Multi-Objective Optimization

In contrast to Uni-Objective Optimization problems, in Multi-Objective Optimization problems there are multiple

An usual model is:

  • $\text{opt} f_1(x), ..., f_q(x), x \in A$
  • but usually in this case there is no single optimal solution - but a set of solutions where you cannot say which one is better


  • suppose you want to buy a flat
  • there are 2 criteria: cost and comfort
  • you want to minimize the cost and maximize the comfort
  • moo-illustration.png
  • note that you cannot say that $d$ is better than $b$ or better than $a$
  • but $c$ is clearly dominated by $b$: it's as comfortable as $c$, but cheaper
  • the set of the best alternatives is called the Pareto-optimal set of alternatives

Multi-Criteria Problem

We have $q$ criteria and $n$ items

Criterion 1 Criterion 2 ... Criterion $q$
Item 1 100 Medium ... 8
Item 2 100 Medium ... 8
... ... ... ... ...
Item $n$ 55 Very Bad 8

Goal: to rank the items

  • there are lots of conflicting criteria (like price and comfort)
  • there are different units and scales
  • the single optimal solution does not exist

Instead of "Item" it can be "Action", "Alternative", etc

Formally we can write it as:

  • objective: $\text{opt} z(x)$
  • $z: \mathbb{R}^n \to \mathbb{R}^m$
  • constraints: $g_i(x) \geqslant 0, x \in \mathbb{R}^n$

Link to Voting Theory

But it is possible to draw a direct parallel with Voting Theory!

Voter 1 Voter 2 ... Voter $q$
Candidate 1 100 Medium ... 8
Candidate 2 100 Medium ... 8
... ... ... ... ...
Candidate $n$ 55 Very Bad 8

So these two problems are similar:

However there are differences:

  • Not all criteria have the same weight
    • in Voting Theory all votes are equally important
    • here some criteria may be more important than others
  • We need more information than just ranking
    • There are different scales
    • Since the scales can be numerical, we can compare the intensity of preference

Multi-Objective Optimization Problems

Choosing the Solution

Suppose we have obtained the Pareto-optimal set of solutions. How do we choose the "best" solution?

There are several approaches:

Multi-Criteria Decision Aid

Also MCDA is used for that:

  • find the Pareto-optimal solutions
  • apply MCDA to find the best one