[MATH-442] CMA evolution strategy is missing in optimization

• Type: New Feature
• Status: Closed
• Priority: Major
• Resolution: Fixed
• Affects Version/s: 3.0
• Fix Version/s: 3.0
• Assignee: Unassigned
• Reporter: Dr. Dietmar Wolz
• Created: 16/Nov/10 16:47
• Updated: 24/Mar/12 16:16
• Resolved: 17/Feb/11 13:11

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.