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From "Dr. Dietmar Wolz (JIRA)" <j...@apache.org>
Subject [jira] Created: (MATH-442) CMA evolution strategy is missing in optimization
Date Tue, 16 Nov 2010 16:48:15 GMT
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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