Hi Chin-Chang Yang,

Thanks for your answer. The version you suggest is actually the one I'm using right now. But it is still quite slow on CEC Large Scale Contest. I was also wondering if there is a newer version which exploits separability (more explicitly).

Are you aware of the attached publication, and the corresponding code on https://sites.google.com/site/lmcmaeses/? Maybe that helps.

Article A Computationally Efficient Limited Memory CMA-ES for Large ...

you can check this:

Loshchilov, I. (2014, July). A computationally efficient limited memory CMA-ES for large scale optimization. In Proceedings of the 2014 Annual Conference on Genetic and Evolutionary Computation (pp. 397-404). ACM.

I am not sure if there exist a versión like this.