Adaptive Ranking Based Constraint Handling for Explicitly Constrained Black-Box Optimization. (arXiv:1811.00764v3 [cs.NE] UPDATED)

Web: http://arxiv.org/abs/1811.00764

We propose a novel constraint-handling technique for the covariance matrix
adaptation evolution strategy (CMA-ES). The proposed technique is aimed at
solving explicitly constrained black-box continuous optimization problems, in
which the explicit constraint is a constraint whereby the computational time
for the constraint violation and its (numerical) gradient are negligible
compared to that for the objective function. This method is designed to realize
two invariance properties: invariance to the affine transformation of the
search space, and invariance to the increasing transformation …

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