  An ongoing aim of research in multiobjective Bayesian optimization is to
extend its applicability to a large number of objectives. While coping with a
limited budget of evaluations, recovering the set of optimal compromise
solutions generally requires numerous observations and is less interpretable
since this set tends to grow larger with the number of objectives. We thus
propose to focus on a specific solution originating from game theory, the
Kalai-Smorodinsky solution, which possesses attractive properties. In
particular, it ensures equal marginal gains over all objectives. We further
make it insensitive to a monotonic transformation of the objectives by
considering the objectives in the copula space. A novel tailored algorithm is
proposed to search for the solution, in the form of a Bayesian optimization
algorithm: sequential sampling decisions are made based on acquisition
functions that derive from an instrumental Gaussian process prior. Our approach
is tested on four problems with respectively four, six, eight, and nine
objectives. The method is available in the Rpackage GPGame available on CRAN at
https://cran.r-project.org/package=GPGame.
