A comparative introduction to two optimization classics: the Nelder-Mead and the CMA-ES algorithms

Rodolphe Le Riche (1, 2, 3, 4, 5)

1 Mines Saint-Étienne MSE - École des Mines de Saint-Étienne
2 LIMOS - Laboratoire d'Informatique, de Modélisation et d'Optimisation des Systèmes
3 FAYOL-ENSMSE - Institut Henri Fayol
4 FAYOL-ENSMSE - Département Génie mathématique et industriel
5 CNRS - Centre National de la Recherche Scientifique

These slides were part of a class about two important, derivative-free, continuous optimization algorithms: the Nelder-Mead method and the Covariance Matrix Adaptation method. The class is intended for graduate students and researchers with basic knowledge in linear algebra and probabilities and can be seen as a practical introduction to continuous optimization.

Mots clés: Optimization Algorithms; Continuous optimization; Global optimization problem

Domaines: Optimisation et contrôle [math.OC]; Ingénierie, finance et science [cs.CE]; Génie mécanique [physics.class-ph]

Rodolphe Le Riche. A comparative introduction to two optimization classics: the Nelder-Mead and the CMA-ES algorithms. Doctoral. La Rochelle, France. 2018. ⟨cel-02091527⟩