Exact and Fast Subset Selection Algorithms for the Bi-objective Integral R2 Indicator (opens in new tab)

We study fixed-cardinality subset selection for the exact integral bi-objective $R_2$ indicator with a uniform continuum of weighted Tchebycheff scalarizing functions. The indicator measures the area under the lower envelope of scalarizing losses over weight space, rather than a finite sample average over weight vectors. For a sorted bi-objective Pareto-front approximation, represented by points ordered by increasing first objective and decreasi...