Benchmarking a weighted negative covariance matrix update on the BBOB-2010 noisy testbed

  • Authors:
  • Nikolaus Hansen;Raymond Ros

  • Affiliations:
  • INRIA, ORSAY, France;INRIA, ORSAY, France

  • Venue:
  • Proceedings of the 12th annual conference companion on Genetic and evolutionary computation
  • Year:
  • 2010

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Abstract

In a companion paper, we presented a weighted negative update of the covariance matrix in the CMA-ES--weighted active CMA-ES or, in short, aCMA-ES. In this paper, we benchmark the IPOP-aCMA-ES on the BBOB-2010 noisy testbed in search space dimensions between 2 and 40 and compare its performance with the IPOP-CMA-ES. The aCMA suffers from a moderate performance loss, of less than a factor of two, on the sphere function with two different noise models. On the other hand, the aCMA enjoys a (significant) performance gain, up to a factor of four, on 13 unimodal functions in various dimensions, in particular the larger ones. Compared to the best performance observed during BBOB-2009, the IPOP-aCMA-ES sets a new record on overall ten functions. The global picture is in favor of aCMA which might establish a new standard also for noisy problems.