Convergence results for the (1, λ)-SA-ES using the theory of ϕ-irreducible Markov chains

  • Authors:
  • Anne Auger

  • Affiliations:
  • Computational Laboratory (CoLab), Swiss Federal Institute of Technology ETH, Hirshengraben 84, 8092 Zürich, Switzerland and Equipe TAO, INRIA Futurs, LRI - Bâtiment 490, Université ...

  • Venue:
  • Theoretical Computer Science
  • Year:
  • 2005

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Abstract

This paper investigates theoretically the (1, λ)-SA-ES on the well known sphere function. We prove sufficient conditions on the parameters of the algorithm ensuring the convergence of 1/n ln(||Xn||), where Xn is the parent at generation n. This in turn guarantees the asymptotic log-linear convergence or divergence of the algorithm. The technique used for this analysis calls upon the theory of Markov chains on a continuous state space and on the so-called Foster-Lyapunov drift conditions. Those conditions enable us to derive practical conditions that prove stability properties of Markov chains.