Dimension-independent convergence rate for non-isotropic (1, λ) - ES

  • Authors:
  • Anne Auger;Claude Le Bris;Marc Schoenauer

  • Affiliations:
  • CERMICS - ENPC, Marne-La-Vallée, France and INRIA Rocquencourt, Le Chesnay Cedex, France;CERMICS - ENPC, Marne-La-Vallée, France and INRIA Rocquencourt, Le Chesnay Cedex, France;INRIA Rocquencourt, Le Chesnay Cedex, France

  • Venue:
  • GECCO'03 Proceedings of the 2003 international conference on Genetic and evolutionary computation: PartI
  • Year:
  • 2003

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Abstract

Based on the theory of non-negative super martingales, convergence results are proven for adaptive (1, λ) - ES (i.e. with Gaussian mutations), and geometrical convergence rates are derived. In the d-dimensional case (d 1), the algorithm studied here uses a different step-size update in each direction. However, the critical value for the step-size, and the resulting convergence rate do not depend on the dimension. Those results are discussed with respect to previous works. Rigorous numerical investigations on some 1-dimensional functions validate the theoretical results. Trends for future research are indicated.