Do We Really Need to Approach the Entire Pareto Front in Many-Objective Bayesian Optimisation?

TL;DR

This paper challenges the necessity of approximating the entire Pareto front in many-objective Bayesian optimisation, proposing a single-point focus approach that enhances solution quality within limited evaluations.

Contribution

It introduces the SPMO framework and ESPI acquisition function, emphasizing single-solution optimisation over Pareto front approximation in high-objective scenarios.

Findings

SPMO outperforms existing methods on benchmark problems.

ESPI can be effectively optimized with gradient-based methods.

Theoretical convergence guarantees are established for ESPI.

Abstract

Many-objective optimisation, a subset of multi-objective optimisation, involves optimisation problems with more than three objectives. As the number of objectives increases, the number of solutions needed to adequately represent the entire Pareto front typically grows substantially. This makes it challenging, if not infeasible, to design a search algorithm capable of effectively exploring the entire Pareto front. This difficulty is particularly acute in the Bayesian optimisation paradigm, where sample efficiency is critical and only a limited number of solutions (often a few hundred) are evaluated. Moreover, after the optimisation process, the decision-maker eventually selects just one solution for deployment, regardless of how many high-quality, diverse solutions are available. In light of this, we argue an idea that under a very limited evaluation budget, it may be more useful to focus on finding a single solution of the highest possible quality for the decision-maker, rather than aiming to approximate the entire Pareto front as existing many-/multi-objective Bayesian optimisation methods typically do. Bearing this idea in mind, this paper proposes a \underline{s}ingle \underline{p}oint-based \underline{m}ulti-\underline{o}bjective search framework (SPMO) that aims to improve the quality of solutions along a direction that leads to a good tradeoff between objectives. Within SPMO, we present a simple acquisition function, called expected single-point improvement (ESPI), working under both noiseless and noisy scenarios. We show that ESPI can be optimised effectively with gradient-based methods via the sample average approximation (SAA) approach and theoretically prove its convergence guarantees under the SAA. We also empirically demonstrate that the proposed SPMO is computationally tractable and outperforms state-of-the-arts on a wide range of benchmark and real-world problems.