Objective Improvement in Information-Geometric Optimization

Information-Geometric Optimization (IGO) is a unified framework of stochastic algorithms for optimization problems. Given a family of probability distributions, IGO turns the original optimization problem into a new maximization problem on the parameter space of the probability distributions. IGO updates the parameter of the probability distribution along the natural gradient, taken with respect to the Fisher metric on the parameter manifold, aiming at maximizing an adaptive transform of the objective function. IGO recovers several known algorithms as particular instances: for the family of Bernoulli distributions IGO recovers PBIL, for the family of Gaussian distributions the pure rank-mu CMA-ES update is recovered, and for exponential families in expectation parametrization the cross-entropy/ML method is recovered. This article provides a theoretical justification for the IGO framework, by proving that any step size not greater than 1 guarantees monotone improvement over the course of optimization, in terms of q-quantile values of the objective function f. The range of admissible step sizes is independent of f and its domain. We extend the result to cover the case of different step sizes for blocks of the parameters in the IGO algorithm. Moreover, we prove that expected fitness improves over time when fitness-proportional selection is applied, in which case the RPP algorithm is recovered

Probability Metrics for Tropical Spaces of Different Dimensions

The problem of comparing probability distributions is at the heart of many tasks in statistics and machine learning and the most classical comparison methods assume that the distributions occur in spaces of the same dimension. Recently, a new geometric solution has been proposed to address this problem when the measures live in Euclidean spaces of differing dimensions. Here, we study the same problem of comparing probability distributions of different dimensions in the tropical geometric setting, which is becoming increasingly relevant in computations and applications involving complex, geometric data structures. Specifically, we construct a Wasserstein distance between measures on different tropical projective tori - the focal metric spaces in both theory and applications of tropical geometry - via tropical mappings between probability measures. We prove equivalence of the directionality of the maps, whether starting from the lower dimensional space and mapping to the higher dimensional space or vice versa. As an important practical implication, our work provides a framework for comparing probability distributions on the spaces of phylogenetic trees with different leaf sets.Comment: 15 page