Benchmarking CMA-ES with Basic Integer Handling on a Mixed-Integer Test Problem Suite

Abstract

We compare the performances of one implementation of CMA-ES (pycma version 3.3.0) for optimizing functions with both continuous and integer variables. The implementation incorporates a lower bound on the variance along the integer coordinates to keep the optimization from stalling. This benchmark will serve as a baseline for further works on pycma. Results show substantial improvement since the last benchmarked version of pycma. Also this implementation is competitive with other mixed integer algorithms.