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Authors: Silja Meyer-Nieberg and Erik Kropat

Affiliation: Universität der Bundeswehr München, Germany

Keyword(s): Evolution Strategies, Covariance Matrix, Adaptation, Shrinkage Estimators.

Related Ontology Subjects/Areas/Topics: Artificial Intelligence ; Artificial Intelligence and Decision Support Systems ; Computational Intelligence ; Enterprise Information Systems ; Evolutionary Computing ; Informatics in Control, Automation and Robotics ; Intelligent Control Systems and Optimization ; Soft Computing

Abstract: This paper discusses the covariance matrix adaptation in evolution strategies, a central and essential mechanism for the search process. Basing the estimation of the covariance matrix on small samples w.r.t. the search space dimension is known to be problematic. However, this situation is common in optimization raising the question, whether the performance of the evolutionary algorithms could be improved. In statistics, several approaches have been developed recently to improve the quality of the maximum-likelihood estimate. However, they are seldom applied in evolutionary computation. Here, we focus on linear shrinkage which requires relatively little additional effort. Several approaches and shrinkage targets are integrated into evolution strategies and analyzed in a series of experiments.

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Paper citation in several formats:
Meyer-Nieberg, S. and Kropat, E. (2016). Evolution Strategies and Covariance Matrix Adaptation - Investigating New Shrinkage Techniques. In Proceedings of the 8th International Conference on Agents and Artificial Intelligence - Volume 2: ICAART; ISBN 978-989-758-172-4; ISSN 2184-433X, SciTePress, pages 105-116. DOI: 10.5220/0005703201050116

@conference{icaart16,
author={Silja Meyer{-}Nieberg. and Erik Kropat.},
title={Evolution Strategies and Covariance Matrix Adaptation - Investigating New Shrinkage Techniques},
booktitle={Proceedings of the 8th International Conference on Agents and Artificial Intelligence - Volume 2: ICAART},
year={2016},
pages={105-116},
publisher={SciTePress},
organization={INSTICC},
doi={10.5220/0005703201050116},
isbn={978-989-758-172-4},
issn={2184-433X},
}

TY - CONF

JO - Proceedings of the 8th International Conference on Agents and Artificial Intelligence - Volume 2: ICAART
TI - Evolution Strategies and Covariance Matrix Adaptation - Investigating New Shrinkage Techniques
SN - 978-989-758-172-4
IS - 2184-433X
AU - Meyer-Nieberg, S.
AU - Kropat, E.
PY - 2016
SP - 105
EP - 116
DO - 10.5220/0005703201050116
PB - SciTePress