On Spectral Invariance of Randomized Hessian and Covariance Matrix Adaptation Schemes
نویسندگان
چکیده
We consider Covariance Matrix Adaptation schemes (CMA-ES [3], Gaussian Adaptation (GaA) [4]) and Randomized Hessian (RH) schemes from Leventhal and Lewis [5]. We provide a new, numerically stable implementation for RH and, in addition, combine the update with an adaptive step size strategy. We design a class of quadratic functions with parametrizable spectra to study the influence of the spectra on the performance of variable metric schemes. We empirically study 5 variable metric schemes on this function class and on Rosenbrock’s function. Conclusion
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