Markov chain analysis of evolution strategies on a linear constraint optimization problem

This paper analyses a (1, λ)-Evolution Strategy, a randomised comparison-based adaptive search algorithm, on a simple constraint optimization problem. The algorithm uses resampling to handle the constraint and optimizes a linear function with a linear constraint. Two cases are investigated: First the case where the step-size is constant, and second the case where the step-size is adapted using path length control. We exhibit for each case a Markov chain whose stability analysis would allow us to deduce the divergence of the algorithm depending on its internal parameters. We show divergence at a constant rate when the step-size is constant. We sketch that with step-size adaptation geometric divergence takes place. Our results complement previous studies where stability was assumed.