Transfer Task-Averaged Natural Gradient for Efficient Many-Task Optimization

With the increasing requirement for computational efficiency in evolutionary algorithms (EAs) when tackling many optimization tasks concurrently, many-task optimization (MaTO) has gained much attention in recent years. It involves extracting and transferring the knowledge from successful search experiences across many tasks. As the number of tasks and variable scale grows in MaTO, the need for efficient knowledge transfer in EAs becomes indispensable. In this article, we present a task-averaged natural gradient-assisted natural evolution strategy (TNG-NES) to deal with MaTO efficiently. The task-averaged natural gradient (TNG) captures how a group of task distributions evolves, considering their overall trends of mean and covariance. This can accelerate the optimization process across all tasks by leveraging the evolutionary similarities among multiple task search distributions. Notably, TNG-NES exhibits linear computational complexity concerning the number of tasks for knowledge transfer. Additionally, to adaptively utilize TNG for distribution evolution and mitigate negative transfer, we introduce a transfer adaptive control mechanism for TNG-NES. We conducted extensive experiments on CEC19-MaTO, WCCI22-MaTO, our proposed large-scale MaTO benchmark suite, and real-world applications. The results validate the effectiveness of TNG-NES, outperforming state-of-the-art MaTO algorithms.