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From "Dr. Dietmar Wolz (JIRA)" <j...@apache.org>
Subject [jira] Updated: (MATH-442) CMA evolution strategy is missing in optimization
Date Fri, 04 Feb 2011 15:00:29 GMT

     [ https://issues.apache.org/jira/browse/MATH-442?page=com.atlassian.jira.plugin.system.issuetabpanels:all-tabpanel
]

Dr. Dietmar Wolz updated MATH-442:
----------------------------------

    Attachment: cmaes.math.patch

Finally I got the ok from Nikolaus Hansen, the author of the original algo. I used the submitted
version extensively for trajectory optimization tasks. Nikolaus promised to send the ICLA
license in the next days. I will be available for bug fixes.  

> CMA evolution strategy is missing in optimization
> -------------------------------------------------
>
>                 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
>             Fix For: 3.0
>
>         Attachments: cmaes.math.patch
>
>   Original Estimate: 48h
>  Remaining Estimate: 48h
>
> 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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