This paper proposes a novel surrogate-model-based multi-objective evolutionary algorithm, which is called Multi-objective Bayesian Optimization Algorithm based on Decomposition (MOBO/D). In this algorithm, a multi-objective problem is decomposed into several subproblems which will be solved simultaneously. MOBO/D builds Gaussian process model for each objective to learn the optimization surface, and defines utility function for each subproblem to guide the searching process. At each generation, MOEA/D algorithm is called to locate a set of candidate solutions which maximize all utility functions respectively, and a subset of those candidate solutions is selected for parallel batch evaluation. Experimental study on different test instances validates that MOBO/D can efficiently solve expensive multi-objective problems in parallel. The performance of MOBO/D is also better than several classical expensive optimization methods.
