Dominance Measures for Multi-Objective Simulated Annealing

Abstract

Simulated annealing (SA) is a provably convergent optimiser for single-objective (SO) problems. Previously proposed MO extensions have mostly taken the form of an SO SA optimising a composite function of the objectives. We propose an MO SA utilising the relative dominance of a solution as the system energy for optimisation, eliminating problems associated with composite objective functions. We also propose a method for choosing perturbation scalings promoting search both towards and across the Pareto front.We illustrate the SA's performance on standard test problems. The new SA is shown to promote rapid convergence to the true Pareto front with a good coverage of points across it.