# Evolutionary Multi-Objective Optimization

### Luis Martí, LIRA/DEE/PUC-Rio

Advanced Evolutionary Computation: Theory and Practice

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# In this notebook

• Present the basic concepts related to evolutionary multi-objective optimization algorithms.
• The Non-dominated Sorting Genetic Algorithm II (NSGA-II).
• Benchmark test problems.
• Experiment design and results comparison.

# How can we handle multiple conflicting objectives?

Even choosing a fruit implies dealing with conflicting objectives.

taken from http://xkcd.com/388/

# Multi-objective optimization

• Most -if not all- optimization problems involve more than one objective function to be optimized simultaneously.
• For example, you must optimize a given feature of an object while keeping under control the resources needed to elaborate that object.
• Sometimes those other objectives are converted to constraints or fixed to default values, but that does not means that they are there.
• Multi-objective optimization is also known as multi-objective programming, vector optimization, multicriteria optimization, multiattribute optimization or Pareto optimization (and probably by other names, depending on the field).
• Multi-objective optimization has been applied in many fields of science, including engineering, economics and logistics (see the section on applications for detailed examples) where optimal decisions need to be taken in the presence of trade-offs between two or more conflicting objectives.

## Formalization of a Multi-objective Optimization Problem (MOP)

• $\mathcal{D}$ is known as the decision set or search set.
• functions $f_1(\mathbf{x}),\ldots,f_M(\mathbf{x})$ are the objective functions. If $M=1$ the problem reduces to a single-objective optimization problem.
• Image set, $\set{O}$, result of the projection of $\set{D}$ via $f_1(\vec{x}),\ldots,f_M(\vec{x})$ is called objective set ($\vec{F}:\set{D}\rightarrow\set{O}$).
• $c_1(\vec{x}),\ldots,c_C(\vec{x})\le 0$ and $d_1(\vec{x}),\ldots,d_D(\vec{x})= 0$ express the constraints imposed on the values of $\vec{x}$.

Note: In case you are -still- wondering, a maximization problem can be posed as the minimization one: $\min\ -\vec{F}(\vec{x})$.

## MOP (optimal) solutions

Usually, does not exists a unique solution that minimizes all objective functions simultaneously, but, instead, a set of equally good trade-off solutions.

• Optimality can be defined in terms of the Pareto dominance relation. That is, having $\vec{x},\vec{y}\in\set{D}$, $\vec{x}$ is said to dominate $\vec{y}$ (expressed as $\vec{x}\dom\vec{y}$) iff $\forall f_j$, $f_j(\vec{x})\leq f_j(\vec{y})$ and $\exists f_i$ such that $f_i(\vec{x})< f_i(\vec{y})$.
• Having the set $\set{A}$. $\set{A}^\ast$, the non-dominated subset of $\set{A}$, is defined as
$$\set{A}^\ast=\left\{ \vec{x}\in\set{A} \left|\not\exists\vec{y}\in\set{A}:\vec{y}\dom\vec{x}\right.\right\}.$$
• The Pareto-optimal set, $\set{D}^{\ast}$, is the solution of the problem. It is the subset of non-dominated elements of $\set{D}$. It is also known as the efficient set.
• It consists of solutions that cannot be improved in any of the objectives without degrading at least one of the other objectives.
• Its image in objective set is called the Pareto-optimal front, $\set{O}^\ast$.
• Evolutionary algorithms generally yield a set of non-dominated solutions, $\set{P}^\ast$, that approximates $\set{D}^{\ast}$.

As usual, we need some initialization and configuration.



In [1]:

import time, array, random, copy, math

import numpy as np
import pandas as pd

import matplotlib.pyplot as plt
%matplotlib inline

import seaborn
seaborn.set(style="whitegrid")

from deap import algorithms, base, benchmarks, tools, creator



Planting a constant seed to always have the same results (and avoid surprises in class). -you should not do this in a real-world case!



In [2]:

random.seed(a=42)



# Visualizing the Pareto dominance relation

• To start, lets have a visual example of the Pareto dominance relationship in action.
• In this notebook we will deal with two-objective problems in order to simplify visualization.
• Therefore, we can create:


In [3]:

creator.create("FitnessMin", base.Fitness, weights=(-1.0,-1.0))
creator.create("Individual", array.array, typecode='d',
fitness=creator.FitnessMin)



## DTLZ2: One -of many- MOP benchmarks

• We will use a common benchmark problem known as DTLZ2.
• DTLZ problems can be configured to have as many objectives as desired, but as we want to visualize results we will stick to two objectives.
• The Pareto-optimal front of DTLZ2 lies in the first orthant of a unit (radius 1) hypersphere located at the coordinate origin ($\vec{0}$).
from Coello Coello, Lamont and Van Veldhuizen (2007) Evolutionary Algorithms for Solving Multi-Objective Problems, Second Edition. Springer [Appendix E](http://www.cs.cinvestav.mx/~emoobook/apendix-e/apendix-e.html).

Preparing a DEAP toolbox with DTLZ2.



In [4]:

toolbox = base.Toolbox()




In [5]:

BOUND_LOW, BOUND_UP = 0.0, 1.0
NDIM = 2
toolbox.register("evaluate", lambda ind: benchmarks.dtlz2(ind, 2))



Defining components of the evolutionary algorithm.



In [6]:

def uniform(low, up, size=None):
try:
return [random.uniform(a, b) for a, b in zip(low, up)]
except TypeError:
return [random.uniform(a, b) for a, b in zip([low] * size, [up] * size)]

toolbox.register("attr_float", uniform, BOUND_LOW, BOUND_UP, NDIM)
toolbox.register("individual", tools.initIterate, creator.Individual, toolbox.attr_float)
toolbox.register("population", tools.initRepeat, list, toolbox.individual)



Create an example random population and evaluate the individuals.



