Skip to Main content Skip to Navigation

Optimisation multicritère sous incertitudes : un algorithme de descente stochastique

Abstract : This thesis deals with unconstrained multiobjective optimization when the objectives are written as expectations of random functions. The randomness is modelled through random variables and we consider that this does not impact the problem optimization variables. A descent algorithm is proposed which gives the Pareto solutions without having to estimate the expectancies. Using convex analysis results, it is possible to construct a common descent vector that is a descent vector for all the objectives simultaneously, for a given draw of the random variables. An iterative sequence is then built and consists in descending following this common descent vector calculated at the current point and for a single independent draw of the random variables. This construction avoids the costly estimation of the expectancies at each step of the algorithm. It is then possible to prove the mean square and almost sure convergence of the sequence towards Pareto solutions of the problem and at the same time, it is possible to obtain a speed rate result when the step size sequence is well chosen. After having proposed some numerical enhancements of the algorithm, it is tested on multiple test cases against two classical algorithms of the literature. The results for the three algorithms are then compared using two measures that have been devised for multiobjective optimization and analysed through performance profiles. Methods are then proposed to handle two types of constraint and are illustrated on mechanical structure optimization problems. The first method consists in penalising the objective functions using exact penalty functions when the constraint is deterministic. When the constraint is expressed as a probability, the constraint is replaced by an additional objective. The probability is then reformulated as an expectation of an indicator function and this new problem is solved using the algorithm proposed in the thesis without having to estimate the probability during the optimization process.
Complete list of metadatas

Cited literature [78 references]  Display  Hide  Download
Contributor : Abes Star :  Contact
Submitted on : Monday, March 11, 2019 - 10:14:07 AM
Last modification on : Friday, June 26, 2020 - 2:26:38 PM
Long-term archiving on: : Wednesday, June 12, 2019 - 1:19:30 PM


Version validated by the jury (STAR)


  • HAL Id : tel-02063322, version 3



Quentin Mercier. Optimisation multicritère sous incertitudes : un algorithme de descente stochastique. Equations aux dérivées partielles [math.AP]. Université Côte d'Azur, 2018. Français. ⟨NNT : 2018AZUR4076⟩. ⟨tel-02063322v3⟩



Record views


Files downloads