Physical Sciences and Mathematics Commons^™

Momcmc: An Efficient Monte Carlo Method For Multi-Objective Sampling Over Real Parameter Space, Yaohang Li

Computer Science Faculty Publications

In this paper, we present a new population-based Monte Carlo method, so-called MOMCMC (Multi-Objective Markov Chain Monte Carlo). for sampling in the presence of multiple objective functions in real parameter space. The MOMCMC method is designed to address the "multi-objective sampling" problem, which is not only of interest in exploring diversified solutions at the Pareto optimal front in the function space of multiple objective functions, but also those near the front. MOMCMC integrates Differential Evolution (DE) style crossover into Markov Chain Monte Carlo (MCMC) to adaptively propose new solutions from the current population. The significance of dominance is taken into …