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nomuramasahir0 / crfmnes

(CEC2022) Fast Moving Natural Evolution Strategy for High-Dimensional Problems
https://arxiv.org/abs/2201.11422
MIT License
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get a pdf of a sample for importance sampling #11

Open gemsanyu opened 1 year ago

gemsanyu commented 1 year ago

Importance sampling are used in large scale (N)ES so that samples from previous generation can be reused, thus improving sample efficiency and reducing sample evaluation time. Can we have a function to get a pdf of a sample for this? I come from a very shallow background of stats/maths so this is not straightforward for me to implement.

nomuramasahir0 commented 1 year ago

I'm sure that it is possible, though I do not have enough time to implement it now. For example, Eq.(13) and Eq.(14) in [1] correspond to line13-15 of Algorithm 1 in our paper, so their importance sampling is directly applicable to our method.

[1] Shirakawa, S., Akimoto, Y., Ouchi, K., Ohara, K.: Sample Reuse in the Covariance Matrix Adaptation Evolution Strategy Based on Importance Sampling. In: Genetic and Evolutionary Computation Conference (GECCO) (2015)