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CMA-ES Implementation in HeuristicLab

We are working on providing an implementation of CMA-ES in HeuristicLab for real-valued optimization. The developments are tracked in ticket #1961 and the implementation is based on Hansen's Java implementation. Porting that code to C# is now almost complete and the integration into HeuristicLab looks very nice. Although most of the original code parts could be preserved the integration required to break some parts apart and reassemble them in a different way. I was very pleased to see Hansen providing "trusted output" image samples for ​implementers to check if their version performed similar. Here is a comparison of HeuristicLab's implementation (left) with the trusted output images (right).

Sphere

CMA-ES performance on 10-D Sphere test function https://www.lri.fr/~hansen/fsphere10D.png

Rosenbrock

CMA-ES performance on 10-D Rosenbrock test function https://www.lri.fr/~hansen/frosen10D.png

Rastrigin

CMA-ES performance on 10-D Rastrigin test function https://www.lri.fr/~hansen/frast10D.png

The plugin is still not part of the trunk, but available in a branch which can be compiled by anyone. I attach a current binary version of the plugin to this post if you want to try it (add it to the latest daily build, unblock the dll after you download it). CMA-ES currently can be used to solve any problem that is based on the Encodings.RealVector plugin and uses an IRealVectorCreator as solution creator. Of course the implementation may still change and may break files.

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