Adapting the Covariance Matrix in Evolution Strategies

Silja Meyer-Nieberg; Erik Kropat

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Paper

Adapting the Covariance Matrix in Evolution Strategies

Topics: Optimization

In Proceedings of the 3rd International Conference on Operations Research and Enterprise Systems ICORES - Volume 1, 89-99, 2014 , ESEO, Angers, Loire Valley, France

Authors: Silja Meyer-Nieberg and Erik Kropat

Affiliation: Universität der Bundeswehr München, Germany

Keyword(s): Evolutionary Algorithms, Continuous Optimization, Evolution Strategies, Covariance, Shrinkage.

Related Ontology Subjects/Areas/Topics: Artificial Intelligence ; Knowledge Discovery and Information Retrieval ; Knowledge-Based Systems ; Methodologies and Technologies ; Operational Research ; Optimization ; Symbolic Systems

Abstract: Evolution strategies belong to the best performing modern natural computing methods for continuous optimization. This paper addresses the covariance matrix adaptation which is central to the algorithm. Nearly all approaches so far consider the sample covariance as one of the main factors for the adaptation. However, as known from modern statistics, this estimate may be of poor quality in many cases. Unfortunately, these cases are encountered often in practical applications. This paper explores the use of different previously unexplored estimates.

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Paper citation in several formats:

Meyer-Nieberg, S. and Kropat, E. (2014). Adapting the Covariance Matrix in Evolution Strategies. In Proceedings of the 3rd International Conference on Operations Research and Enterprise Systems - ICORES; ISBN 978-989-758-017-8; ISSN 2184-4372, SciTePress, pages 89-99. DOI: 10.5220/0004832300890099

@conference{icores14,
author={Silja Meyer{-}Nieberg. and Erik Kropat.},
title={Adapting the Covariance Matrix in Evolution Strategies},
booktitle={Proceedings of the 3rd International Conference on Operations Research and Enterprise Systems - ICORES},
year={2014},
pages={89-99},
publisher={SciTePress},
organization={INSTICC},
doi={10.5220/0004832300890099},
isbn={978-989-758-017-8},
issn={2184-4372},
}

TY - CONF

JO - Proceedings of the 3rd International Conference on Operations Research and Enterprise Systems - ICORES
TI - Adapting the Covariance Matrix in Evolution Strategies
SN - 978-989-758-017-8
IS - 2184-4372
AU - Meyer-Nieberg, S.
AU - Kropat, E.
PY - 2014
SP - 89
EP - 99
DO - 10.5220/0004832300890099
PB - SciTePress