In [7]:

num_samples = 50
limits = [np.arange(BOUND_LOW, BOUND_UP, (BOUND_UP - BOUND_LOW)/num_samples)] * NDIM
sample_x = np.meshgrid(*limits)




In [8]:

flat = []
for i in range(len(sample_x)):
x_i = sample_x[i]
flat.append(x_i.reshape(num_samples ** NDIM))




In [9]:

example_pop = toolbox.population(n=num_samples ** NDIM)




In [10]:

for i, ind in enumerate(example_pop):
for j in range(len(flat)):
ind[j] = flat[j][i]




In [11]:

fitnesses = toolbox.map(toolbox.evaluate, example_pop)
for ind, fit in zip(example_pop, fitnesses):
ind.fitness.values = fit



We also need a_given_individual.



In [12]:

a_given_individual = toolbox.population(n=1)[0]
a_given_individual[0] = 0.3
a_given_individual[1] = 0.2




In [13]:

a_given_individual.fitness.values = toolbox.evaluate(a_given_individual)



DEAP comes with a Pareto dominance relation that we can use.



In [14]:

def dominates(x,y):



Lets compute the set of individuals that are dominated by a_given_individual, the ones that dominate it (its dominators) and the remaining ones.



In [15]:

dominated = [ind for ind in example_pop if dominates(a_given_individual, ind)]
dominators = [ind for ind in example_pop if dominates(ind, a_given_individual)]
others = [ind for ind in example_pop if not ind in dominated and not ind in dominators]



For a_given_individual (blue dot) we can now plot those that are dominated by it (in green), those that dominate it (in red) and those that are uncomparable.



In [16]:

plt.figure(figsize=(5,5))
for ind in dominators:
plt.plot(ind.fitness.values[0], ind.fitness.values[1], 'r.', alpha=0.5)
for ind in dominated:
plt.plot(ind.fitness.values[0], ind.fitness.values[1], 'g.', alpha=0.5)
for ind in others:
plt.plot(ind.fitness.values[0], ind.fitness.values[1], 'k.', ms=4)
plt.plot(a_given_individual.fitness.values[0], a_given_individual.fitness.values[1], 'bo', ms=11);








In [17]:

plt.figure(figsize=(5,5))
for ind in dominators:
plt.plot(ind[0], ind[1], 'r.', alpha=0.5)
for ind in dominated:
plt.plot(ind[0], ind[1], 'g.', alpha=0.5)
for ind in others:
plt.plot(ind[0], ind[1], 'k.', ms=4)
plt.plot(a_given_individual[0], a_given_individual[1], 'bo', ms=11);






Obtain the nondominated front



In [18]:

non_dom = tools.sortNondominated(example_pop, k=len(example_pop),  first_front_only=True)[0]




In [19]:

plt.figure(figsize=(5,5))
for ind in example_pop:
plt.plot(ind.fitness.values[0], ind.fitness.values[1], 'k.', ms=4)
for ind in non_dom:
plt.plot(ind.fitness.values[0], ind.fitness.values[1], 'ro', alpha=0.74, ms=7)






# The Non-dominated Sorting Genetic Algorithm (NSGA-II)

• NSGA-II algorithm is one of the pillars of the EMO field.
• Deb, K., Pratap, A., Agarwal, S., Meyarivan, T., A fast and elitist multiobjective genetic algorithm: NSGA-II, IEEE Transactions on Evolutionary Computation, vol.6, no.2, pp.182,197, Apr 2002 doi: 10.1109/4235.996017.
• Fitness assignment relies on the Pareto dominance relation:
1. Rank individuals according the dominance relations established between them.
2. Individuals with the same domination rank are then compared using a local crowding distance.

## NSGA-II fitness in detail

• The first step consists in classifying the individuals in a series of categories $\mathcal{F}_1,\ldots,\mathcal{F}_L$.
• Each of these categories store individuals that are only dominated by the elements of the previous categories, $$\begin{array}{rl} \forall \vec{x}\in\set{F}i: &\exists \vec{y}\in\set{F}{i-1} \text{ such that } \vec{y}\dom\vec{x},\text{ and }\  &\not\exists\vec{z}\in \set{P}_t\setminus\left( \set{F}_1\cup\ldots\cup\set{F}_{i-1} \right)\text{ that }\vec{z}\dom\vec{x}\,;  \end{array}$$ with $\mathcal{F}_1$ equal to $\mathcal{P}_t^\ast$, the set of non-dominated individuals of $\mathcal{P}_t$.

• After all individuals are ranked a local crowding distance is assigned to them.

• The use of this distance primes individuals more isolated with respect to others.

## Crowding distance

The assignment process goes as follows,

• for each category set $\set{F}_l$, having $f_l=|\set{F}_l|$,
• for each individual $\vec{x}_i\in\set{F}_l$, set $d_{i}=0$.
• for each objective function $m=1,\ldots,M$,
• $\vec{I}=\mathrm{sort}\left(\set{F}_l,m\right)$ (generate index vector).
• $d_{I_1}^{(l)}=d_{I_{f_l}}^{(l)}=\infty$.
• for $i=2,\ldots,f_l-1$,
• Update the remaining distances as, $$d_i = d_i + \frac{fm\left(\vec{x}{I_{i+1}}\right)-fm\left(\vec{x}{I_{i+1}}\right)}  {f_m\left(\vec{x}_{I_{1}}\right)-f_m\left(\vec{x}_{I_{f_l}}\right)}\,. $$

Here the $\mathrm{sort}\left(\set{F},m\right)$ function produces an ordered index vector $\vec{I}$ with respect to objective function $m$.

