  We present a novel Natural Evolution Strategy (NES) variant, the Rank-One NES
(R1-NES), which uses a low rank approximation of the search distribution
covariance matrix. The algorithm allows computation of the natural gradient
with cost linear in the dimensionality of the parameter space, and excels in
solving high-dimensional non-separable problems, including the best result to
date on the Rosenbrock function (512 dimensions).
