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Conference Papers Year : 2020

BCMA-ES: A Bayesian approach to CMA-ES

Abstract

This paper introduces a novel theoretically sound approach for the celebrated CMA-ES algorithm. Assuming the parameters of the multi variate normal distribution for the minimum follow a conjugate prior distribution, we derive their optimal update at each iteration step. Not only provides this Bayesian framework a justification for the update of the CMA-ES algorithm but it also gives two new versions of CMA-ES either assuming normal-Wishart or normal-Inverse Wishart priors, depending whether we parametrize the likelihood by its covariance or precision matrix. We support our theoretical findings by numerical experiments that show fast convergence of these modified versions of CMA-ES.
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Dates and versions

hal-02886512 , version 1 (01-07-2020)

Identifiers

  • HAL Id : hal-02886512 , version 1

Cite

Eric Benhamou, David Saltiel, Sébastien Verel, Fabien Teytaud. BCMA-ES: A Bayesian approach to CMA-ES. GECCO 2020 - The Genetic and Evolutionary Computation Conference, Jul 2020, ONLINE, Mexico. ⟨hal-02886512⟩
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