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A view of estimation of distribution algorithms through the lens of expectation-maximization

Published: 08 July 2020 Publication History
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  • Abstract

    We show that a large class of Estimation of Distribution Algorithms, including, but not limited to, Covariance Matrix Adaption, can be written as a Monte Carlo Expectation-Maximization algorithm, and as exact EM in the limit of infinite samples. Because EM sits on a rigorous statistical foundation and has been thoroughly analyzed, this connection provides a new coherent framework with which to reason about EDAs.

    References

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    Sivaraman Balakrishnan, Martin J. Wainwright, and Bin Yu. 2017. Statistical guarantees for the EM algorithm: From population to sample-based analysis. Ann. Statist. 45, 1 (02 2017), 77--120.
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    David H. Brookes, Akosua Busia, Clara Fannjiang, Kevin Murphy, and Jennifer Listgarten. 2019. A view of Estimation of Distribution Algorithms through the lens of Expectation-Maximization. (2019). arXiv:cs.LG/1905.10474
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    A. P. Dempster, N. M. Laird, and D. B. Rubin. 1977. Maximum likelihood from incomplete data via the EM algorithm. Journal of the Royal Statistical Society, Series B 39, 1 (1977), 1--38.
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    G.R. Grimmett and D.R. Stirzaker. 2001. Probability and random processes. Vol. 80. Oxford university press.
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    Nikolaus Hansen, Sibylle D. Müller, and Petros Koumoutsakos. 2003. Reducing the Time Complexity of the Derandomized Evolution Strategy with Covariance Matrix Adaptation (CMA-ES). Evol. Comput. 11, 1 (March 2003), 1--18.
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    Radford M. Neal and Geoffrey E. Hinton. 1999. Learning in Graphical Models. MIT Press, Cambridge, MA, USA, Chapter A View of the EM Algorithm That Justifies Incremental, Sparse, and Other Variants, 355--368. http://dl.acm.org/citation.cfm?id=308574.308679
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      cover image ACM Conferences
      GECCO '20: Proceedings of the 2020 Genetic and Evolutionary Computation Conference Companion
      July 2020
      1982 pages
      ISBN:9781450371278
      DOI:10.1145/3377929
      Permission to make digital or hard copies of part or all of this work for personal or classroom use is granted without fee provided that copies are not made or distributed for profit or commercial advantage and that copies bear this notice and the full citation on the first page. Copyrights for third-party components of this work must be honored. For all other uses, contact the Owner/Author.

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      Published: 08 July 2020

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      Author Tags

      1. estimation of distribution algorithms
      2. expectation-maximization
      3. hybrid algorithm
      4. natural gradient

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