Web: http://arxiv.org/abs/2209.07883

Sept. 19, 2022, 1:11 a.m. | Soumia Boucherouite (1), Grigory Malinovsky (2), Peter Richtárik (2), EL Houcine Bergou (1) ((1) School of Computer Science-Mohammed VI Polytechn

cs.LG updates on arXiv.org arxiv.org

In this paper, we propose a new zero order optimization method called
minibatch stochastic three points (MiSTP) method to solve an unconstrained
minimization problem in a setting where only an approximation of the objective
function evaluation is possible. It is based on the recently proposed
stochastic three points (STP) method (Bergou et al., 2020). At each iteration,
MiSTP generates a random search direction in a similar manner to STP, but
chooses the next iterate based solely on the approximation of …

arxiv math stochastic

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