This paper introduces a variant of the Covariance Matrix Adaptation Evolution Strategy (CMA-ES), denoted as gl-CMA-ES, that utilizes the Graphical Lasso regularization. Our goal is to efficiently solve partially separable optimization problems of a certain class by performing stochastic search with a search model parameterized by a sparse precision, i.e. inverse covariance matrix. We illustrate the effect of the global weight of the $$l:1$$ regularizer and investigate how Graphical Lasso with non equal weights can be combined with CMA-ES, allowing to learn the conditional dependency structure of problems with sparse Hessian matrices. For non-separable sparse problems, the proposed method with appropriately selected weights, outperforms CMA-ES and improves its scaling, while for dense problems it maintains the same performance.
CITATION STYLE
Varelas, K., Auger, A., & Hansen, N. (2020). Sparse inverse covariance learning for cma-es with graphical lasso. In Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics) (Vol. 12269 LNCS, pp. 707–718). Springer Science and Business Media Deutschland GmbH. https://doi.org/10.1007/978-3-030-58112-1_49
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