Gaussian Processes for Pareto Front Estimation and Optimization

Gaussian process regression models, a.k.a. Kriging models, are applied to global multi-objective optimization of black-box functions. Multi-objective Expected Improvement and Step-wise Uncertainty Reduction sequential infill criteria are available. A quantification of uncertainty on Pareto fronts is provided using conditional simulations.


GPareto: Gaussian Processes for Pareto Front Estimation and Optimization

This R package provides tools for multi-objective optimization of expensive black-box functions along with estimation of Pareto fronts.

Installation

For the stable version: http://cran.r-project.org/package=GPareto

This the development version, contributions are welcomed.

Note: roxygen is used for the documentation

News

GPareto 1.1.2

change / GPareto 1.1.1

  • vectorized crit_EHI thanks to David Gaudrie
  • vectorized checkPredict function, with additional 'none' option
  • checkPredict new default is "euclidean" for speed
  • update vignette for update of fancyvrb.sty with xcolor

GPareto 1.1.1

change / GPareto 1.1.0

  • improve 3D Pareto front representation with rgl
  • no more transpose with predict_kms
  • checkPredict use light option

change / GPareto 1.0.3

  • easyGParetoptim and GParetoptim now allow noisy objectives, with the noise.var argument
  • resolve inconsistency with integration.points in GParetoptim
  • use faster options of predict.km when possible, predict_kms function to predict on a list of models
  • n.steps.remaining now is an element of crit_control
  • arguments for check_predict only in crit_control for all functions
  • EMI is now computed using the semi-analytical formula for 2 objectives (if the range of objective is small enough, for stability)
  • quietly load KrigInv in the vignette to solve rebuilding issues
  • warnings from genoud are suppressed unless trace is high enough

change / GPareto 1.0.2

  • update the vignette
  • changes in checkPredict for matrix/vector arithmetics

change / GPareto 1.0.1

  • new function 'easyGParetoptim', a user-friendly wrapper of the function 'GParetoptim' with arguments as the base optim method
  • change arguments 'fun' and 'cheapfun' of 'GParetoptim' and 'crit_optimizer' to 'fn' and 'cheapfn' to match arguments of 'optim' and 'easyGParetoptim'
  • new function 'getDesign', to get the best design corresponding to a given target
  • new function 'plotGPareto' to display the result of an optimization, possibly quantifiying the uncertainty on it
  • a random point is selected with GParetoptim is the inner optimization of the criterion failed by returning an already known point
  • no more messages about refPoints when trace is 0
  • bug corrected in crit_SMS with eps
  • bug corrected with seed for genoud and for EHI, EMI
  • bug corrected for SUR
  • correct bug in automatic refPoint selection
  • passing any optimizer to crit_optimizer is now possible
  • add method simulate to class 'fastfun'
  • penalty with checkPredict to -1 for all criterion
  • nb.samp reduced to 50 for SAA approximation of EHI and EMI for faster evaluation
  • printing of iterations with 'GParetoptim' improved
  • correct bug with 'GParetoptim' when no 'optimcontrol' does not contain a method
  • shorter argument 'n.grid' instead of 'nPointsGrid' in 'plotParetoGrid'
  • modifications of display with GParetoptim when no refPoint is provided
  • corrections and modifications in the documentation of 'GParetoptim', 'crit_SMS', 'plotParetoEmp' and 'CPF'
  • modifications to 'checkPredict' to take into account arbitrary position of 'fastfun' functions
  • the example of 'crit_SUR' is now the same as the other criteria
  • correct bugs with d>2 with test functions ZDT1-6
  • correct bug in MOP2
  • correct bug with 'crit_EHI' when PF is provided but not refPoint

change / GPareto 1.0.0

  • update of references
  • bug corrected in 'plotParetoEmp' to account for the case with a single point
  • possibility in 'plotParetoEmp' to display a Pareto front with maximization
  • bug corrected in 'crit_EHI' to count the number of objectives

Reference manual

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install.packages("GPareto")

1.1.2 by Mickael Binois, 4 months ago


http://github.com/mbinois/GPareto


Report a bug at http://github.com/mbinois/GPareto/issues


Browse source code at https://github.com/cran/GPareto


Authors: Mickael Binois , Victor Picheny


Documentation:   PDF Manual  


GPL-3 license


Imports Rcpp, methods, rgenoud, pbivnorm, pso, randtoolbox, KrigInv, MASS, DiceDesign, ks, rgl

Depends on DiceKriging, emoa

Suggests knitr

Linking to Rcpp


Imported by GPGame, moko, suropt.

Suggested by DiceOptim.


See at CRAN