Bi-objective ranking and selection using stochastic kriging

Abstract

We consider bi-objective ranking and selection problems, where the goal is to correctly identify the Pareto-optimal solutions among a finite set of candidates for which the objective function values have to be estimated from noisy evaluations. When identifying these solutions, the noise perturbing the observed performance may lead to two types of errors: solutions that are truly Pareto-optimal may appear to be dominated, and solutions that are truly dominated may appear to be Pareto-optimal. We propose a novel Bayesian bi-objective ranking and selection method that sequentially allocates extra samples to competitive solutions, in view of reducing the misclassification errors when identifying the solutions with the best expected performance. The approach uses stochastic kriging to build reliable predictive distributions of the objectives, and exploits this information to decide how to resample. The experiments are designed to evaluate the algorithm on several artificial and practical test problems. The proposed approach is observed to consistently outperform its competitors (a well-known state-of-the-art algorithm and the standard equal allocation method), which may also benefit from the use of stochastic kriging information.