Zeroth-order Stochastic Compositional Algorithms for Risk-Aware Learning
Abstract
We present , the first zeroth-order algorithm for (weakly-)convex mean-semideviation-based risk-aware learning, which is also the first three-level zeroth-order compositional stochastic optimization algorithm whatsoever. Using a non-trivial extension of Nesterov's classical results on Gaussian smoothing, we develop the algorithm from first principles, and show that it essentially solves a smoothed surrogate to the original problem, the former being a uniform approximation of the latter, in a useful, convenient sense. We then present a complete analysis of the algorithm, which establishes convergence in a user-tunable neighborhood of the optimal solutions of the original problem for convex costs, as well as explicit convergence rates for convex, weakly convex, and strongly convex costs, and in a unified way. Orderwise, and for fixed problem parameters, our results demonstrate no sacrifice in convergence speed as compared to existing first-order methods, while striking a certain balance among the condition of the problem, its dimensionality, as well as the accuracy of the obtained results, naturally extending previous results in zeroth-order risk-neutral learning.
Cite
@article{arxiv.1912.09484,
title = {Zeroth-order Stochastic Compositional Algorithms for Risk-Aware Learning},
author = {Dionysios S. Kalogerias and Warren B. Powell},
journal= {arXiv preprint arXiv:1912.09484},
year = {2021}
}
Comments
31 pages, major revision of the first version