Approximate the value of the hypervolume metric with respect to a given
reference point assuming minimization of all objectives. The default
method="DZ2019-HW"
is deterministic and ignores the parameter seed
,
while method="DZ2019-MC"
relies on Monte-Carlo sampling
(Deng and Zhang 2019)
. Both methods tend to get more accurate with
higher values of nsamples
, but the increase in accuracy is not monotonic.
Usage
hv_approx(
x,
reference,
maximise = FALSE,
nsamples = 100000L,
seed = NULL,
method = c("DZ2019-HW", "DZ2019-MC")
)
Arguments
- x
matrix()
|data.frame()
Matrix or data frame of numerical values, where each row gives the coordinates of a point.- reference
numeric()
Reference point as a vector of numerical values.- maximise
logical()
Whether the objectives must be maximised instead of minimised. Either a single logical value that applies to all objectives or a vector of logical values, with one value per objective.- nsamples
integer(1)
Number of samples for Monte-Carlo sampling.- seed
integer(1)
Random seed.- method
character(1)
Method to generate the sampling weights. See `Details'.
Details
This function implements the method proposed by Deng and Zhang (2019) to approximate the hypervolume:
$$\widehat{HV}_r(A) = \frac{2\pi^\frac{m}{2}}{\Gamma(\frac{m}{2})}\frac{1}{m 2^m}\frac{1}{n}\sum_{i=1}^n \max_{y \in A} s(w^{(i)}, y)^m$$
where \(m\) is the number of objectives, \(n\) is the number of weights
\(w^{(i)}\) sampled, \(\Gamma()\) is the gamma function gamma()
, i.e.,
the analytical continuation of the factorial function, and \(s(w, y) =
\min_{k=1}^m (r_k - y_k)/w_k\).
In the default method="DZ2019-HW"
, the weights \(w^{(i)}, i=1\ldots n\)
are defined using a deterministic low-discrepancy sequence. The weight
values depend on their number (nsamples
), thus increasing the number of
weights may not necessarily increase accuracy because the set of weights
would be different. In method="DZ2019-MC"
, the weights
\(w^{(i)}, i=1\ldots n\) are sampled from the unit normal vector such that
each weight \(w = \frac{|x|}{\|x\|_2}\) where each component of \(x\) is
independently sampled from the standard normal distribution. The original
source code in C++/MATLAB for both methods can be found at
https://github.com/Ksrma/Hypervolume-Approximation-using-polar-coordinate.
References
Jingda Deng, Qingfu Zhang (2019). “Approximating Hypervolume and Hypervolume Contributions Using Polar Coordinate.” IEEE Transactions on Evolutionary Computation, 23(5), 913–918. doi:10.1109/tevc.2019.2895108 .
Examples
x <- matrix(c(5, 5, 4, 6, 2, 7, 7, 4), ncol=2, byrow=TRUE)
hypervolume(x, ref=10)
#> [1] 38
hv_approx(x, ref=10, seed=42, method="DZ2019-MC")
#> [1] 38.01475
hv_approx(x, ref=10, method="DZ2019-HW")
#> [1] 37.99989