The convergence behaviors of so-called natural evolution strategies (NES) and of the information-geometric optimization (IGO) approach are considered. After a review of the NES/IGO ideas, which are based on information geometry, the implications of this philosophy w.r.t. optimization dynamics are investigated considering the optimization performance on the class of positive quadratic objective functions (the ellipsoid model). Exact differential equations describing the approach to the optimizer are derived and solved. It is rigorously shown that the original NES philosophy optimizing the expected value of the objective functions leads to very slow (i.e., sublinear) convergence toward the optimizer. This is the real reason why state of the art implementations of IGO algorithms optimize the expected value of transformed objective functions, for example, by utility functions based on ranking. It is shown that these utility functions are localized fitness functions that change during the IGO flow. The governing differential equations describing this flow are derived. In the case of convergence, the solutions to these equations exhibit an exponentially fast approach to the optimizer (i.e., linear convergence order). Furthermore, it is proven that the IGO philosophy leads to an adaptation of the covariance matrix that equals in the asymptotic limit-up to a scalar factor-the inverse of the Hessian of the objective function considered.
Keywords: Convergence analysis; evolution strategies; information gain; information geometry; relative entropy loss.