In this paper we show how to modify a large class of evolution strategies (ES) to rigorously achieve a form of global convergence, meaning convergence to stationary points independently of the starting point. The type of ES under consideration recombine the parents by means of a weighted sum, around which the offsprings are computed by random generation. One relevant instance of such ES is CMA-ES. The modifications consist essentially of the reduction of the size of the steps whenever a sufficient decrease condition on the function values is not verified. When such a condition is satisfied, the step size can be reset to the step size maintained by the ES themselves, as long as this latter one is sufficiently large. We suggest a number of ways of imposing sufficient decrease for which global convergence holds under reasonable assumptions, and extend our theory to the constrained case. Given a limited budget of function evaluations, our numerical experiments have shown that the modified CMA-ES is capable of further progress in function values. Moreover, we have observed that such an improvement in efficiency comes without deteriorating the behavior of the underlying method in the presence of nonconvexity.
Preprint 12-03, Dept. Mathematics, Univ. Coimbra