Abstract:
Most of the real-world black-box optimization problems are associated with multiple non-linear as well as non-convex constraints, making them difficult to solve. In this work, we introduce a variant of the Covariance Matrix Adaptation Evolution Strategy (CMA-ES) with linear timing complexity to adopt the constraints of Constrained Optimization Problems (COPs). CMA-ES is already well-known as a powerful algorithm for solving continuous, non-convex, and black-box optimization problems by fitting a second-order model to the underlying objective function (similar in spirit, to the Hessian approximation used by Quasi-Newton methods in mathematical programming). The proposed algorithm utilizes an e-constraint-based ranking and a repair method to handle the violation of the constraints. The experimental results on a group of real-world optimization problems show that the performance of the proposed algorithm is better than several other state-of-the-art algorithms in terms of constraint handling and robustness. © 2020 Owner/Author.