Sorting the population by rank and distance.

• Having the individual ranks and their local distances they are sorted using the crowded comparison operator, stated as:
• An individual $\vec{x}_i$ is better than $\vec{x}_j$ if:
• $\vec{x}_i$ has a better rank: $\vec{x}_i\in\set{F}_k$, $\vec{x}_j\in\set{F}_l$ and $k<l$, or;
• if $k=l$ and $d_i>d_j$.

Now we have key element of the the non-dominated sorting GA.

## Implementing NSGA-II



In [14]:

toolbox = base.Toolbox()



Let's try DTLZ3, a more complex problem that DTLZ2 as it has many local Pareto-optimal fronts that run parallel to global one.

• As in DTLZ2, the Pareto-optimal front lies in the first orthant of a unit (radius 1) hypersphere located at the coordinate origin ($\vec{0}$).


In [15]:

toolbox.register("evaluate", lambda ind: benchmarks.dtlz3(ind, 2))




In [16]:

toolbox.register("attr_float", uniform, BOUND_LOW, BOUND_UP, NDIM)
toolbox.register("individual", tools.initIterate, creator.Individual, toolbox.attr_float)
toolbox.register("population", tools.initRepeat, list, toolbox.individual)




In [17]:

toolbox.register("mate", tools.cxSimulatedBinaryBounded, low=BOUND_LOW, up=BOUND_UP, eta=20.0)
toolbox.register("mutate", tools.mutPolynomialBounded, low=BOUND_LOW, up=BOUND_UP, eta=20.0, indpb=1.0/NDIM)
toolbox.register("select", tools.selNSGA2)



Let's also use the toolbox to pass other configuration to our function. This will show itself usefull when performing massive experiments.



In [18]:

toolbox.pop_size = 50
toolbox.max_gen = 3000
toolbox.mut_prob = 0.2



## A compact NSGA-II implementation

Storing all the required information in the toolbox and using DEAP's algorithms.eaMuPlusLambda function allows us to create a very compact -albeit not a 100% exact copy of the original- implementation of NSGA-II.



In [19]:

def nsga_ii(toolbox, stats=None, verbose=False):
pop = toolbox.population(n=toolbox.pop_size)
pop = toolbox.select(pop, len(pop))
return algorithms.eaMuPlusLambda(pop, toolbox, mu=toolbox.pop_size,
lambda_=toolbox.pop_size,
cxpb=1-toolbox.mut_prob,
mutpb=toolbox.mut_prob,
stats=stats,
ngen=toolbox.max_gen,
verbose=verbose)



## Running the algorithm

We are now ready to run our NSGA-II.



In [20]:

%time res, logbook = nsga_ii(toolbox)




CPU times: user 51.8 s, sys: 130 ms, total: 52 s
Wall time: 52.2 s



We can now get the Pareto fronts in the results (res).



In [21]:

fronts = tools.emo.sortLogNondominated(res, len(res))



## Resulting Pareto fronts



In [22]:

plot_colors = ('b','r', 'g', 'm', 'y', 'k', 'c')
fig, ax = plt.subplots(1, figsize=(4,4))
for i,inds in enumerate(fronts):
par = [toolbox.evaluate(ind) for ind in inds]
df = pd.DataFrame(par)
df.plot(ax=ax, kind='scatter', label='Front ' + str(i+1),
x=df.columns[0], y=df.columns[1],
color=plot_colors[i % len(plot_colors)])
plt.xlabel('$f_1(\mathbf{x})$');plt.ylabel('$f_2(\mathbf{x})$');





• Results are far from the optimum and in only one front.
• It is better to make an animated plot of the evolution as it takes place.

## Animating the evolutionary process

We create a stats to store the individuals not only their objective function values.



In [23]:

stats = tools.Statistics()
stats.register("pop", copy.deepcopy)




In [24]:

toolbox.max_gen = 4000 # we need more generations!



Re-run the algorithm to get the data necessary for plotting.



In [25]:

%time res, logbook = nsga_ii(toolbox, stats=stats)




CPU times: user 1min 16s, sys: 564 ms, total: 1min 17s
Wall time: 1min 19s




In [26]:

from JSAnimation import IPython_display
import matplotlib.colors as colors
from matplotlib import animation




In [27]:

def animate(frame_index, logbook):
'Updates all plots to match frame _i_ of the animation.'
ax.clear()
fronts = tools.emo.sortLogNondominated(logbook.select('pop')[frame_index],
len(logbook.select('pop')[frame_index]))
for i,inds in enumerate(fronts):
par = [toolbox.evaluate(ind) for ind in inds]
df = pd.DataFrame(par)
df.plot(ax=ax, kind='scatter', label='Front ' + str(i+1),
x=df.columns[0], y =df.columns[1], alpha=0.47,
color=plot_colors[i % len(plot_colors)])

ax.set_title('$t=$' + str(frame_index))
ax.set_xlabel('$f_1(\mathbf{x})$');ax.set_ylabel('$f_2(\mathbf{x})$')
return None




In [28]:

fig = plt.figure(figsize=(4,4))
ax = fig.gca()
anim = animation.FuncAnimation(fig, lambda i: animate(i, logbook),
frames=len(logbook), interval=60,
blit=True)
anim



The previous animation makes the notebook too big for on-line viewing. To circumvent this, it is better to save the animation as video and upload it to YouTube.



In [29]:

anim.save('nsgaii-dtlz3.mp4', fps=15, bitrate=-1, dpi=500)




In [30]:




Out[30]:



Here it is clearly visible how the algorithm "jumps" from one local-optimum to a better one as evolution takes place.

