A computational efficient covariance matrix update and a (1+1)-CMA for evolution strategies.
Christian IgelThorsten SuttorpNikolaus HansenPublished in: GECCO (2006)
Keyphrases
- evolution strategy
- cma es
- covariance matrix
- evolutionary algorithm
- covariance matrices
- differential evolution
- numerical optimization
- genetic algorithm
- mahalanobis distance
- principal component analysis
- multivariate gaussian
- np hard
- sample size
- computationally expensive
- correlation matrix
- gaussian mixture
- symmetric matrix
- pseudo inverse
- eigendecomposition
- step size
- optimal solution
- objective function