Completely Derandomized Self-Adaptation in Evolution Strategies Nikolaus Hansen
[email protected] Technische Universitat¨ Berlin, Fachgebiet fur¨ Bionik, Sekr. ACK 1, Ackerstr. 71–76, 13355 Berlin, Germany Andreas Ostermeier
[email protected] Technische Universitat¨ Berlin, Fachgebiet fur¨ Bionik, Sekr. ACK 1, Ackerstr. 71–76, 13355 Berlin, Germany Abstract This paper puts forward two useful methods for self-adaptation of the mutation dis- tribution – the concepts of derandomization and cumulation. Principle shortcomings of the concept of mutative strategy parameter control and two levels of derandomization are reviewed. Basic demands on the self-adaptation of arbitrary (normal) mutation dis- tributions are developed. Applying arbitrary, normal mutation distributions is equiv- alent to applying a general, linear problem encoding. The underlying objective of mutative strategy parameter control is roughly to favor previously selected mutation steps in the future. If this objective is pursued rigor- ously, a completely derandomized self-adaptation scheme results, which adapts arbi- trary normal mutation distributions. This scheme, called covariance matrix adaptation (CMA), meets the previously stated demands. It can still be considerably improved by cumulation – utilizing an evolution path rather than single search steps. Simulations on various test functions reveal local and global search properties of the evolution strategy with and without covariance matrix adaptation. Their per- formances are comparable only on perfectly scaled functions. On badly scaled, non- separable functions usually a speed up factor of several orders of magnitude is ob- served. On moderately mis-scaled functions a speed up factor of three to ten can be expected. Keywords Evolution strategy, self-adaptation, strategy parameter control, step size control, de- randomization, derandomized self-adaptation, covariance matrix adaptation, evolu- tion path, cumulation, cumulative path length control.