# MOP benchmark problem toolkits

Each problem instance is meant to test the algorithms with regard with a given feature: local optima, convexity, discontinuity, bias, or a combination of them.

• ZDT1-6: Two-objective problems with a fixed number of decision variables.
• E. Zitzler, K. Deb, and L. Thiele. Comparison of Multiobjective Evolutionary Algorithms: Empirical Results. Evolutionary Computation, 8(2):173-195, 2000. (pdf)
• DTLZ1-7: $m$-objective problems with $n$ variables.
• K. Deb, L. Thiele, M. Laumanns and E. Zitzler. Scalable Multi-Objective Optimization Test Problems. CEC 2002, p. 825 - 830, IEEE Press, 2002. (pdf)
• CEC'09: Two- and three- objective problems that very complex Pareto sets.
• Zhang, Q., Zhou, A., Zhao, S., & Suganthan, P. N. (2009). Multiobjective optimization test instances for the CEC 2009 special session and competition. In 2009 IEEE Congress on Evolutionary Computation (pp. 1–30). (pdf)
• WFG1-9: $m$-objective problems with $n$ variables, very complex.
• Huband, S., Hingston, P., Barone, L., & While, L. (2006). A review of multiobjective test problems and a scalable test problem toolkit. IEEE Transactions on Evolutionary Computation, 10(5), 477–506. doi:10.1109/TEVC.2005.861417

DEAP still lacks some of these problems so I will grab the DTLZ5, DTLZ6 and DTLZ7 problems from inspyred and adapt them for DEAP.

Note to self: sent these problems to the DEAP guys.

DTLZ5 and DTLZ6 have an $m-1$-dimensional Pareto-optimal front.

• This means that in 3D the Pareto optimal front is a 2D curve.
• In two dimensions the front is a point.


In [31]:

def dtlz5(ind, n_objs):
from functools import reduce
g = lambda x: sum([(a - 0.5)**2 for a in x])
gval = g(ind[n_objs-1:])

theta = lambda x: math.pi / (4.0 * (1 + gval)) * (1 + 2 * gval * x)
fit = [(1 + gval) * math.cos(math.pi / 2.0 * ind[0]) *
reduce(lambda x,y: x*y, [math.cos(theta(a)) for a in ind[1:]])]
for m in reversed(range(1, n_objs)):
if m == 1:
fit.append((1 + gval) * math.sin(math.pi / 2.0 * ind[0]))
else:
fit.append((1 + gval) * math.cos(math.pi / 2.0 * ind[0]) *
reduce(lambda x,y: x*y, [math.cos(theta(a)) for a in ind[1:m-1]], 1) *
math.sin(theta(ind[m-1])))
return fit




In [32]:

def dtlz6(ind, n_objs):
from functools import reduce
gval = sum([a**0.1 for a in ind[n_objs-1:]])
theta = lambda x: math.pi / (4.0 * (1 + gval)) * (1 + 2 * gval * x)
fit = [(1 + gval) * math.cos(math.pi / 2.0 * ind[0]) *
reduce(lambda x,y: x*y, [math.cos(theta(a)) for a in ind[1:]])]
for m in reversed(range(1, n_objs)):
if m == 1:
fit.append((1 + gval) * math.sin(math.pi / 2.0 * ind[0]))
else:
fit.append((1 + gval) * math.cos(math.pi / 2.0 * ind[0]) *
reduce(lambda x,y: x*y, [math.cos(theta(a)) for a in ind[1:m-1]], 1) *
math.sin(theta(ind[m-1])))
return fit



DTLZ7 has many disconnected Pareto-optimal fronts.



In [33]:

def dtlz7(ind, n_objs):
gval = 1 + 9.0 / len(ind[n_objs-1:]) * sum([a for a in ind[n_objs-1:]])
fit = [ind for ind in ind[:n_objs-1]]
fit.append((1 + gval) * (n_objs - sum([a / (1.0 + gval) * (1 + math.sin(3 * math.pi * a)) for a in ind[:n_objs-1]])))
return fit



How does our NSGA-II behaves when faced with different benchmark problems?



In [34]:

problem_instances = {'ZDT1': benchmarks.zdt1, 'ZDT2': benchmarks.zdt2,
'ZDT3': benchmarks.zdt3, 'ZDT4': benchmarks.zdt4,
'DTLZ1': lambda ind: benchmarks.dtlz1(ind,2),
'DTLZ2': lambda ind: benchmarks.dtlz2(ind,2),
'DTLZ3': lambda ind: benchmarks.dtlz3(ind,2),
'DTLZ4': lambda ind: benchmarks.dtlz4(ind,2, 100),
'DTLZ5': lambda ind: dtlz5(ind,2),
'DTLZ6': lambda ind: dtlz6(ind,2),
'DTLZ7': lambda ind: dtlz7(ind,2)}




In [35]:

toolbox.max_gen = 1000

stats = tools.Statistics(lambda ind: ind.fitness.values)
stats.register("obj_vals", np.copy)

def run_problem(toolbox, problem):
toolbox.register('evaluate', problem)
return nsga_ii(toolbox, stats=stats)



Running NSGA-II solving all problems. Now it takes longer.



In [36]:

%time results = {problem: run_problem(toolbox, problem_instances[problem]) for problem in problem_instances}




CPU times: user 3min 16s, sys: 675 ms, total: 3min 17s
Wall time: 3min 18s



Creating this animation takes more programming effort.



