Evolution strategies with Ledoit-Wolf covariance matrix estimation.
Oliver KramerPublished in: CEC (2015)
Keyphrases
- evolution strategy
- cma es
- covariance matrix
- evolutionary algorithm
- estimation error
- differential evolution
- genetic algorithm
- global search
- particle swarm optimization algorithm
- sample size
- parameter estimation
- geometrical interpretation
- computational complexity
- correlation matrix
- positive definite
- mahalanobis distance
- principal component analysis
- covariance matrices
- candidate solutions
- optimization methods
- density estimation
- fitness function