TY - GEN
T1 - A simple modification in CMA-ES achieving linear time and space complexity
AU - Ros, Raymond
AU - Hansen, Nikolaus
PY - 2008/11/26
Y1 - 2008/11/26
N2 - This paper proposes a simple modification of the Covariance Matrix Adaptation Evolution Strategy (CMA-ES) for high dimensional objective functions, reducing the internal time and space complexity from quadratic to linear. The covariance matrix is constrained to be diagonal and the resulting algorithm, sep-CMA-ES, samples each coordinate independently. Because the model complexity is reduced, the learning rate for the covariance matrix can be increased. Consequently, on essentially separable functions, sep-CMA-ES significantly outperforms CMA-ES . For dimensions larger than a hundred, even on the non-separable Rosenbrock function, the sep-CMA-ES needs fewer function evaluations than CMA-ES .
AB - This paper proposes a simple modification of the Covariance Matrix Adaptation Evolution Strategy (CMA-ES) for high dimensional objective functions, reducing the internal time and space complexity from quadratic to linear. The covariance matrix is constrained to be diagonal and the resulting algorithm, sep-CMA-ES, samples each coordinate independently. Because the model complexity is reduced, the learning rate for the covariance matrix can be increased. Consequently, on essentially separable functions, sep-CMA-ES significantly outperforms CMA-ES . For dimensions larger than a hundred, even on the non-separable Rosenbrock function, the sep-CMA-ES needs fewer function evaluations than CMA-ES .
U2 - 10.1007/978-3-540-87700-4_30
DO - 10.1007/978-3-540-87700-4_30
M3 - Conference contribution
AN - SCOPUS:56449130100
SN - 3540876995
SN - 9783540876991
T3 - Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics)
SP - 296
EP - 305
BT - Parallel Problem Solving from Nature - PPSN X - 10th International Conference, Proceedings
T2 - 10th International Conference on Parallel Problem Solving from Nature, PPSN X
Y2 - 13 September 2008 through 17 September 2008
ER -