts of the theory of rational decisions under uncertainty. Computational examples are included demonstrating that the algorithm proposed possess several expected properties.