Support for multi-objective problems

[nirmalsnair]

Does any of the currently available algorithms support multi-objective problems?

[beniz]

Hi, libcmaes does not have built-in support for MO problems.

A good intro to MO-CMA-ES: http://www.cmap.polytechnique.fr/~anne.auger/pgmo14/pgmoDimo_20141030_web.pdf

I don't have the bandwith to write MO code in libcmaes, but I can help discuss it if it makes sense and if someone is interested in adding it as a PR.

Also, @nikohansen can probably recommend an existing up-to-date implementation of MO-CMA-ES.

[nikohansen]

Two links that may help:

• Implementation of MO-CMA-ES in C++: http://image.diku.dk/shark/sphinx_pages/build/html/rest_sources/tutorials/algorithms/mocma.html

• Implementation of COMO-CMA-ES in Python: https://github.com/CMA-ES/pycomocma

[nirmalsnair]

Thank you for the links @beniz @nikohansen.