An Accelerated DFO Algorithm for Finite-sum Convex Functions

ICML 2020 Yuwen ChenAntonio OrvietoAurelien Lucchi

Derivative-free optimization (DFO) has recently gained a lot of momentum in machine learning, spawning interest in the community to design faster methods for problems where gradients are not accessible. While some attention has been given to the concept of acceleration in the DFO literature, existing stochastic algorithms for objective functions with a finite-sum structure have not been shown theoretically to achieve an accelerated rate of convergence... (read more)

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