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1 TAO - Machine Learning and Optimisation LRI - Laboratoire de Recherche en Informatique, UP11 - Université Paris-Sud - Paris 11, Inria Saclay - Ile de France, CNRS - Centre National de la Recherche Scientifique : UMR8623 2 LRI - Laboratoire de Recherche en Informatique

Abstract : Independence from the coordinate system is one source of efficiency and robustness for the Covariance Matrix Adaptation Evolution Strategy CMA-ES. The recently proposed Adaptive Encoding AE procedure generalizes CMA-ES adaptive mechanism, and can be used together with any optimization algorithm. Adaptive Encoding gradually builds a transformation of the coordinate system such that the new coordinates are as decorrelated as possible with respect to the objective function. But any optimization algorithm can then be used together with Adaptive Encoding, and this paper proposes to use one of the simplest of all, that uses a dichotomy procedure on each coordinate in turn. The resulting algorithm, termed Adaptive Coordinate Descent ACiD, is analyzed on the Sphere function, and experimentally validated on BBOB testbench where it is shown to outperform the standard 1 + 1-CMA-ES, and is found comparable to other state-of-the-art CMA-ES variants.

keyword : Continuous Optimization Adaptive Encoding Line Search Adaptive Coordinate Descent Covariance Matrix Adaptation CMA-ES Evolution Strategy

Author: Ilya Loshchilov - Marc Schoenauer - Michèle Sebag -



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