Section: New Software and Platforms


Covariance Matrix Adaptation Evolution Strategy

Keywords: Numerical optimization - Black-box optimization - Stochastic optimization

Scientific Description

The CMA-ES is considered as state-of-the-art in evolutionary computation and has been adopted as one of the standard tools for continuous optimisation in many (probably hundreds of) research labs and industrial environments around the world. The CMA-ES is typically applied to unconstrained or bounded constraint optimization problems, and search space dimensions between three and a hundred. The method should be applied, if derivative based methods, e.g. quasi-Newton BFGS or conjugate gradient, (supposedly) fail due to a rugged search landscape (e.g. discontinuities, sharp bends or ridges, noise, local optima, outliers). If second order derivative based methods are successful, they are usually faster than the CMA-ES: on purely convex-quadratic functions, f(x)=xTHx, BFGS (Matlabs function fminunc) is typically faster by a factor of about ten (in terms of number of objective function evaluations needed to reach a target function value, assuming that gradients are not available). On the most simple quadratic function f(x)=||x||2=xTx BFGS is faster by a factor of about 30.

Functional Description

The CMA-ES is an evolutionary algorithm for difficult non-linear non-convex black-box optimisation problems in continuous domain.