Diagonal Hessian Approximation Based on Conjugacy Condition for Noisy Derivative-Free Optimization Problems in High Dimensions

Abstract

We consider large-scale noisy derivative-free optimization (DFO) problems in which only function values are available and gradient or subgradient information cannot be reliably estimated. Matrix-adaptation evolution strategies (MAES) and their limited-memory variants are among the most robust DFO methods under noise; however, their performance may deteriorate when the noise level is large. In such regimes, sorting and selection may misidentify informative sampled points, making the recombination step less reliable and weakening the scaling information used by affine or matrix-adaptation mechanisms. This can substantially reduce the efficiency of MAES-type methods, especially in high-dimensional settings. To address this limitation, we propose a DFO method that replaces the full affine-scaling matrix with a diagonal approximation constructed from conjugacy-type conditions. The proposed mechanism does not attempt to estimate gradients, subgradients, or interpolation models, nor does it learn dense covariance information from noisy rankings. Instead, it uses consecutive normalized recombination displacements in a conservative diagonal update, thereby limiting the influence of unreliable selection information while preserving the derivative-free structure of the underlying evolutionary framework. As a result, the method is computationally cheaper than full matrix-adaptation schemes and limited-memory affine-scaling variants, while providing a stable scaling mechanism in noisy environments. Numerical experiments on noisy benchmark problems show that the proposed method is competitive with, and often more efficient than, MAES-type baselines, particularly when the noise level is large and ranking-based selection becomes unreliable.