[R] Multi-objective optimization
Ravi Varadhan
rvaradhan at jhmi.edu
Wed Oct 17 23:54:35 CEST 2007
What if simultaneously maximizing f(x,y) and g(x,y) is an incompatible
objective?
Modifying Duncan's example slightly, What if:
f(x,y) = -(x-y)^2 and
g(x,y) = -(x-2)^2-(y-x-1)^2?
Here:
(1) => x = y
(2) => y = x + 1
(3) => x = y => no solution!
In order for a solution to necessarily exist, one needs to define a scalar
function that strikes a compromise between f and g.
Ravi.
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Ravi Varadhan, Ph.D.
Assistant Professor, The Center on Aging and Health
Division of Geriatric Medicine and Gerontology
Johns Hopkins University
Ph: (410) 502-2619
Fax: (410) 614-9625
Email: rvaradhan at jhmi.edu
Webpage: http://www.jhsph.edu/agingandhealth/People/Faculty/Varadhan.html
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-----Original Message-----
From: r-help-bounces at r-project.org [mailto:r-help-bounces at r-project.org] On
Behalf Of Alberto Monteiro
Sent: Wednesday, October 17, 2007 2:30 PM
To: Duncan Murdoch; Paul Smith
Cc: r-help
Subject: Re: [R] Multi-objective optimization
Duncan Murdoch wrote:
>
>> Is there any package to do multi-objective optimization? For instance,
>> consider the following problem:
>>
>> maximize f(x,y) in order to x
>>
>> and
>>
>> maximize g(x,y) in order to y,
>>
>> simultaneously, with x and y being the same both for f and g. Can R do
>> it numerically?
>
> I don't think the problem is well posed. For example, what's the
> solution if f(x,y) = -(x-y)^2 and g(x,y) = -(x-2)^2-(y-1)^2? The
> first is maximized at x=y, the second at x=2, y=1, so in order to
> choose a solution you need to specify what sort of tradeoff to use
> to combine the two objectives.
>
I guess the problem was not well _defined_.
I "interpreted" it as:
maximize f(x,y) in order to x %means%
(1) for every y, find x = f1(y) such that f(x,y) is max
maximize g(x,y) in order to y %means%
(2) for every x, find y = g1(x) such that g(x,y) is max
simultaneously %means%
(3) x = f1(y) and y = g1(x).
So, for your example, we would have:
(1) => x = y
(2) => y = 1
(3) => x = y = 1
Alberto Monteiro
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