feat: add CMA-ES sampler behind cma-es feature flag

Implement CMA-ES (Covariance Matrix Adaptation Evolution Strategy) as a
new sampler for continuous optimization. Uses nalgebra for matrix
operations and implements the full Hansen 2016 algorithm: mean update,
evolution paths, covariance matrix adaptation, and cumulative step-size
adaptation.

Key features:
- Builder API with configurable sigma0, population_size, and seed
- Three-phase state machine: discovery, active sampling, generation update
- Rejection sampling with bounds clipping fallback
- Log-scale and step parameter support via internal-space mapping
- Categorical parameters handled via random sampling fallback
- Numerical robustness: eigenvalue clamping, symmetry enforcement
This commit is contained in:
Manuel Raimann
2026-02-11 18:31:12 +01:00
parent a53ba4f472
commit a1dd6d393c
5 changed files with 1273 additions and 0 deletions
+2
View File
@@ -25,6 +25,7 @@ serde = { version = "1", features = ["derive"], optional = true }
serde_json = { version = "1", optional = true }
tracing = { version = "0.1", optional = true }
sobol_burley = { version = "0.5", optional = true }
nalgebra = { version = "0.33", optional = true }
[features]
default = []
@@ -33,6 +34,7 @@ derive = ["dep:optimizer-derive"]
serde = ["dep:serde", "dep:serde_json"]
tracing = ["dep:tracing"]
sobol = ["dep:sobol_burley"]
cma-es = ["dep:nalgebra"]
[dev-dependencies]
tokio = { version = "1", features = ["rt-multi-thread", "macros", "time"] }