Covariance matrix adaptation for multi-objective optimization

The covariance matrix adaptation evolution strategy (CMA-ES) is one of the most powerful evolutionary algorithms for real-valued single-objective optimization. In this paper, we develop a variant of the CMA-ES for multi-objective optimization (MOO). We first introduce a single-objective, elitist CMA...

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Veröffentlicht in:Evolutionary computation Jg. 15; H. 1; S. 1
Hauptverfasser: Igel, Christian, Hansen, Nikolaus, Roth, Stefan
Format: Journal Article
Sprache:Englisch
Veröffentlicht: United States 01.03.2007
Schlagworte:
Algorithms
Analysis of Variance
Biological Evolution
Computer Simulation
Models, Genetic
ISSN:1063-6560
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Zusammenfassung:The covariance matrix adaptation evolution strategy (CMA-ES) is one of the most powerful evolutionary algorithms for real-valued single-objective optimization. In this paper, we develop a variant of the CMA-ES for multi-objective optimization (MOO). We first introduce a single-objective, elitist CMA-ES using plus-selection and step size control based on a success rule. This algorithm is compared to the standard CMA-ES. The elitist CMA-ES turns out to be slightly faster on unimodal functions, but is more prone to getting stuck in sub-optimal local minima. In the new multi-objective CMAES (MO-CMA-ES) a population of individuals that adapt their search strategy as in the elitist CMA-ES is maintained. These are subject to multi-objective selection. The selection is based on non-dominated sorting using either the crowding-distance or the contributing hypervolume as second sorting criterion. Both the elitist single-objective CMA-ES and the MO-CMA-ES inherit important invariance properties, in particular invariance against rotation of the search space, from the original CMA-ES. The benefits of the new MO-CMA-ES in comparison to the well-known NSGA-II and to NSDE, a multi-objective differential evolution algorithm, are experimentally shown.
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ISSN:1063-6560
DOI:10.1162/evco.2007.15.1.1