In [37]:

class MultiProblemAnimation:
def init(self, fig, results):
self.results = results
self.axs = [fig.add_subplot(3,4,i+1) for i in range(len(results))]
self.plots =[]
for i, problem in enumerate(sorted(results)):
(res, logbook) = self.results[problem]
pop = pd.DataFrame(data=logbook.select('obj_vals')[0])
plot = self.axs[i].plot(pop[0], pop[1], 'b.', alpha=0.47)[0]
self.plots.append(plot)
fig.tight_layout()

def animate(self, t):
'Updates all plots to match frame _i_ of the animation.'
for i, problem in enumerate(sorted(results)):
#self.axs[i].clear()
(res, logbook) = self.results[problem]
pop = pd.DataFrame(data=logbook.select('obj_vals')[t])
self.plots[i].set_data(pop[0], pop[1])
self.axs[i].set_title(problem + '; $t=' + str(t)+'$')
self.axs[i].set_xlim((0, max(1,pop.max()[0])))
self.axs[i].set_ylim((0, max(1,pop.max()[1])))
return self.axs




In [38]:

mpa = MultiProblemAnimation()




In [39]:

fig = plt.figure(figsize=(14,6))
anim = animation.FuncAnimation(fig, mpa.animate, init_func=mpa.init(fig,results),
frames=toolbox.max_gen, interval=60, blit=True)
anim





In [40]:

anim.save('nsgaii-benchmarks.mp4', fps=15, bitrate=-1, dpi=500)




In [41]:




Out[41]:


• It is interesting how the algorithm deals with each problem: clearly some problems are harder than others.
• In some cases it "hits" the Pareto front and then slowly explores it.

# Experiment design and reporting results

• Watching an animation of an EMO algorithm solve a problem is certainly fun.
• It also allows us to understand many particularities of the problem being solved.
• But, as Carlos Coello would say, we are not in an art appreciation class.
• We should follow the key concepts provided by the scientific method.
• I urge you to study the experimental design topic in depth as it is an essential knowledge.

Evolutionary algorithms are stochastic algorithms, therefore their results must be assessed by repeating experiments until you reach an statistically valid conclusion.

## An illustrative simple/sample experiment

Let's make a relatively simple experiment:

• Hypothesis: The mutation probability of NSGA-II matters when solving the DTLZ3 problem.
• Procedure: We must perform an experiment testing different mutation probabilities while keeping the other parameters constant.

### Notation

As usual we need to establish some notation:

• Multi-objective problem (or just problem): A multi-objective optimization problem, as defined above.
• MOEA: An evolutionary computation method used to solve multi-objective problems.
• Experiment: a combination of problem and MOEA and a set of values of their parameters.
• Experiment run: The result of running an experiment.
• We will use toolbox instances to define experiments.

We start by creating a toolbox that will contain the configuration that will be shared across all experiments.



In [42]:

toolbox = base.Toolbox()




In [43]:

BOUND_LOW, BOUND_UP = 0.0, 1.0
NDIM = 30

# the explanation of this... a few lines bellow
def eval_helper(ind):
return benchmarks.dtlz3(ind, 2)

toolbox.register("evaluate", eval_helper)




In [44]:

def uniform(low, up, size=None):
try:
return [random.uniform(a, b) for a, b in zip(low, up)]
except TypeError:
return [random.uniform(a, b) for a, b in zip([low] * size, [up] * size)]

toolbox.register("attr_float", uniform, BOUND_LOW, BOUND_UP, NDIM)
toolbox.register("individual", tools.initIterate, creator.Individual, toolbox.attr_float)
toolbox.register("population", tools.initRepeat, list, toolbox.individual)

toolbox.register("mate", tools.cxSimulatedBinaryBounded, low=BOUND_LOW, up=BOUND_UP, eta=20.0)
toolbox.register("mutate", tools.mutPolynomialBounded, low=BOUND_LOW, up=BOUND_UP, eta=20.0, indpb=1.0/NDIM)

toolbox.register("select", tools.selNSGA2)

toolbox.pop_size = 200
toolbox.max_gen = 500



We add a experiment_name to toolbox that we will fill up later on.



In [45]:

toolbox.experiment_name = "$P_\mathrm{mut}="  We can now replicate this toolbox instance and then modify the mutation probabilities.  In [46]: mut_probs = (0.05, 0.15, 0.3) number_of_experiments = len(mut_probs) toolboxes=list([copy.copy(toolbox) for _ in range(number_of_experiments)])  Now toolboxes is a list of copies of the same toolbox. One for each experiment configuration (population size). ...but we still have to set the population sizes in the elements of toolboxes.  In [47]: for i, toolbox in enumerate(toolboxes): toolbox.mut_prob = mut_probs[i] toolbox.experiment_name = toolbox.experiment_name + str(mut_probs[i]) +'$'




In [48]:

for toolbox in toolboxes:
print(toolbox.experiment_name, toolbox.mut_prob)




$P_\mathrm{mut}=0.05$ 0.05
$P_\mathrm{mut}=0.15$ 0.15
$P_\mathrm{mut}=0.3$ 0.3



## Experiment design

As we are dealing with stochastic methods their results should be reported relying on an statistical analysis.

• A given experiment (a toolbox instance in our case) should be repeated a sufficient amount of times.
• In theory, the more runs the better, but how much in enough? In practice, we could say that about 30 runs is enough.
• The non-dominated fronts produced by each experiment run should be compared to each other.
• We have seen in class that a number of performance indicators, like the hypervolume, additive and multiplicative epsilon indicators, among others, have been proposed for that task.
• We can use statistical visualizations like box plots or violin plots to make a visual assessment of the indicator values produced in each run.
• We must apply a set of statistical hypothesis tests in order to reach an statistically valid judgment of the results of an algorithms.

