Mirror Natural Evolution Strategies
Haishan Ye, Tong Zhang

TL;DR
This paper introduces MiNES, a new evolution strategy that provides rigorous convergence analysis, showing covariance matrix convergence to the inverse Hessian, and demonstrates empirical competitiveness with classical algorithms.
Contribution
We propose MiNES, a novel evolution strategy with proven convergence properties and connections to derivative-free optimization, advancing theoretical understanding and practical performance.
Findings
Covariance matrix of MiNES converges to inverse Hessian.
MiNES is query-efficient and competitive with NES and CMA-ES.
Some derivative-free algorithms are special cases of MiNES.
Abstract
Evolution Strategies such as CMA-ES (covariance matrix adaptation evolution strategy) and NES (natural evolution strategy) have been widely used in machine learning applications, where an objective function is optimized without using its derivatives. However, the convergence behaviors of these algorithms have not been carefully studied. In particular, there is no rigorous analysis for the convergence of the estimated covariance matrix, and it is unclear how does the estimated covariance matrix help the converge of the algorithm. The relationship between Evolution Strategies and derivative free optimization algorithms is also not clear. In this paper, we propose a new algorithm closely related toNES, which we call MiNES (mirror descent natural evolution strategy), for which we can establish rigorous convergence results. We show that the estimated covariance matrix of MiNES converges to…
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Taxonomy
TopicsMetaheuristic Optimization Algorithms Research · Neural Networks and Applications · Matrix Theory and Algorithms
