Noisy Optimization: Convergence with a Fixed Number of Resamplings

Marie-Liesse Cauwet (1)

1 TAO - Machine Learning and Optimisation

It is known that evolution strategies in continuous domains might not converge in the presence of noise. It is also known that, under mild assumptions, and using an increasing number of resamplings, one can mitigate the effect of additive noise and recover convergence. We show new sufficient conditions for the convergence of an evolutionary algorithm with constant number of resamplings; in particular, we get fast rates (log-linear convergence) provided that the variance decreases around the optimum slightly faster than in the so-called multiplicative noise model.

Mots clés: Noisy optimization; evolutionary algorithm; theory.; theory

Domaines: Optimisation et contrôle [math.OC]

Marie-Liesse Cauwet. Noisy Optimization: Convergence with a Fixed Number of Resamplings. EvoStar, Apr 2014, Granada, Spain. ⟨hal-00976063⟩