Note: I personally like the number 42 as it is the answer to The Ultimate Question of Life, the Universe, and Everything.



In [49]:

number_of_runs = 42



### Running experiments in parallel

As we are now solving more demanding problems it would be nice to make our algorithms to run in parallel and profit from modern multi-core CPUs.

• In DEAP it is very simple to parallelize an algorithm (if it has been properly programmed) by providing a parallel map() function throu the toolbox.
• Local parallelization can be achieved using Python's multiprocessing or concurrent.futures modules.
• Cluster parallelization can be achived using IPython Parallel or SCOOP, that seems to be recommended by the DEAP guys as it was part of it.

Note: While preparing this notebook I why process-based parallelization is much faster than thread-based parallelization. You can have a very good summary about this in http://blog.liang2.tw/2014-handy-dist-computing/.

### Progress feedback

• Another issue with these long experiments has to do being patient.
• A little bit of feedback on the experiment execution would be cool.
• We can use the integer progress bar from IPython widgets and report every time an experiment run is finished.


In [50]:

from IPython.html import widgets
from IPython.display import display




In [51]:

progress_bar = widgets.IntProgressWidget(description="Starting...",
max=len(toolboxes)*number_of_runs)



### A side-effect of using process-based parallelization

Process-based parallelization based on multiprocessing requires that the parameters passed to map() be pickleable.

• The direct consequence is that lambda functions can not be directly used.
• This is will certainly ruin the party to all lambda fans out there! -me included.
• Hence we need to write some wrapper functions instead.
• But, that wrapper function can take care of filtering out dominated individuals in the results.


In [52]:

def run_algo_wrapper(toolboox):
result,a = nsga_ii(toolbox)
pareto_sets = tools.emo.sortLogNondominated(result, len(result))
return pareto_sets[0]


%%time
import concurrent.futures
display(progress_bar)

results = {toolbox.experiment_name:[] for toolbox in toolboxes}
with concurrent.futures.ProcessPoolExecutor() as executor:
futures = {executor.submit(run_algo_wrapper, toolbox): toolbox
for _ in range(number_of_runs)
for toolbox in toolboxes}

# ...and wait for them to finish.
for future in concurrent.futures.as_completed(futures):
tb = futures[future]
results[tb.experiment_name].append(future.result())
progress_bar.value +=1
progress_bar.description = "Finished %03d of %03d:" % (progress_bar.value, progress_bar.max)


# All set! Run the experiments...

This is not a perfect implementation but... works!



In [53]:

%%time
from multiprocessing import Pool
display(progress_bar)

results = {}
pool = Pool()
for toolbox in toolboxes:
results[toolbox.experiment_name] = pool.map(run_algo_wrapper, [toolbox] * number_of_runs)
progress_bar.value +=number_of_runs
progress_bar.description = "Finished %03d of %03d:" % (progress_bar.value, progress_bar.max)




CPU times: user 3.2 s, sys: 781 ms, total: 3.98 s
Wall time: 1h 31min 9s



As you can see, even this relatively small experiment took lots of time!

As running the experiments takes so long, lets save the results so we can use them whenever we want.



In [54]:

import pickle




In [55]:

pickle.dump(results, open('nsga_ii_dtlz3-results.pickle', 'wb'),
pickle.HIGHEST_PROTOCOL)



In case you need it, this file is included in the github repository.

To load the results we would just have to:



In [56]:

#results = loaded_results # <-- uncomment if needed



results is a dictionary, but a pandas DataFrame is a more handy container for the results.



In [57]:



Headers may come out unsorted. Let's fix that first.



In [58]:




Out[58]:

$P_\mathrm{mut}=0.05$
$P_\mathrm{mut}=0.15$
$P_\mathrm{mut}=0.3$

0
[[1.0, 0.5000269727348605, 0.4999616400061205,...
[[0.9999999999999867, 0.4001150913352416, 0.40...
[[0.9999999999999996, 0.5000103341990221, 0.59...

1
[[0.9999999999999996, 0.5000347245740564, 0.50...
[[0.9999999999999994, 0.3000864089066496, 0.50...
[[0.9999999999999021, 0.4004161957652541, 0.49...

2
[[0.999999999813255, 0.5999721288215643, 0.499...
[[0.9999999999999981, 0.4995172500410508, 0.49...
[[0.9999999999999997, 0.4001590675284601, 0.50...

3
[[0.9999999998399098, 0.4998310912965175, 0.49...
[[0.9999999999415495, 0.5000078089803229, 0.39...
[[0.9999999999999546, 0.5000090989133338, 0.39...

4
[[0.9999999999999997, 0.5011132736209546, 0.50...
[[0.9999999999997499, 0.50003632075969, 0.5001...
[[1.0, 0.49942156718161346, 0.4998754336732803...




In [59]:

res = res.reindex_axis([toolbox.experiment_name for toolbox in toolboxes], axis=1)




In [60]:




Out[60]:

$P_\mathrm{mut}=0.05$
$P_\mathrm{mut}=0.15$
$P_\mathrm{mut}=0.3$

0
[[1.0, 0.5000269727348605, 0.4999616400061205,...
[[0.9999999999999867, 0.4001150913352416, 0.40...
[[0.9999999999999996, 0.5000103341990221, 0.59...

1
[[0.9999999999999996, 0.5000347245740564, 0.50...
[[0.9999999999999994, 0.3000864089066496, 0.50...
[[0.9999999999999021, 0.4004161957652541, 0.49...

2
[[0.999999999813255, 0.5999721288215643, 0.499...
[[0.9999999999999981, 0.4995172500410508, 0.49...
[[0.9999999999999997, 0.4001590675284601, 0.50...

