Maximum Likelihood-based Online Adaptation of Hyper-parameters in CMA-ES

The Covariance Matrix Adaptation Evolution Strategy (CMA-ES) is widely accepted as a robust derivative-free continuous optimization algorithm for non-linear and non-convex optimization problems. CMA-ES is well known to be almost parameterless, meaning that only one hyper-parameter, the population size, is proposed to be tuned by the user. In this paper, we propose a principled approach called self-CMA-ES to achieve the online adaptation of CMA-ES hyper-parameters in order to improve its overall performance. Experimental results show that for larger-than-default population size, the default settings of hyper-parameters of CMA-ES are far from being optimal, and that self-CMA-ES allows for dynamically approaching optimal settings.Comment: 13th International Conference on Parallel Problem Solving from Nature (PPSN 2014) (2014

Using Parameterized Black-Box Priors to Scale Up Model-Based Policy Search for Robotics

The most data-efficient algorithms for reinforcement learning in robotics are model-based policy search algorithms, which alternate between learning a dynamical model of the robot and optimizing a policy to maximize the expected return given the model and its uncertainties. Among the few proposed approaches, the recently introduced Black-DROPS algorithm exploits a black-box optimization algorithm to achieve both high data-efficiency and good computation times when several cores are used; nevertheless, like all model-based policy search approaches, Black-DROPS does not scale to high dimensional state/action spaces. In this paper, we introduce a new model learning procedure in Black-DROPS that leverages parameterized black-box priors to (1) scale up to high-dimensional systems, and (2) be robust to large inaccuracies of the prior information. We demonstrate the effectiveness of our approach with the "pendubot" swing-up task in simulation and with a physical hexapod robot (48D state space, 18D action space) that has to walk forward as fast as possible. The results show that our new algorithm is more data-efficient than previous model-based policy search algorithms (with and without priors) and that it can allow a physical 6-legged robot to learn new gaits in only 16 to 30 seconds of interaction time.Comment: Accepted at ICRA 2018; 8 pages, 4 figures, 2 algorithms, 1 table; Video at https://youtu.be/HFkZkhGGzTo ; Spotlight ICRA presentation at https://youtu.be/_MZYDhfWeL

A view of Estimation of Distribution Algorithms through the lens of Expectation-Maximization

We show that a large class of Estimation of Distribution Algorithms, including, but not limited to, Covariance Matrix Adaption, can be written as a Monte Carlo Expectation-Maximization algorithm, and as exact EM in the limit of infinite samples. Because EM sits on a rigorous statistical foundation and has been thoroughly analyzed, this connection provides a new coherent framework with which to reason about EDAs

Path Signatures for Diversity in Probabilistic Trajectory Optimisation

Motion planning can be cast as a trajectory optimisation problem where a cost is minimised as a function of the trajectory being generated. In complex environments with several obstacles and complicated geometry, this optimisation problem is usually difficult to solve and prone to local minima. However, recent advancements in computing hardware allow for parallel trajectory optimisation where multiple solutions are obtained simultaneously, each initialised from a different starting point. Unfortunately, without a strategy preventing two solutions to collapse on each other, naive parallel optimisation can suffer from mode collapse diminishing the efficiency of the approach and the likelihood of finding a global solution. In this paper we leverage on recent advances in the theory of rough paths to devise an algorithm for parallel trajectory optimisation that promotes diversity over the range of solutions, therefore avoiding mode collapses and achieving better global properties. Our approach builds on path signatures and Hilbert space representations of trajectories, and connects parallel variational inference for trajectory estimation with diversity promoting kernels. We empirically demonstrate that this strategy achieves lower average costs than competing alternatives on a range of problems, from 2D navigation to robotic manipulators operating in cluttered environments

CMA-ES with Learning Rate Adaptation: Can CMA-ES with Default Population Size Solve Multimodal and Noisy Problems?

The covariance matrix adaptation evolution strategy (CMA-ES) is one of the most successful methods for solving black-box continuous optimization problems. One practically useful aspect of the CMA-ES is that it can be used without hyperparameter tuning. However, the hyperparameter settings still have a considerable impact, especially for difficult tasks such as solving multimodal or noisy problems. In this study, we investigate whether the CMA-ES with default population size can solve multimodal and noisy problems. To perform this investigation, we develop a novel learning rate adaptation mechanism for the CMA-ES, such that the learning rate is adapted so as to maintain a constant signal-to-noise ratio. We investigate the behavior of the CMA-ES with the proposed learning rate adaptation mechanism through numerical experiments, and compare the results with those obtained for the CMA-ES with a fixed learning rate. The results demonstrate that, when the proposed learning rate adaptation is used, the CMA-ES with default population size works well on multimodal and/or noisy problems, without the need for extremely expensive learning rate tuning.Comment: Nominated for the best paper of GECCO'23 ENUM Track. We have corrected the error of Eq.(7

Information-geometric optimization with natural selection

Evolutionary algorithms, inspired by natural evolution, aim to optimize difficult objective functions without computing derivatives. Here we detail the relationship between population genetics and evolutionary optimization and formulate a new evolutionary algorithm. Optimization of a continuous objective function is analogous to searching for high fitness phenotypes on a fitness landscape. We summarize how natural selection moves a population along the non-euclidean gradient that is induced by the population on the fitness landscape (the natural gradient). Under normal approximations common in quantitative genetics, we show how selection is related to Newton's method in optimization. We find that intermediate selection is most informative of the fitness landscape. We describe the generation of new phenotypes and introduce an operator that recombines the whole population to generate variants that preserve normal statistics. Finally, we introduce a proof-of-principle algorithm that combines natural selection, our recombination operator, and an adaptive method to increase selection. Our algorithm is similar to covariance matrix adaptation and natural evolutionary strategies in optimization, and has similar performance. The algorithm is extremely simple in implementation with no matrix inversion or factorization, does not require storing a covariance matrix, and may form the basis of more general model-based optimization algorithms with natural gradient updates.Comment: changed titl