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  1. Commons Math
  2. MATH-442

CMA evolution strategy is missing in optimization

    Details

    • Type: New Feature
    • Status: Closed
    • Priority: Major
    • Resolution: Fixed
    • Affects Version/s: 3.0
    • Fix Version/s: 3.0
    • Labels:
      None

      Description

      Recently I implemented the optimization algorithm CMA-ES based on org.apache.commons.math.linear and used it for the GTOC5 global trajectory optimization contest http://gtoc5.math.msu.su/. It implements the MultivariateRealOptimizer interface and would nicely fit into the org.apache.commons.math.optimization package. The original author of CMA-ES (Nikolaus Hansen) volunteered to support me (proof-reading + testing) in the creation of a CMA-ES contribution for commons.math.
      The CMA evolution strategy http://www.lri.fr/~hansen/cmaesintro.html is a very powerful algorithm for difficult non-linear non-convex optimization problems in continuous domain. See http://www.lri.fr/~hansen/cec2005.html for a comparison chart. If there is interest I will create a patch including the proposed Implementation for evaluation. It seems we would need an additional sub-package - org.apache.commons.math.optimization.evolutionary.

        Attachments

        1. cmaes.math.patch
          78 kB
          Dr. Dietmar Wolz

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            • Assignee:
              Unassigned
              Reporter:
              docdwo Dr. Dietmar Wolz
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