Show simple item record

BCMA-ES II: revisiting Bayesian CMA-ES

hal.structure.identifierLaboratoire d'analyse et modélisation de systèmes pour l'aide à la décision [LAMSADE]
dc.contributor.authorBenhamou, Éric
dc.contributor.authorSaltiel, David
dc.contributor.authorGuez, Beatrice
hal.structure.identifierCentre de Recherche en Informatique de Lens [CRIL]
dc.contributor.authorParis, Nicolas
HAL ID: 8249
ORCID: 0000-0002-7155-9261
dc.date.accessioned2020-11-12T11:12:35Z
dc.date.available2020-11-12T11:12:35Z
dc.date.issued2020
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/21207
dc.language.isoenen
dc.subjectCMA ESen
dc.subjectBayesianen
dc.subjectconjugate prioren
dc.subjectnormal Wisharten
dc.subjectnormal inverse Wisharten
dc.subjectmixture modelsen
dc.subject.ddc519en
dc.titleBCMA-ES II: revisiting Bayesian CMA-ESen
dc.typeDocument de travail / Working paper
dc.description.abstractenThis paper revisits the Bayesian CMA-ES and provides updates for normal Wishart. It emphasizes the difference between a normal and normal inverse Wishart prior. After some computation, we prove that the only difference relies surprisingly in the expected covariance. We prove that the expected covariance should be lower in the normal Wishart prior model because of the convexity of the inverse. We present a mixture model that generalizes both normal Wishart and normal inverse Wishart model. We finally present various numerical experiments to compare both methods as well as the generalized method.en
dc.publisher.cityParisen
dc.relation.ispartofseriestitlePreprint Lamsadeen
dc.identifier.urlsitehttps://hal.archives-ouvertes.fr/hal-02886508en
dc.subject.ddclabelProbabilités et mathématiques appliquéesen
dc.description.ssrncandidatenonen
dc.description.halcandidatenonen
dc.description.readershiprechercheen
dc.description.audienceInternationalen
dc.date.updated2020-11-12T11:10:41Z
hal.author.functionaut
hal.author.functionaut
hal.author.functionaut
hal.author.functionaut


Files in this item

Thumbnail
Name:
main_bcmaes_ii.pdf
Size:
564.6Kb
Format:
PDF
View/Open

This item appears in the following Collection(s)

Show simple item record