A Continuation Method Based on CMA-ES

In this poster, we showcase a new algorithm for approximating the Pareto set of two-objective (unconstrained) optimization problems based on the idea of continuation. The algorithm tries to move "along" the Pareto set from one single-objective optimum to the other and back via a single-objective reformulation of the two-objective problem and the well-known CMA-ES as single-objective solver. The introduced algorithm BOG-CMA-ES (standing for bi-objective gradient based CMA-ES) is visually analyzed on simple convex-quadratic objective functions and extensively benchmarked on the bbob-biobj test suite of the COCO platform, including comparisons with current state-of-the-art algorithms.