Block diagonal natural evolution strategies

  • Authors:
  • Giuseppe Cuccu;Faustino Gomez

  • Affiliations:
  • IDSIA, USI-SUPSI, Manno-Lugano, Switzerland;IDSIA, USI-SUPSI, Manno-Lugano, Switzerland

  • Venue:
  • PPSN'12 Proceedings of the 12th international conference on Parallel Problem Solving from Nature - Volume Part II
  • Year:
  • 2012

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Abstract

The Natural Evolution Strategies (NES) family of search algorithms have been shown to be efficient black-box optimizers, but the most powerful version xNES does not scale to problems with more than a few hundred dimensions. And the scalable variant, SNES, potentially ignores important correlations between parameters. This paper introduces Block Diagonal NES (BD-NES), a variant of NES which uses a block diagonal covariance matrix. The resulting update equations are computationally effective on problems with much higher dimensionality than their full-covariance counterparts, while retaining faster convergence speed than methods that ignore covariance information altogether. The algorithm has been tested on the Octopus-arm benchmark, and the experiments section presents performance statistics showing that BD-NES achieves better performance than SNES on networks that are too large to be optimized by xNES.