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A zeroth order method for stochastic weakly convex optimization

Author

Listed:
  • V. Kungurtsev

    (Czech Technical University in Prague)

  • F. Rinaldi

    (Università di Padova)

Abstract

In this paper, we consider stochastic weakly convex optimization problems, however without the existence of a stochastic subgradient oracle. We present a derivative free algorithm that uses a two point approximation for computing a gradient estimate of the smoothed function. We prove convergence at a similar rate as state of the art methods, however with a larger constant, and report some numerical results showing the effectiveness of the approach.

Suggested Citation

  • V. Kungurtsev & F. Rinaldi, 2021. "A zeroth order method for stochastic weakly convex optimization," Computational Optimization and Applications, Springer, vol. 80(3), pages 731-753, December.
    • Handle: RePEc:spr:coopap:v:80:y:2021:i:3:d:10.1007_s10589-021-00313-3
    DOI: 10.1007/s10589-021-00313-3
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    References listed on IDEAS

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    1. Satyajith Amaran & Nikolaos V. Sahinidis & Bikram Sharda & Scott J. Bury, 2016. "Simulation optimization: a review of algorithms and applications," Annals of Operations Research, Springer, vol. 240(1), pages 351-380, May.
    2. Yurii NESTEROV & Vladimir SPOKOINY, 2017. "Random gradient-free minimization of convex functions," LIDAM Reprints CORE 2851, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    3. Jeffrey Larson & Stephen C. Billups, 2016. "Stochastic derivative-free optimization using a trust region framework," Computational Optimization and Applications, Springer, vol. 64(3), pages 619-645, July.
    Full references (including those not matched with items on IDEAS)

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