Calibrating continuous multi‐objective heuristics using mixture experiments

A genetic algorithm heuristic that uses multiple rank indicators taken from a number of well established evolutionary algorithms including NSGA‐II, IBEA and SPEA2 is developed. It is named Multi‐Indicator GA (MIGA). At every iteration, MIGA uses one among the available indicators to select the individuals which will participate as parents in the next iteration. MIGA chooses the indicators according to predefined probabilities found through the analysis of mixture experiments. Mixture experiments are a particular type of experimental design suitable for the calibration of parameters that represent probabilities. Their main output is an explanatory model of algorithm performance as a function of its parameters. By finding the point that provides the maximum we also find good algorithm parameters. To the best of our knowledge, this is the first paper where mixture experiments are used for heuristic tuning. The design of mixture experiments approach allowed the authors to identify and exploit synergy between the different rank indicators. This is demonstrated by our experimental results in which the tuned MIGA compares favorably to other well established algorithms, an uncalibrated multi‐indicator algorithm, and a multi‐indicator algorithm calibrated using a more conventional approach.