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Multi objective Bayesopt in MATLAB

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Aep
Aep on 4 May 2021
Commented: Alan Weiss on 14 Jul 2021 at 11:52
Hello,
How can I use the BayesOpt of MATLAB for optimizing a multi objective problem? I mean when I have multiple cost functions rather than only one.
If it is not possible in the default version of BayesOpt of MATLAB, can I have some additional codes for this aim?
Thanks in advance

Answers (1)

Alan Weiss
Alan Weiss on 5 May 2021
There is no provision for using bayesopt for multiobjective problems. You have several choices:
Alan Weiss
MATLAB mathematical toolbox documentation
  4 Comments
Alan Weiss
Alan Weiss on 14 Jul 2021 at 11:52
You are correct, I was just doing a sweep over alpha with objective mo = objective(1) * alpha + objective(2) * (1-alpha). If you have more objectives, you can have more nonnegative multipliers, and sweep over them with the sum of the multipliers equal to 1.
This is not always the best way to solve multiobjective problems, it might miss some things, but it enables you to get some sort of results using a single-objective minimizer.
Good luck,
Alan Weiss
MATLAB mathematical toolbox documentation

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