Fitness Expectation Maximization

  • Authors:
  • Daan Wierstra;Tom Schaul;Jan Peters;Jürgen Schmidhuber

  • Affiliations:
  • IDSIA, Manno-Lugano, Switzerland 6298;IDSIA, Manno-Lugano, Switzerland 6298;Max Planck Institute for Biological Cybernetics, Tübingen, Germany;IDSIA, Manno-Lugano, Switzerland 6298 and TU Munich, Garching, München, Germany 85748

  • Venue:
  • Proceedings of the 10th international conference on Parallel Problem Solving from Nature: PPSN X
  • Year:
  • 2008

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Abstract

We present Fitness Expectation Maximization (FEM), a novel method for performing `black box' function optimization. FEM searches the fitness landscape of an objective function using an instantiation of the well-known Expectation Maximization algorithm, producing search points to match the sample distribution weighted according to higher expected fitness. FEM updates both candidate solution parameters and the search policy, which is represented as a multinormal distribution. Inheriting EM's stability and strong guarantees, the method is both elegant and competitive with some of the best heuristic search methods in the field, and performs well on a number of unimodal and multimodal benchmark tasks. To illustrate the potential practical applications of the approach, we also show experiments on finding the parameters for a controller of the challenging non-Markovian double pole balancing task.