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Natural evolution strategy
Natural evolution strategies (NES) are a family of numerical optimization algorithms for black-box problems. Similar in spirit to evolution strategies, they iteratively update the (continuous) parameters of a ''search distribution'' by following the natural gradient towards higher expected fitness.
==Method==
The general procedure is as follows: the ''parameterized'' search distribution is used to produce a batch of search points, and the fitness function is evaluated at each such point. The distribution’s parameters (which include ''strategy parameters'') allow the algorithm to adaptively capture the (local) structure of the fitness function. For example, in the case of a Gaussian distribution, this comprises the mean and the covariance matrix. From the samples, NES estimates a search gradient on the parameters towards higher expected fitness. NES then performs a gradient ascent step along the natural gradient, a second order method which, unlike the plain gradient, renormalizes the update w.r.t. uncertainty. This step is crucial, since it prevents oscillations, premature convergence, and undesired effects stemming from a given parameterization. The entire process reiterates until a stopping criterion is met.
All members of the NES family operate based on the same principles. They differ in the type of probability distribution and the gradient approximation method used. Different search spaces require different search distributions; for example, in low dimensionality it can be highly beneficial to model the full covariance matrix. In high dimensions, on the other hand, a more scalable alternative is to limit the covariance to the diagonal only. In addition, highly multi-modal search spaces may benefit from more heavy-tailed distributions (such as Cauchy, as opposed to the Gaussian). A last distinction arises between distributions where we can analytically compute the natural gradient, and more general distributions where we need to estimate it from samples.
抄文引用元・出典: フリー百科事典『 ウィキペディア（Wikipedia）』
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