CMAEvolutionStrategy.jl

CMAEvolutionStrategy is a Julia package implementing the Covariance Matrix Adaptation Evolution Strategy algorithm.

The CMAEvolutionStrategy algorithm is called by CMAEvolutionStrategyOpt()

Installation: OptimizationCMAEvolutionStrategy.jl

To use this package, install the OptimizationCMAEvolutionStrategy package:

import Pkg;
Pkg.add("OptimizationCMAEvolutionStrategy");

Global Optimizer

Without Constraint Equations

The method in CMAEvolutionStrategy is performing global optimization on problems without constraint equations. However, lower and upper constraints set by lb and ub in the OptimizationProblem are required.

CMAEvolutionStrategyOpt()

Example

The Rosenbrock function can be optimized using the CMAEvolutionStrategyOpt() as follows:

using OptimizationBase, OptimizationCMAEvolutionStrategy
rosenbrock(x, p) = (p[1] - x[1])^2 + p[2] * (x[2] - x[1]^2)^2
x0 = zeros(2)
p = [1.0, 100.0]
f = OptimizationFunction(rosenbrock)
prob = OptimizationProblem(f, x0, p, lb = [-1.0, -1.0], ub = [1.0, 1.0])
sol = solve(prob, CMAEvolutionStrategyOpt())

retcode: Success
u: 2-element Vector{Float64}:
 0.999999964517229
 0.9999999218738608