Zero Order Stochastic Weakly Convex Composite Optimization
Optimization and Control
2020-02-20 v1
Abstract
In this paper we consider stochastic weakly convex composite 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.
Cite
@article{arxiv.2002.08083,
title = {Zero Order Stochastic Weakly Convex Composite Optimization},
author = {V. Kungurtsev and F. Rinaldi},
journal= {arXiv preprint arXiv:2002.08083},
year = {2020}
}