CMA evolution strategy is missing in optimization
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Key: MATH-442
URL: https://issues.apache.org/jira/browse/MATH-442
Project: Commons Math
Issue Type: New Feature
Affects Versions: 3.0
Reporter: Dr. Dietmar Wolz
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.
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