A Computationally Efficient Limited Memory CMA-ES for Large Scale Optimization

We propose a computationally efficient limited memory Covariance Matrix Adaptation Evolution Strategy for large scale optimization, which we call the LM-CMA-ES. The LM-CMA-ES is a stochastic, derivative-free algorithm for numerical optimization of non-linear, non-convex optimization problems in continuous domain. Inspired by the limited memory BFGS method of Liu and Nocedal (1989), the LM-CMA-ES samples candidate solutions according to a covariance matrix reproduced from $m$ direction vectors selected during the optimization process. The decomposition of the covariance matrix into Cholesky factors allows to reduce the time and memory complexity of the sampling to $O(mn)$, where $n$ is the number of decision variables. When $n$ is large (e.g., $n$ > 1000), even relatively small values of $m$ (e.g., $m=20,30$) are sufficient to efficiently solve fully non-separable problems and to reduce the overall run-time.Comment: Genetic and Evolutionary Computation Conference (GECCO'2014) (2014

An Asynchronous Implementation of the Limited Memory CMA-ES

We present our asynchronous implementation of the LM-CMA-ES algorithm, which is a modern evolution strategy for solving complex large-scale continuous optimization problems. Our implementation brings the best results when the number of cores is relatively high and the computational complexity of the fitness function is also high. The experiments with benchmark functions show that it is able to overcome its origin on the Sphere function, reaches certain thresholds faster on the Rosenbrock and Ellipsoid function, and surprisingly performs much better than the original version on the Rastrigin function.Comment: 9 pages, 4 figures, 4 tables; this is a full version of a paper which has been accepted as a poster to IEEE ICMLA conference 201

A hybrid swarm-based algorithm for single-objective optimization problems involving high-cost analyses

In many technical fields, single-objective optimization procedures in continuous domains involve expensive numerical simulations. In this context, an improvement of the Artificial Bee Colony (ABC) algorithm, called the Artificial super-Bee enhanced Colony (AsBeC), is presented. AsBeC is designed to provide fast convergence speed, high solution accuracy and robust performance over a wide range of problems. It implements enhancements of the ABC structure and hybridizations with interpolation strategies. The latter are inspired by the quadratic trust region approach for local investigation and by an efficient global optimizer for separable problems. Each modification and their combined effects are studied with appropriate metrics on a numerical benchmark, which is also used for comparing AsBeC with some effective ABC variants and other derivative-free algorithms. In addition, the presented algorithm is validated on two recent benchmarks adopted for competitions in international conferences. Results show remarkable competitiveness and robustness for AsBeC.Comment: 19 pages, 4 figures, Springer Swarm Intelligenc

The True Destination of EGO is Multi-local Optimization

Efficient global optimization is a popular algorithm for the optimization of expensive multimodal black-box functions. One important reason for its popularity is its theoretical foundation of global convergence. However, as the budgets in expensive optimization are very small, the asymptotic properties only play a minor role and the algorithm sometimes comes off badly in experimental comparisons. Many alternative variants have therefore been proposed over the years. In this work, we show experimentally that the algorithm instead has its strength in a setting where multiple optima are to be identified

Importance mixing: Improving sample reuse in evolutionary policy search methods

Deep neuroevolution, that is evolutionary policy search methods based on deep neural networks, have recently emerged as a competitor to deep reinforcement learning algorithms due to their better parallelization capabilities. However, these methods still suffer from a far worse sample efficiency. In this paper we investigate whether a mechanism known as "importance mixing" can significantly improve their sample efficiency. We provide a didactic presentation of importance mixing and we explain how it can be extended to reuse more samples. Then, from an empirical comparison based on a simple benchmark, we show that, though it actually provides better sample efficiency, it is still far from the sample efficiency of deep reinforcement learning, though it is more stable