CMA-ES

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Covariance matrix adaptation evolution strategy (CMA-ES) is a particular kind of strategy for numerical optimization. Evolution strategies (ES) are stochastic, derivative-free methods for numerical optimization of non-linear or non-convex continuous optimization problems. They belong to the class of evolutionary algorithms and evolutionary computation. An evolutionary algorithm is broadly based on the principle of biological evolution, namely the repeated interplay of variation (via recombination and mutation) and selection: in each generation (iteration) new individuals (candidate solutions, denoted as x {\displaystyle x} ) are generated by variation of the current parental individuals, usually in a stochastic way. Then, some individuals are selected to become the parents in the next generation based on their fitness or objective function value f ( x ) {\displaystyle f(x)} . Like this, individuals with better and better f {\displaystyle f} -values are generated over the generation sequence. In an evolution strategy, new candidate solutions are usually sampled according to a multivariate normal distribution in R n {\displaystyle \mathbb {R} ^{n}} . Recombination amounts to selecting a new mean value for the distribution. Mutation amounts to adding a random vector, a perturbation with zero mean. Pairwise dependencies between the variables in the distribution are represented by a covariance matrix. The covariance matrix adaptation (CMA) is a method to update the covariance matrix of this distribution. This is particularly useful if the function f {\displaystyle f} is ill-conditioned. Adaptation of the covariance matrix amounts to learning a second order model of the underlying objective function similar to the approximation of the inverse Hessian matrix in the quasi-Newton method in classical optimization. In contrast to most classical methods, fewer assumptions on the underlying objective function are made. Because only a ranking (or, equivalently, sorting) of candidate solutions is exploited, neither derivatives nor even an (explicit) objective function is required by...