An Efficient Pareto Set Identification Approach for Multi-Objective Optimization on Black-Box Functions

Both multiple objectives and computation-intensive black-box functions often exist simultaneously in engineering design problems. Few of existing multi-objective optimization approaches addresses problems with expensive black-box functions. In this paper, a new method called the Pareto set pursing (PSP) method is developed. By developing sampling guidance functions, this approach progressively provides a designer with a rich and evenly distributed Pareto optimal points. This work describes PSP in detail with analysis of its properties. From testing and design application, PSP demonstrates considerable efficiency, accuracy, and robustness. Theoretical proof of convergence of PSP is also given. It is believed that PSP has a great potential to be a practical tool for multi-objective optimization problems.