3
[[0.9999999998399098, 0.4998310912965175, 0.49...
[[0.9999999999415495, 0.5000078089803229, 0.39...
[[0.9999999999999546, 0.5000090989133338, 0.39...

4
[[0.9999999999999997, 0.5011132736209546, 0.50...
[[0.9999999999997499, 0.50003632075969, 0.5001...
[[1.0, 0.49942156718161346, 0.4998754336732803...



## A first glace at the results



In [61]:

a = res.applymap(lambda pop: [toolbox.evaluate(ind) for ind in pop])
plt.figure(figsize=(15,3))
for i, col in enumerate(a.columns):
plt.subplot(1,len(a.columns), i+1)
for pop in a[col]:
x = pd.DataFrame(data= pop)
plt.scatter(x[0], x[1], alpha=0.5)
plt.title(col)






The local Pareto-optimal fronts are clearly visible!

## Calculating performance indicators

• As already mentioned, we need to evaluate the quality of the solutions produced in every execution of the algorithm.
• We will use the hypervolumne indicator for that.
• We already filtered each population a leave only the non-dominated individuals.

Calculating nadir point: an individual that is “worse” than any other individual in each of the objectives.



In [62]:

alldata = np.concatenate(np.concatenate(results.values))
obj_vals = [toolbox.evaluate(ind) for ind in alldata]
return np.max(obj_vals, axis=0)




In [63]:




In [64]:




Out[64]:

array([ 24.1078374 ,  23.24556811])



We can now compute the hypervolume of the Pareto-optimal fronts yielded by each algorithm run.



In [65]:

import deap.benchmarks.tools as bt




In [66]:

hypervols = res.applymap(lambda pop: bt.hypervolume(pop, nadir))




In [67]:




Out[67]:

$P_\mathrm{mut}=0.05$
$P_\mathrm{mut}=0.15$
$P_\mathrm{mut}=0.3$

0
479.299366
471.090265
462.265758

1
465.688953
444.166523
500.285145

2
493.253702
538.765728
461.301381

3
493.875035
452.831973
506.646024

4
491.986397
532.318474
417.450301



## How can we interpret the indicators?

### Option A: Tabular form



In [68]:

hypervols.describe()




Out[68]:

$P_\mathrm{mut}=0.05$
$P_\mathrm{mut}=0.15$
$P_\mathrm{mut}=0.3$

count
42.000000
42.000000
42.000000

mean
462.425110
444.683926
457.372139

std
85.074852
67.852181
68.171960

min
211.210104
261.538491
136.654403

25%
446.959790
407.811816
437.208398

50%
493.564368
449.807904
462.348260

75%
515.485198
495.389646
496.541831

max
552.279112
539.961884
546.582980



### Option B: Visualization



In [69]:

fig = plt.figure(figsize=(15,3))
plt.subplot(1,2,1, title='Violin plots of NSGA-II with $P_{\mathrm{mut}}$')
seaborn.violinplot(hypervols, alpha=0.74)
plt.ylabel('Hypervolume'); plt.xlabel('Mutation probabilities')
plt.subplot(1,2,2, title='Box plots of NSGA-II with $P_{\mathrm{mut}}$')
seaborn.boxplot(hypervols, alpha=0.74)
plt.ylabel('Hypervolume'); plt.xlabel('Mutation probabilities');




Out[69]:

<matplotlib.text.Text at 0x1173910f0>



## Option C: Statistical hypothesis test

• Choosing the correct statistical test is essential to properly report the results.
• Nonparametric statistics can lend a helping hand.
• Parametric statistics could be a better choice in some cases.
• Parametric statistics require that all data follow a known distribution (frequently a normal one).
• Some tests -like the normality test- can be apply to verify that data meet the parametric stats requirements.
• In my experience that is very unlikely that all your EMO result meet those characteristics.

We start by writing a function that helps us tabulate the results of the application of an statistical hypothesis test.



In [70]:

import itertools
import scipy.stats as stats




In [71]:

def compute_stat_matrix(data, stat_func, alpha=0.05):
'''A function that applies stat_func to all combinations of columns in data.
Returns a squared matrix with the p-values'''
p_values = pd.DataFrame(columns=data.columns, index=data.columns)
for a,b in itertools.combinations(data.columns,2):
s,p = stat_func(data[a], data[b])
p_values[a].ix[b] = p
p_values[b].ix[a] = p
return p_values



The Kruskal-Wallis H-test tests the null hypothesis that the population median of all of the groups are equal.

• It is a non-parametric version of ANOVA.
• The test works on 2 or more independent samples, which may have different sizes.
• Note that rejecting the null hypothesis does not indicate which of the groups differs.
• Post-hoc comparisons between groups are required to determine which groups are different.


In [72]:

stats.kruskal(*[hypervols[col] for col in hypervols.columns])




Out[72]:

(4.1170925062938863, 0.12763939044708175)



We now can assert that the results are not the same but which ones are different or similar to the others the others?

In case that the null hypothesis of the Kruskal-Wallis is rejected the Conover–Inman procedure (Conover, 1999, pp. 288-290) can be applied in a pairwise manner in order to determine if the results of one algorithm were significantly better than those of the other.

• Conover, W. J. (1999). Practical Nonparametric Statistics. John Wiley & Sons, New York, 3rd edition.

Note: If you want to get an extended summary of this method check out my PhD thesis.



