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A Simple Yet Efficient Rank One Update for Covariance Matrix Adaptation (1710.03996v3)
Published 11 Oct 2017 in cs.NE
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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