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Natural Evolution Strategies

MPG-Autoren
http://pubman.mpdl.mpg.de/cone/persons/resource/persons84135

Schaul T, Peters,  J
Department Empirical Inference, Max Planck Institute for Biological Cybernetics, Max Planck Society;
Dept. Empirical Inference, Max Planck Institute for Intelligent Systems, Max Planck Society;

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Zitation

Wierstra, D., Schaul T, Peters, J., & Schmidhuber, J. (2008). Natural Evolution Strategies. Proceedings of the IEEE Congress on Evolutionary Computation (CEC 2008), 3381-3387.


Zitierlink: http://hdl.handle.net/11858/00-001M-0000-0013-C901-8
Zusammenfassung
This paper presents natural evolution strategies (NES), a novel algorithm for performing real-valued dasiablack boxpsila function optimization: optimizing an unknown objective function where algorithm-selected function measurements constitute the only information accessible to the method. Natural evolution strategies search the fitness landscape using a multivariate normal distribution with a self-adapting mutation matrix to generate correlated mutations in promising regions. NES shares this property with covariance matrix adaption (CMA), an evolution strategy (ES) which has been shown to perform well on a variety of high-precision optimization tasks. The natural evolution strategies algorithm, however, is simpler, less ad-hoc and more principled. Self-adaptation of the mutation matrix is derived using a Monte Carlo estimate of the natural gradient towards better expected fitness. By following the natural gradient instead of the dasiavanillapsila gradient, we can ensure efficient update steps while preventing early convergence due to overly greedy updates, resulting in reduced sensitivity to local suboptima. We show NES has competitive performance with CMA on unimodal tasks, while outperforming it on several multimodal tasks that are rich in deceptive local optima.