arXiv:2605.28746math.OCcs.AI2026-05被引 3

提出精确计算多目标优化中偏好加权改进量的新方法,统一几何理解。

Preference-Shaped Expected Hypervolume and R2 Improvement: Exact Computation and Monotonicity

  • 基于偏好变换重构期望超体积与R2改进量的数学形式
  • 证明积分R2改进量本质是标量空间中的阴影体积
  • 为离散和连续情形提供高效算法,适合多目标优化研究者

本文研究贝叶斯多目标优化中的偏好加权期望改进准则。对比两种常用于类似目的但几何结构不同的指标:基于反参考点的超体积指标衡量目标空间中被支配区域的体积;基于理想点的R2指标通过加权切比雪夫标量化包络评估近似解集。论文旨在明确哪些偏好变换能保持精确计算、帕累托兼容性和单调性,哪些会改变底层几何结构。在超体积方面,通过Deng表示重新审视标准期望超体积(EHVI),在偏好坐标下提出乘积密度加权的EHVI,将锥形超体积解释为线性锥变换后的普通超体积,并将其与截断型超体积区分开——后者可能导致方差单调性失效。在R2方面,证明精确积分R2改进量通常不是标准的目标空间加权超体积,其障碍源于低维:勒贝格密度超体积无法捕捉某些边界贡献,而切比雪夫标化仍可检测。进一步表明,精确积分R2改进量恰好是标量空间中当前标量化包络与参考包络之间切比雪夫阴影的测度。该表达式导出了离散R2的有限求和算法、精确积分R2的数值积分方法,以及在成就空间高斯代理模型中,使ER2I成为标量高斯期望改进积分的形式。

原文摘要 · Abstract (English)

This paper studies preference-shaped expected improvement criteria for Bayesian multiobjective optimization. We consider two indicator families which are often used for similar algorithmic purposes, but which are geometrically different. The hypervolume indicator is based on a dystopian reference point and measures dominated volume in objective space. The R2 indicator is based on a utopian point and evaluates approximation sets through weighted Tchebycheff scalarization envelopes. The purpose of the paper is to make precise which preference transformations preserve exact computation, Pareto compatibility, and monotonicity properties, and which transformations change the underlying geometry. On the hypervolume side, we revisit canonical EHVI through the Deng representation, formulate product-density weighted EHVI in desirability coordinates, discuss cone-based EHVI as ordinary EHVI after a linear cone transformation, and separate these cases from truncated EHVI, where variance monotonicity may fail. On the R2 side, we prove that exact integral R2 improvement is not, in general, an ordinary objective-space weighted hypervolume. The obstruction is lower-dimensional: Lebesgue-density hypervolume cannot see certain boundary contributions that Tchebycheff scalarizations still detect. We then show that exact integral R2 improvement is exactly a scalarization-space volume, namely the measure of the Tchebycheff shadow between the incumbent scalarization envelope and the reference envelope. This representation yields finite-sum ER2I algorithms for discrete R2, quadrature methods for exact integral R2, and an achievement-space Gaussian surrogate formulation in which ER2I is an integral of scalar Gaussian expected improvements.

多目标优化期望改进超体积R2指标

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