[R] Multi-objective optimization

[Ravi Varadhan]

Hi Paul,

I know very little about multi-objective optimization.  Further, I don't
understand what "in order to" means. In multi-objective optim problems,
don't you almost always end up reducing it to standard optimization by
combining the multiple objectives into a single objective function?  Then
the real question is: what is the best way to derive a scalar function?

How about maximizing something like:
H(x,y; a,b) = (F(x,y))^a * (G(x,y))^b ?

where 0 < a,b < 1.  You pick a and b as per the relative importance of F to
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 Paul Smith
Sent: Wednesday, October 17, 2007 1:55 PM
To: r-help
Subject: [R] Multi-objective optimization

Dear All,

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?

Thanks in advance,

Paul

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