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An important and challenging data mining application in marketing is to learn models for predicting potential customers who contribute large profits to a company under resource constraints. In this chapter, we first formulate this learning problem as a constrained optimization problem and then convert it to an unconstrained multi-objective optimization problem (MOP), which can be handled by some multi-objective evolutionary algorithms (MOEAs). However, MOEAs may execute for a long time for theMOP, because several evaluations must be performed. A promising approach to overcome this limitation is to parallelize these algorithms. Thus we propose a parallel MOEA on consumer-level graphics processing units (GPU) to tackle the MOP. We perform experiments on a real-life direct marketing problem to compare the proposed method with the parallel hybrid genetic algorithm, the DMAX approach, and a sequential MOEA. It is observed that the proposed method is much more effective and efficient than the other approaches.