Non-Asymptotic Bounds for Zeroth-Order Stochastic Optimization

26 Feb 2020 Nirav Bhavsar Prashanth L. A

We consider the problem of optimizing an objective function with and without convexity in a simulation-optimization context, where only stochastic zeroth-order information is available. We consider two techniques for estimating gradient/Hessian, namely simultaneous perturbation (SP) and Gaussian smoothing (GS)... (read more)

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