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Pareto front (Python recipe) by Jamie Bull
ActiveState Code (http://code.activestate.com/recipes/578230/)

Function for finding a 2D Pareto frontier given two lists of matched length.

Python, 13 lines
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def pareto_frontier(Xs, Ys, maxX = True, maxY = True):
    myList = sorted([[Xs[i], Ys[i]] for i in range(len(Xs))], reverse=maxX)
    p_front = [myList[0]]    
    for pair in myList[1:]:
        if maxY: 
            if pair[1] >= p_front[-1][1]:
                p_front.append(pair)
        else:
            if pair[1] <= p_front[-1][1]:
                p_front.append(pair)
    p_frontX = [pair[0] for pair in p_front]
    p_frontY = [pair[1] for pair in p_front]
    return p_frontX, p_frontY

This is a simple method for finding a 2D Pareto frontier. It gives the option to prefer either small or large values for the X and Y parameters.

For more info and discussion see the Pareto frontiers in Python post on the oCo Carbon blog.

Tags: engineering, finance, optimal, pareto_front, pareto_frontier, pareto_set