On Spectral Invariance of Randomized Hessian and Covariance Matrix Adaptation Schemes

Sebastian U. Stich and Christian L. Müller

Abstract. We evaluate the performance of several gradient-free variable-metric continuous optimization schemes on a specific set of quadratic functions. We revisit a randomized Hessian approximation scheme (D. Leventhal and A. S. Lewis. Randomized Hessian estimation and directional search, 2011), discuss its theoretical underpinnings, and introduce a novel, numerically stable implementation of the scheme (RH). For comparison we also consider closely related Covariance Matrix Adaptation (CMA) schemes. A key goal of this study is to elucidate the influence of the distribution of eigenvalues of quadratic functions on the convergence properties of the different variable-metric schemes. For this purpose we introduce a class of quadratic functions with parameterizable spectra. Our empirical study shows that (i) the performance of RH methods is less dependent on the spectral distribution than CMA schemes, (ii) that adaptive step size control is more efficient in the RH method than line search, and (iii) that the concept of the evolution path allows a paramount speed-up of CMA schemes on quadratic functions but does not alleviate the overall dependence on the eigenvalue spectrum. The present results may trigger research into the design of novel CMA update schemes with improved spectral invariance.

Keywords: gradient-free optimization, variable metric, Randomized Hessian, Covariance Matrix Adaptation, quadratic functions

LNCS 7491, p. 448 ff.

Full article in PDF | BibTeX

lncs@springer.com
© Springer-Verlag Berlin Heidelberg 2012