This paper introduces a variant of the Covariance Matrix Adaptation Evolution Strategy (CMA-ES), denoted as gl-CMA-ES, that utilizes the Graphical Lasso regularization. Our goal is to efficiently solve partially separable optimization problems of a certain class by performing stochastic search with a search model parameterized by a sparse precision , i.e. inverse covariance matrix. We illustrate the effect of the global weight of the l1 regularizer and investigate how Graphical Lasso with non equal weights can be combined with CMA-ES, allowing to learn the conditional dependency structure of problems with sparse Hessian matrices. For non-separable sparse problems, the proposed method with appropriately selected weights, outperforms CMA-ES and improves its scaling, while for dense problems it maintains the same performance.