Support CMA-ES with margin in CmaEsSampler
#4016
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CmaEsSampler
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c-bata
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Nov 11, 2022
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@nomuramasahir0 Could you review this PR if you have time? |
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Thank you for the PR about CMA-ES with Margin. LGTM! |
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Co-authored-by: Masashi Shibata <c-bata@users.noreply.github.com>
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LGTM with nits!
Although there might be the same issue discussed at #4142 (comment), we should merge this PR first and it should be addressed as a follow-up with the sep-CMA-ES issue.
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Motivation
Support CMA-ES with margin, which lower-bounds the marginal probability associated with each discrete space so that samples can avoid being fixed to a single point.
In Optuna,
IntDistributionandFloatDistributionwithstepcan be regarded as discrete search spaces. I supported the combination with thesource_trialsargument, but currently, it cannot be used withuse_separable_cma=True.In the benchmarks of the HPO bench, it outperformed the original CMA-ES when the number of trials is large (200-400+) (link).
Description of the changes
with_marginargument toCmaEsSampler.CMAwMclass, which was released in v0.9.0 of cmaes.