A CMA-ES for Mixed-Integer Nonlinear Optimization

Nikolaus Hansen 1, 2, 3
1 TAO - Machine Learning and Optimisation
LRI - Laboratoire de Recherche en Informatique, UP11 - Université Paris-Sud - Paris 11, Inria Saclay - Ile de France, CNRS - Centre National de la Recherche Scientifique : UMR8623
Abstract : We propose a modification of CMA-ES for the application to mixed-integer problems. The modification is comparatively small. First, integer variables with too a small variation undergo an additional integer mutation. This mutation is also used for updating the distribution mean but disregarded in the update of covariance matrix and step-size. Second, integer variables with too a small variation are disregarded in the global step-size update alltogether. This prevents random fluctuations of the step-size.
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[Research Report] RR-7751, INRIA. 2011
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Nikolaus Hansen. A CMA-ES for Mixed-Integer Nonlinear Optimization. [Research Report] RR-7751, INRIA. 2011. 〈inria-00629689〉

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