A Simple Yet Efficient Rank One Update for Covariance Matrix Adaptation

Zhenhua Li; Qingfu Zhang

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arXiv · 1710.03996

A Simple Yet Efficient Rank One Update for Covariance Matrix Adaptation

Zhenhua Li·Qingfu Zhang

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Abstract

In this paper, we propose an efficient approximated rank one update for covariance matrix adaptation evolution strategy (CMA-ES). It makes use of two evolution paths as simple as that of CMA-ES, while avoiding the computational matrix decomposition. We analyze the algorithms' properties and behaviors. We experimentally study the proposed algorithm's performances. It generally outperforms or performs competitively to the Cholesky CMA-ES.

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BibTeX RIS

Zhenhua Li, Qingfu Zhang. 2017-10-11. A Simple Yet Efficient Rank One Update for Covariance Matrix Adaptation. https://arxiv.org/abs/1710.03996

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