deltamoea 1.5
Multi-Objective Grid Search Algorithm
License: BSD
Keywords: δMOEA,MOEA,grid search,optimization,multi-objective

δMOEA: Multi-Objective Grid Search Algorithm
============================================

(C) 2017 `DecisionVis LLC <http://www.decisionvis.com>`__

Executive Summary
-----------------

δMOEA is an optimization library that helps people make better decisions
using computer models of a problem domain. δMOEA searches the model
inputs for combinations that produce optimal model outputs with respect
to multiple objectives. We call δMOEA a “Grid Search” algorithm because
it samples the model inputs on a grid rather than attempting to optimize
continuous values.

This version of δMOEA is written in Python.

The Python version of δMOEA carries the 3-clause BSD license. See
``COPYING.md`` for details.

Getting Started With δMOEA
--------------------------

1. Read the rest of this document for an overview of what δMOEA does.
2. Read `doc/getting_started.md <doc/getting_started.md>`__ for a quick
   guide to downloading and using δMOEA.
3. Refer to `doc/api.md <doc/api.md>`__ for documentation on δMOEA’s
   library functions.
4. Examine the examples in `examples/ <examples>`__ for more ways to use
   δMOEA.
5. Read the documents under `doc/technotes/ <doc/technotes>`__ for the
   design rationale.
6. For a list of technical questions and answers about δMOEA, read
   `doc/design_questions.md <doc/design_questions.md>`__.

Computer Models
---------------

Computer models of a problem domain express value judgments about it. If
nothing else, what the author has chosen to model is a statement about
what is important. Deciding to use optimization, however, often implies
an extra layer of value judgment on top of the domain model. We call
this extra layer the “optimization model” to distinguish it from the
domain model. We call the inputs to the optimization model “decisions”
and the outputs “objectives”, “constraints”, and “tagalongs”.

.. figure:: doc/img/model.svg
   :alt: Figure 1: Optimization model and domain model.

   Figure 1: Optimization model and domain model.

Figure 1 shows how an optimization model wraps a domain model.

-  *Decisions* are translated by the optimization model into inputs for
   the domain model.
-  Some domain model inputs may be held constant and not subjected to
   optimization.
-  Some domain model outputs are translated into *objectives* for
   optimization. Objectives are numbers that δMOEA will attempt to
   minimize or maximize.
-  Other domain model outputs are translated into *constraints* for
   optimization. Constraints are numbers that δMOEA will preemptively
   try to drive to zero, before considering the objectives.
-  Still other domain model outputs are captured as *tagalongs*.
   Tagalongs have no role in optimization but may be of use for
   decision-making. In addition, tagalongs may preserve domain model
   inputs and outputs so that old domain model evaluations may be reused
   with a new optimization model.
-  Some domain model outputs may be ignored and discarded by the
   optimization model.

Multi-Objective Optimization
----------------------------

Multi-Objective Optimization differs from conventional
(single-objective) optimization in that it seeks to approximate a
“Pareto Set” representing the tradeoffs among multiple objectives,
rather than to approximate a single optimal value. Figure 2 illustrates
the difference between the progress of single-objective and
multi-objective optimization.

.. figure:: doc/img/multiobjective.svg
   :alt: Figure 2: Single objective versus multi-objective optimization.

   Figure 2: Single objective versus multi-objective optimization.

Under single-objective optimization, the objective value is continually
improved over time (minimized in this example). This is the top plot in
Figure 2. Multi-objective optimization, on the other hand, attempts to
optimize two or more objectives at once (minimizing two objectives, in
this example.) The bottom left plot shows both objectives over time.
Rather than a single value, both objectives develop a range of values
that trade off against each other. The final tradeoff is shown in the
bottom right plot.

.. figure:: doc/img/animated_optimization.gif
   :alt: Figure 3: Animated optimization

   Figure 3: Animated optimization

Figure 3 is an animated version of Figure 2 that illustrates the
progress of the optimization runs over time, as both optimization runs
converge towards approximations of the optimal values.

Why δMOEA?
----------

Optimization is a powerful tool for understanding a problem. It pushes a
domain model to its limits and identifies gaps in our conception of a
problem. Multi-objective optimization is particularly powerful: compared
to single-objective optimization, adding even one more objective allows
you to make much more nuanced decisions and avoid blowing past the point
of diminishing returns. (See Figures 2 and 3.)

Also, compared to not doing optimization at all, and simply sampling the
entire decision space on a grid, δMOEA saves a vast amount of computer
time. As an optimization algorithm, δMOEA focuses its sampling on the
*interesting* part of the decision space, where interest is defined by
the user in terms of objectives and constraints.

Compared with other multi-objective optimization algorithms, δMOEA
scales well to large numbers of objectives (it has been tested up to 20
objectives) and makes more efficient use of expensive computational
resources. Furthermore, δMOEA has been designed to integrate with
existing parallel evaluation approaches – it is readily parallelized but
does not impose any one approach on its users. δMOEA will work with
anything from Python’s ``multiprocessing`` library, to MPI, to homegrown
ØMQ job queues.

Its design also makes δMOEA easy to use as a library rather than as an
application. Where most optimization routines want to take control of
your model, δMOEA decouples sampling and evaluation to put the user in
control. This makes it possible to embed δMOEA in model code rather than
shoehorning model code into an optimization program.

Finally, because δMOEA is already grid-oriented, it will avoid a great
deal of unnecessary sampling on mixed-integer problems compared to other
MOEAs.

About The Name
--------------

δMOEA uses an evolutionary optimization heuristic to improve its Pareto
approximation. This is the origin of the “MOEA” in its name: it is a
Multi-Objective Evolutionary Algorithm. The δ alludes to the sampling
grid in the decision space, where δ is the grid spacing. The name δMOEA
also pays homage to Deb et al.’s εMOEA, an influential algorithm that
applies a grid on the objective space rather than the decision space.

Python Compatibility
--------------------

δMOEA is compatible with both Python 2.7.13 (or later) and Python 3.6
(or later). It is likely compatible with earlier versions of Python 2.7
and Python 3, but that has not been tested. Furthermore, while
performance between Python versions is equivalent, results are similar
rather than identical due to differences in their random number
generators.

In addition, δMOEA has no library dependencies beyond the Python
standard library, so it should work on any platform and with any
interpreter. (Reports of incompatibility are encouraged.)

Open Source
-----------

δMOEA is open source because we believe in multi-objective optimization
and we want people to use it. As a business, DecisionVis LLC has found
that licensing MOEAs gets in the way of consulting relationships and
produces minimal revenue. The degree to which MOEAs need to integrate
with domain models and parallelization environments also makes
closed-source releases unreasonably expensive to support and forces us
to spend time fighting uninteresting integration problems. So we decided
to develop and release an open source MOEA to let us work with our
customers on interesting problems instead.

What Next?
----------

Refer to `doc/getting_started.md <doc/getting_started.md>`__ for an
overview of how to get and use δMOEA.