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    Lagrange Multipliers

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    ram rak
    This document introduces multi-objective optimization and Pareto optimality. It discusses that with multiple objectives, design points are no longer ranked hierarchically and some points may be dominated by others that are better in all objectives. Pareto optimal points are not dominated by any other points. The document provides an example multi-objective problem to minimize time and maximize fun subject to a pay constraint, finding the Pareto optimal frontier contains three non-dominated points. Finally, it outlines methods for solving multi-objective problems including generating the entire Pareto front.

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    Lagrange Multipliers

    Uploaded by

    ram rak
    221 views11 pages
    This document introduces multi-objective optimization and Pareto optimality. It discusses that with multiple objectives, design points are no longer ranked hierarchically and some points may be dominated by others that are better in all objectives. Pareto optimal points are not dominated by any other points. The document provides an example multi-objective problem to minimize time and maximize fun subject to a pay constraint, finding the Pareto optimal frontier contains three non-dominated points. Finally, it outlines methods for solving multi-objective problems including generating the entire Pareto front.

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    This document introduces multi-objective optimization and Pareto optimality. It discusses that with multiple objectives, design points are no longer ranked hierarchically and some points may be dominated by others that are better in all objectives. Pareto optimal points are not dominated by any other points. The document provides an example multi-objective problem to minimize time and maximize fun subject to a pay constraint, finding the Pareto optimal frontier contains three non-dominated points. Finally, it outlines methods for solving multi-objective problems including generating the entire Pareto front.

    Copyright:

    © All Rights Reserved
    Download as PPSX, PDF, TXT or read online from Scribd
    Download as ppsx, pdf, or txt
    221 views11 pages

    Lagrange Multipliers

    Uploaded by

    ram rak
    This document introduces multi-objective optimization and Pareto optimality. It discusses that with multiple objectives, design points are no longer ranked hierarchically and some points may be dominated by others that are better in all objectives. Pareto optimal points are not dominated by any other points. The document provides an example multi-objective problem to minimize time and maximize fun subject to a pay constraint, finding the Pareto optimal frontier contains three non-dominated points. Finally, it outlines methods for solving multi-objective problems including generating the entire Pareto front.

    Copyright:

    © All Rights Reserved
    Download as PPSX, PDF, TXT or read online from Scribd
    Download as ppsx, pdf, or txt
    of 11

    Introduction to multi-objective

    optimization
    • We often have more than one objective
    • This means that design points are no
    longer arranged in strict hierarchy
    • There are points that are clearly poorer
    than others because all objectives are
    worse
    • In optimization jargon we call these points
    dominated
    • Points that are not dominated are called
    non-dominated or Pareto optimal
    Vilfredo Pareto, 1848-1923

    The Italian economist Vilfredo Pareto was


    one of the leaders of the Lausanne School
    and an illustrious member of the "second
    generation" of the Neoclassical
    revolution. Although only mildly influential
    during his lifetime, his "tastes-and-
    obstacles" approach to general equilibrium
    theory were resurrected during the great
    "Paretian Revival" of the 1930s and have
    guided much of economics since.
    Definition of Pareto optimality
    • For a problem with m objective functions, a
    design variable vector x* is Pareto optimal if
    and only if there is no vector x in the feasible
    space with the characteristics

    fi (x)  fi (x*) for all i  1, 2, ,m


    and
    fi (x)  fi (x*) for at least one i
    Example
    Item Pay ($) Time (min) Fun index
    1 1 3 3
    2 2 5 2
    3 1 2 2
    4 3 2 1

    Minimize time so that you make at least $100 and


    maximize fun. Will need between 33.3 to 100 items.
    Time can vary from 66.7 minutes to 300. Fun can
    vary between 33.3 and 300.
    Example
    Item Pay Total time Total fun
    ($)/hour (hours)
    1 20 5 300
    2 24 4.17 100
    3 30 3.33 100
    4 90 1.11 33.3

    Item 2 is dominated. Items 1,3,4 are Pareto optimal


    Multi-objective Formulation
    Minimize time  3 x1  5 x2  2 x3  2 x4
    and Item Pay Time Fun
    Maximize fun  3 x1  2 x 2 2 x3  x4
    Such that pay  x1  2 x2  x3  3x4  100
    1 1 3 3
    xi  0 2 2 5 2
    Pay constraint in standard form
    100  ( x1  2 x2  x3  3 x4 )  0 3 1 2 2
    Common sense constraints
    x1  100, x2  50, x3  100, x4  33.3
    4 3 2 1
    Solution methods
    • Methods that try to avoid generating the Pareto
    front
    – Generate “utopia point”
    – Define optimum based on some measure of distance
    from utopia point
    • Generating entire Pareto front
    – Weighted sum of objectives with variable coefficients
    – Optimize one objective for a range of constraints on
    the others
    – Niching methods with population based algorithms
    The utopia point is (66.7,300). Finding the
    nearest point may be a reasonable compromise.
    The entire front tells us, that for this problem, the
    front is almost a straight line, so there is no clear
    appealing compromise.
    Series of constraints

    Minimize time  3x1  4 x2  2 x3  2 x4


    Such that pay  x1  2 x2  x3  3x4  100
    fun  3x1  2 x 2 2 x3  x4  funk k  1, 2,
    xi  0
    Matlab segment
    x0 = [10 10 10 10];
    for fun_idx = 30:5:300
    A = [-1 -2 -1 -3; -3 -2 -2 -1]; b = [-100;-fun_idx];
    lb = zeros(4,1);
    options = optimset('Display','off');
    [x,fval,exitflag,output,lambda] =
    fmincon('myfun',x0,A,b,[],[],lb,[],[],options);
    pareto_sol(fun_idx,:) = x;
    pareto_fun(fun_idx,1) = fval;
    pareto_fun(fun_idx,2) = 3*x(1) + 2*x(2) + 2*x(3) + x(4);
    End

    function f = myfun(x)
    f = 3*x(1) + 4*x(2) + 2*x(3) + 2*x(4);

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