Multi-Objective Optimization of Problems with Epistemic Uncertainty

Abstract. Multi-objective evolutionary algorithms (MOEAs) have proven to be a powerful tool for global optimization purposes of deterministic problem functions. Yet, in many real-world problems, uncertainty about the correctness of the system model and environmental factors does not allow to determine clear objective values. Stochastic sampling as applied in noisy EAs neglects that this so-called epistemic uncertainty is not an inherent property of the system and cannot be reduced by sampling methods. Therefore, some extensions for MOEAs to handle epistemic uncertainty in objective functions are proposed. The extensions are generic and applicable to most common MOEAs. A density measure for uncertain objectives is proposed to maintain diversity in the nondominated set. The approach is demonstrated to the reliability optimization problem, where uncertain component failure rates are usual and exhaustive tests are often not possible due to time and budget reasons.