Covariance Matrix Adaptation with rank-mu update after Hansen & Kern 2004
Implementing CMA ES with rank-mu-update and weighted recombination. This operator won the CEC 2005
challenge employed with a restart scheme with increasing population size.
Basically, in each generation the population is resampled around the weighted center of the
last population using the adapted covariance matrix C. In contrast to earlier CMA versions,
this implementation only holds one single covariance matrix for the whole population, making
it much more memory efficient and useful for high dimensional problems as well.
While C is adapted based on a cumulated evolution path, the step size sigma is adapted based
on path length control.
Due to the repeated resampling starting from a single "center", the CMA version can
be interpreted as a sophisticated local search, if the initial solution set is sampled
close to an initial guess. In this case, a small initial sigma is favourable.
For multimodal problems, the initial population can be sampled randomly in the search space
and the initial sigma must be rather high.
To meet both conditions, the initial sigma may be set to half the average problem range
or to the average distance in the initial population.
* N.Hansen & S.Kern 2004: Evaluating the CMA Evolution Strategy on Multimodal Test Functions.
Parallel Problem Solving from Nature 2004.