Abstract

We consider the problem of multi-objective (MO) blackbox optimization using expensive function evaluations, where the goal is to approximate the true pareto-set of solutions by minimizing the number of function evaluations. For example, in hardware design optimization, we need to find the designs that trade-off performance, energy, and area overhead using expensive computational simulations. In this paper, we propose a novel approach referred as Max-value Entropy Search for Multi-objective Optimization (MESMO) to solve this problem. MESMO employs an output-space entropy based acquisition function to efficiently select the sequence of inputs for evaluation to quickly uncover high-quality pareto-set solutions. We also provide theoretical analysis to characterize the efficacy of MESMO. Our experiments on several synthetic and real-world benchmark problems show that MESMO consistently outperforms the state-of-the-art algorithms.