In [73]:

def conover_inman_procedure(data, alpha=0.05):
num_runs = len(data)
num_algos = len(data.columns)
N = num_runs*num_algos

_,p_value = stats.kruskal(*[data[col] for col in data.columns])

ranked =  stats.rankdata(np.concatenate([data[col] for col in data.columns]))

ranksums = []
for i in range(num_algos):
ranksums.append(np.sum(ranked[num_runs*i:num_runs*(i+1)]))

S_sq = (np.sum(ranked**2) - N*((N+1)**2)/4)/(N-1)

right_side = stats.t.cdf(1-(alpha/2), N-num_algos) * \
math.sqrt((S_sq*((N-1-p_value)/(N-1)))*2/num_runs)

res = pd.DataFrame(columns=data.columns, index=data.columns)

for i,j in itertools.combinations(np.arange(num_algos),2):
res[res.columns[i]].ix[j] = abs(ranksums[i] - ranksums[j]/num_runs) > right_side
res[res.columns[j]].ix[i] = abs(ranksums[i] - ranksums[j]/num_runs) > right_side
return res




In [74]:

conover_inman_procedure(hypervols)




Out[74]:

$P_\mathrm{mut}=0.05$
$P_\mathrm{mut}=0.15$
$P_\mathrm{mut}=0.3$

$P_\mathrm{mut}=0.05$
NaN
True
True

$P_\mathrm{mut}=0.15$
True
NaN
True

$P_\mathrm{mut}=0.3$
True
True
NaN



We now know in what cases the difference is sufficient as to say that one result is better than the other.

Another alternative is the Friedman test.

• Its null hypothesis that repeated measurements of the same individuals have the same distribution.
• It is often used to test for consistency among measurements obtained in different ways.
• For example, if two measurement techniques are used on the same set of individuals, the Friedman test can be used to determine if the two measurement techniques are consistent.


In [75]:

hyp_transp = hypervols.transpose()
measurements = [list(hyp_transp[col]) for col in hyp_transp.columns]
stats.friedmanchisquare(*measurements)




Out[75]:

(41.4318936877076, 0.45177834097859693)



Mann–Whitney U test (also called the Mann–Whitney–Wilcoxon (MWW), Wilcoxon rank-sum test (WRS), or Wilcoxon–Mann–Whitney test) is a nonparametric test of the null hypothesis that two populations are the same against an alternative hypothesis, especially that a particular population tends to have larger values than the other.

It has greater efficiency than the $t$-test on non-normal distributions, such as a mixture of normal distributions, and it is nearly as efficient as the $t$-test on normal distributions.



In [76]:

raw_p_values=compute_stat_matrix(hypervols, stats.mannwhitneyu)
raw_p_values




Out[76]:

$P_\mathrm{mut}=0.05$
$P_\mathrm{mut}=0.15$
$P_\mathrm{mut}=0.3$

$P_\mathrm{mut}=0.05$
NaN
0.03572306
0.08074789

$P_\mathrm{mut}=0.15$
0.03572306
NaN
0.1549628

$P_\mathrm{mut}=0.3$
0.08074789
0.1549628
NaN



The familywise error rate (FWER) is the probability of making one or more false discoveries, or type I errors, among all the hypotheses when performing multiple hypotheses tests.

Example: When performing a test, there is a $\alpha$ chance of making a type I error. If we make $m$ tests, then the probability of making one type I error is $m\alpha$. Therefore, if an $\alpha=0.05$ is used and 5 pairwise comparisons are made, we will have a $5\times0.05 = 0.25$ chance of making a type I error.

• FWER procedures (such as the Bonferroni correction) exert a more stringent control over false discovery compared to False discovery rate controlling procedures.
• FWER controlling seek to reduce the probability of even one false discovery, as opposed to the expected proportion of false discoveries.
• Thus, FDR procedures have greater power at the cost of increased rates of type I errors, i.e., rejecting the null hypothesis of no effect when it should be accepted.

One of these corrections is the Šidák correction as it is less conservative than the Bonferroni correction: $$\alpha_{SID} = 1-(1-\alpha)^\frac{1}{m},$$ where $m$ is the number of tests.

• In our case $m$ is the number of combinations of algorithm configurations taken two at a time.
• There are other corrections that can be used.


In [77]:

from scipy.misc import comb
alpha=0.05
alpha_sid = 1 - (1-alpha)**(1/comb(len(hypervols.columns), 2))
print(alpha_sid)




0.0169524275084



Let's apply the corrected alpha to raw_p_values. If we have a cell with a True value that means that those two results are the same.



In [78]:

raw_p_values.applymap(lambda value: value <= alpha_sid)




Out[78]:

$P_\mathrm{mut}=0.05$
$P_\mathrm{mut}=0.15$
$P_\mathrm{mut}=0.3$

$P_\mathrm{mut}=0.05$
False
False
False

$P_\mathrm{mut}=0.15$
False
False
False

$P_\mathrm{mut}=0.3$
False
False
False


• Cohen, P. R. (1995). Empirical Methods for Artificial Intelligence (Vol. 139). Cambridge: MIT press. link
• Bartz-Beielstein, Thomas (2006). Experimental Research in Evolutionary Computation: The New Experimentalism. Springer link
• García, S., & Herrera, F. (2008). An Extension on “Statistical Comparisons of Classifiers over Multiple Data Sets” for all Pairwise Comparisons. Journal of Machine Learning Research, 9, 2677–2694. pdf

# Final remarks

In this class/notebook we have seen some key elements:

1. The Pareto dominance relation in action.
2. The NSGA-II algorithm.
3. Some of the existing MOP benchmarks.
4. How to perform experiments and draw statistically valid conclusions from them.

Bear in mind that:

• When working in EMO topics problems like those of the CEC'09 or WFG toolkits are usually involved.
• The issue of devising a proper experiment design and interpreting the results is a fundamental one.
• The experimental setup presented here can be used with little modifications to single-objective optimization and even to other machine learning or stochastic algorithms.